<p> </p><p><strong>Problem: </strong>For what type of investors are index funds versus exchange-traded index funds best suited?</p><p><strong>Objective: </strong>The purpose of the paper is to determine how an index fund or an exchange-traded index fund (ETF) suits different types of investors with different requirements in terms of time frame, investment size and purpose of investment. The comparison is based on fees and trade practicality. This is going to describe the advantages and disadvantages with the two different financial instruments.</p><p><strong>Method: </strong>The study is a comparative study using two methods; one of which is a case study, the other is a qualitative interview. The case study focuses on fees and is made on an exchange traded fund (XACT OMXS30) and a simple equity index fund (Erik Pensér equity enhanced index). The interview is a more general comparison of the differences between ETFs and stock index funds. Focus here is on trade practicality.</p><p><strong>Results: </strong>The study concludes that XACT OMXS30 is more suitable for a large investor, that makes fewer transactions and that saves on long term. Erik Pensér equity enhanced index fund is suitable for both short and longer term investors. However, taken to extremes XACT OMXS30 is always cheaper than Erik Pensér in the long term. Regarding purpose of investment, when doing monthly saving Erik Pensér is more beneficiary whilst the differences are less evident when saving on yearly basis. The study also shows is that the commission is most critical for which of the two investigated funds the investor should choose. Generally, ETFs is better suited for active traders as transaction are more flexible. Also, a benefit of ETFs for active traders is that they have made it easier to speculate on short term volatility on the stock exchange (e.g. using Bull & Bear with leverage).</p><p> </p>

Problem: For what type of investors are index funds versus exchange-traded index funds best suited? Objective: The purpose of the paper is to determine how an index fund or an exchange-traded index fund (ETF) suits different types of investors with different requirements in terms of time frame, investment size and purpose of investment. The comparison is based on fees and trade practicality. This is going to describe the advantages and disadvantages with the two different financial instruments. Method: The study is a comparative study using two methods; one of which is a case study, the other is a qualitative interview. The case study focuses on fees and is made on an exchange traded fund (XACT OMXS30) and a simple equity index fund (Erik Pensér equity enhanced index). The interview is a more general comparison of the differences between ETFs and stock index funds. Focus here is on trade practicality. Results: The study concludes that XACT OMXS30 is more suitable for a large investor, that makes fewer transactions and that saves on long term. Erik Pensér equity enhanced index fund is suitable for both short and longer term investors. However, taken to extremes XACT OMXS30 is always cheaper than Erik Pensér in the long term. Regarding purpose of investment, when doing monthly saving Erik Pensér is more beneficiary whilst the differences are less evident when saving on yearly basis. The study also shows is that the commission is most critical for which of the two investigated funds the investor should choose. Generally, ETFs is better suited for active traders as transaction are more flexible. Also, a benefit of ETFs for active traders is that they have made it easier to speculate on short term volatility on the stock exchange (e.g. using Bull &amp; Bear with leverage).

In this thesis the author investigate the overreaction effect of Asian country exchange traded funds (ETFs) to US stock market returns, trading strategies of leveraged exchange traded funds (LETFs), and the regime switching behavior of emerging market sovereign credit default swaps. In the Asian country ETF paper the author studies the overreaction effect of US investors towards US market return when they formulate Asian country ETF prices. The Asian country ETFs are special because when the ETF shares are traded in the US the underlying Asian stock markets are closed resulting in stale Net Asset Values (NAVs) of ETFs. This feature of Asian country ETFs offers a unique setting to study the relation between security price and market sentiment. With a dynamic contrarian trading strategy the author records economically significant abnormal returns over the buy-and-hold benchmark suggesting that US investors’ sentiment does lead to abnormal returns in the Asian country ETF market. The author also studies the correspondence of the abnormal return with US market sentiment index and finds that they are positively correlated. Furthermore the author documents asymmetric responses of overreaction in bullish vs. bearish market sentiment. The results pose significant implications for both the academics and practitioners. iii The LETF trading strategy paper is a joint work with my supervisor Dr. Peter Miu and my supervisory committee member Dr. Narat Charupat. The authors investigate the market conditions that tip the balance between the market trending effect and the volatility drag in governing the performance of LETFs. The market conditions that promote a stronger former effect than the latter will result in a positive compounding effect, thus enhancing the profitability of a long LETF position at the expense of a short one. On the other hand, those market conditions that promote a dominating latter effect will result in a negative compounding effect, which benefits the short LETF position as opposed to the long position. To address our research questions, we conduct a series of simulation exercises by gauging the sensitivity of the LETF returns on key parameters of the return generating process of the underlying benchmark as represented by the GJR model. We first study the return distributions of a long strategy in a +3x LETF, a short strategy in a -3x LETF, and the pair strategy of a 50% short position in the +3x LETF together with a 50% short position in the -3x LETF, all on the same S&P 500 index. We examine different performance measures and study the risk-return trade-offs of LETF investment. We contribute to the literature by establishing the link between the performance of LETFs and characteristics of the return dynamics of the underlying benchmark through pinpointing the underlying drivers of the compounding effects to facilitate the decision-making process of LETF investors. In the sovereign Credit Default Swap (SCDS) paper the author investigates the dependency of sovereign CDS spread change on a sovereign’s country specific fundamental, local, regional and macro global factors. Using Markov regime switching model the author reveals that in a tranquil state a sovereign market’s fundamental factors mainly determine the direction of the SCDS spread movement, while in a turmoil state the global factors become dominant. Cross sectional analysis to examine the behavior of the same explanatory variable on countries of different macroeconomic characters and reveal that more “open” countries are more integrated with the regional economies with the contagion effect being more salient in the bad state, and smaller countries with less diversified economies would be more affected a global crisis because economic links are more important for such countries than larger countries. Furthermore, it shows that the influence of rating is more significant for “closed” than for “open” countries, and the market sentimental effect of flight-to-quality magnifies in the bad state that US equity market return has the strongest influence for small countries indicating stronger economic ties of smaller countries to larger countries with diverse economies in the bad state. / Thesis / Doctor of Philosophy (PhD)

