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題名：台灣指數股票型基金報酬率領先落後關係之研究
作者：王見成
作者(外文)：Chien-Cheng Wang
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：楊踐為
學位類別：博士
出版日期：2009
主題關鍵詞：領先落後；VAR；向量自我迴歸；vector autoregressive；lead/lag；VAR
原始連結：連回原系統網址new window
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藉由向量自我迴歸模型(VAR)之傳遞功能，說明本文主要目的，在揭露指數股票型基金報酬率領先落後關係。我們提出五大假說：(1)規模效應 (2)股利政策 (3)市價淨值比 (4)本益比及 (5)資訊效應假說，以驗證領先落後關係。本文研究期間是以2007年12月26日至2008年12月31日止之日內15分鐘指數股票型基金價格資料，實證得到平均報酬均為負值， ETF50的波動性最低且負報酬最少。根據Granger因果關係的F值強度，設立領先落後順序，首先ETF50，ETF51次之，緊接ETF56，最後ETF52。此外，ETF50受到自身影響最多，換言之，ETF50受到外力影響最少。藉由Johansen共整合訊息，在實證中得到，至少存在四個共整合向量，表示投資訊息長期並不存在套利機會。實證結果並不支持五大假說，但我們可以關切二件事，第一，規模效應，只有一個實證符合虛無假說，ETF56領先ETF52，推論其可能原因為，分析師比較注重績優公司勝於高科技產業公司，所以，市值較大績優公司將會比高科技公司提早反映訊息。因此，如果投資人相信市場具有規模效應，則以ETF56領先ETF52會較有效率性 。第二，市價淨值比效應，有二個實證結果符合虛無假說。其一，ETF50領先ETF51，可能是由於前五十大公司對於將來公司營運樂觀預期勝於中型100公司所導致，投資人會搶買股票，促使股價往上漲，所以，ETF50成份股的市價淨值比平均會高於ETF51。其二，ETF51領先ETF56，主要在於ETF51成份股，較多家數對將來預期展望較佳，而ETF56的成份股大都具有股息存在，致使相對較保守。因此，投資人若相信市價淨值比效應存在，則表示這兩個組合比較有效率性，所以，可依據資訊傳遞的效率性，採取不同的投資交易策略。
This paper explores the lead/lag relationship for exchange traded funds’ returns in Taiwan thru vector autoregressive(VAR) model. We test the five supposed hypotheses：(1) size, (2) dividend, (3) market-to-book ratio, (4) price-to-earnings ratio and (5) information effect. It is clear that each of the average returns has a negative positive position, in other words, the financial market does not represent a good situation. Furthermore, when comparing volatility and returns among them, it is clear that ETF50 still has the smallest volatility and negative returns. According to the F-statistic of Granger causality tests, ETF50 is the first leading series among them. The next sequence is ETF51, whilst the third sequence is ETF56. Finally, the last sequence is ETF52. ETF50 is mostly influenced by its own innovations. Further, ETF50 is the least affected by external forces. By the conception of cointegration, we demonstrate that vectors will not wander far from each other in the long-run relationship. Our results indicate these supposed hypotheses do not coincide with empirical results. But, There are two things that are notable. Firstly, an empirical result is the same with null hypothesis of size effect. ETF56 leading ETF52 is consistent with size effect. Secondly, two empirical results are consistent with null hypothesis of market-to-book ratio effect. The ETF50 leads ETF51 and ETF51 leads ETF56, which are consistent with market-to-book ratio effect. The size effect is less favorable than market-to-book ratio effect. Consequently, such information spillovers may be capable of promoting trading interest on the lead/lag relationship.
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