透過您的圖書館登入
IP:18.218.129.100
  • 學位論文

台灣槓桿型及反向型ETF交易策略之績效探討

A Study on the Performance of Leveraged and Inverse ETFs Trading Strategy in Taiwan

指導教授 : 李雅婷

摘要


全球金融商品與日俱增,豐富新穎且多樣化,在全球化浪潮下,台灣在金融監督管理委員會政策開放後,陸續引進諸多國外行之有年的金融商品,在如此眾多的投資工具下,若能選擇優質且合適的投資工具,以正確的投資觀念並運用得當,將有機會日進斗金,而槓桿型ETF及反向型ETF或許是良好的選擇之一。 本研究主要探討槓桿型ETF及反向型ETF依據本研究所擬定之各式交易策略,比較傳統型ETF,是否獲取更高的報酬或是更好的投資績效?交易能否因此擴大獲利的幅度及更多潛在獲利空間? 研究績效表現之數據利用台灣經濟新報TEJ資料庫為來源,期間以商品上市後2014年11月初至2015年10月底為研究期間,共一年期之久,以統計檢定方法分析,據研究結果證實: I. 以趨勢策略下均線交易策略之技術分析檢驗持有台灣50 ETF與持有單日2倍槓桿ETF之間的報酬無顯著差異。 II. 以趨勢策略下KD震盪指標交易策略之技術分析檢驗持有台灣50 ETF與持有單日2倍槓桿ETF之間的報酬無顯著差異。 III. 以強弱勢配對交易策略檢驗僅持有高股息ETF與同時持有高股息ETF及單日1倍反向ETF間,其績效無顯著差異。 IV. 以多空雙向交易策略檢驗僅持有台灣50 ETF與持有台灣50 ETF加入單日1倍反向型ETF後,其績效無顯著差異。 儘管四種交易策略下績效皆無顯著差異,探討各交易策略中總投資報酬率ROI皆因槓桿型ETF或反向型ETF獲得更良好的績效表現。

並列摘要


The global financial products grow with each passing day. That was abundant and diversified. In globalization generation, after the policy was opened by Financial Supervisory Commission in Taiwan, imported financial products of period from other countries sustained. If can choose the excellent and appropriate in many kinds of investment tools, through correct investment concept and use appropriately will have an opportunity to earn a lot of money. Perhaps, leveraged ETF and inverse ETF are the good choices. This research aims to realize whether leveraged ETF and inverse ETF can obtain more profits performances compare with traditional ETF according to this research setting trading strategies. Could the trade expand lucrative range and more potential profit opportunities? The performance data source is from Taiwan Economic Journal. The research period was from Nov., 2014 to Oct. 2015 since became available in the market. Use T Test to analysis. The following are results of study: I. There is no significant difference between 0050 ETF’s performance and leveraged 2X ETF’s performance with technical analysis in KD trading strategy. II. There is no significant difference between 0050 ETF’s performance and leveraged 2X ETF’s performance with technical analysis in KD trading strategy. III. There is no significant difference between 0056 ETF’s performance and 0056 ETF plus inverse 1X ETF’s performance with technical analysis in strength and weakness to pair trading strategy. IV. There is no significant difference between 0050 ETF’s performance and 0050 ETF plus inverse 1X ETF’s performance with technical analysis in bull market and bear market two-way trading strategy. Even though the four trading strategy have no significant difference. The result was showed that ROI totally keep performance better than before though leveraged ETF and inverse ETF with strategies.

參考文獻


1. 蘇亭丰 (2015),「槓桿型與反向型ETF長短期追蹤績效之研究」,碩士論文,國立台灣大學管理學院財務金融學系暨研究所
30. William J. Trainor Jr. and Mark G. Carroll (2013), Forecasting Holding Periods for Leveraged ETFs Using Decay Thresholds: Theory and Applications Article ID 715425, Journal of Financial Studies & Research, 13 pages.
3. 馮玲書 (2008),台灣地區平衡型共同基金績效評估之研究,國立政治大學經營管理碩士學程金融組碩士論文
5. 林天運 (2007),大盤未來走勢預測-KD指標的實證分析,國立成功大學國際企業研究所碩博士班碩士論文
1. Avellaneda, M. and Zhang, S.J. (2010). Path-Dependence of Leveraged ETF Returns, SIAM Journal on Financial Mathematics, 1(1), pp. 586-603.

被引用紀錄


郭書亞(2017)。台指報酬率對槓桿及反向型ETF單日報酬率之非線性分析〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2017.00769
江宗軒(2017)。ETF價格波動預測能力之探討〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2017.00180
蔡林峻(2017)。槓桿型及反向型ETF追蹤誤差與套利之研究〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu201700440

延伸閱讀