本論文探討我國目前各類型ETF發展現況及發行ETF及槓反型ETF至今對於台灣市場產生的影響，並藉由觀察國外市場發展的經驗，以提供國內市場未來發展之借鏡。 經本研究發現： 1.市場發行了ETF及槓反型ETF交易後策略更為更多元，也使得整體市場交易更為活絡。 2.在商品發行以後，整體ETF佔大盤的成交值越來越高，就整體ETF市場而言AUM規模也逐漸放大，顯示推出此商品是成功的。 3.對於期貨市場的影響上，不管是在台指期TX或是新加坡A50商品，在槓反型商品上市後，成交量都有明顯的上升。而面對應現貨市場交易的需求，台灣期交所也陸續發行了相關期權商品提供交易及避險，如此持續發展下對於整體期貨市場發展而言具有正面效果。 4.隨著ETF商品的規模擴大，規模前六大的ETF都破百億，如此帶動商品相關業者獲利增加，使得整體ETF產業蓬勃發展。 5.ETF相關產業正向發展，落實政府金融替代政策及金融創新。 6.ETF相關產品的發行可以形成一股正向循環，使ETF商品本身市場，現貨及期貨市場皆能得到正向的助益。

This thesis deals with exchange traded funds (ETFs). The goal is to explain how different kinds of ETFs work and to find out whether some of them operate inefficiently when it comes to following their benchmarks. The thesis describes the collective investments industry, characteristics and valuation of ETFs, and compares the performance of chosen commodity funds among themselves as well as to their benchmarks. The thesis reaches an interesting conclusion.

TSG101 is a tumor susceptibility gene, which exhibits many biological functions including the regulation of transcription, cell growth and differentation, protein trafficking and receptor recycling. Recent studies have revealed overexpression of TSG101 in human cancers of papillary thyroid carcinoma and breast cancer, whereas downregulation in the periphery of cancer tissue. These data indicated that the amount of TSG101 gene products might be relevant to tumor formation. Understanding the detail regulation of TSG101 gene expression might advance our knowledge on the processes of neoplastic conversion. In this regard, our lab have cloned and characterized upstream sequence of TSG101 transcription start site, and defined the region of -1~-436 as proximal promoter by luciferase reporter assay. Sequence analysis of this region using NSITE program on Softberry web site has revealed several transcription factor binding sites including MAZ, Sp1, ETF and ETS-1. Using EMSA and luciferase assay, we have demonstrated MAZ and Sp1 as major transcription factors regulate TSG101 proximal promoter. In this thesis, we advance our study to further explore the role of ETF and ETS-1 sites in regulation TSG101 promoter. We first cloned the region encompassing two ETS-1 sites in ¡V190~-1 region into pGL3-basic( -190/pGL3-basic ). The luciferase reporter assay of wildtype and mutant ¡V190/pGL3-basic plasmids further demonstrated important role of these ETS-1 sites. To explore detail contribution of the above mentioned transcription factor binding sites in regulation TSG101 promotor, we have made mutant reporter constructs containing different assortment of mutations in these binding sites, and assayed the effect of mutant on TSG101 promoter activity. The results showed that in cancer cell lines (COS-1, ARO and WRO) tested, Sp1, ETF, and ETS-1 binding sites are essential and they act co-operatively in regulating the activity of TSG101 proximal promoter. The results also indicated that Sp1 and ETS-1 were positive regulators, while ETF worked as a negative regulator.

The diploma thesis deals with comparison performance of leverage and inverse exchange traded funds and their underlying assets in the USA. The theoretical part is focusing on the description of collective investment, mutual funds, exchange traded funds and overview of the main conclusions of empirical studies which are focused on the similar topic. The empirical part is focused on comparison performance of leverage and inverse ETF on given investment horizons according to the yield-risk indicator in 2014–2019. Based on result is recommended the most appropriate investment strategy for each underlying asset.

世界各證券市場對於放空交易都有放空限制，然而對於ETF則不作放空限制，此乃因為ETF透明度與流動性相較一般證券高，交易管理上可與指數期貨同。而ETF對於放空市場之所以重要，主要在於它本身豁免於放空限制，使市場多頭空頭結構完整，投資人有管道可以充分反映對於該股所掌握的消息，一但價格偏離基金淨值，投資人也可以透過申購買回策略進行套利，最終結果為ETF價格貼近於基金淨值，股價維持合理價位。當市場股價都能充分反應多空消息，市場效率性將提升，對健全台灣證券市場並往金融自由化前進的一大步，而主要關鍵點便在於完善的賣空機制。 本文主要以台灣50ETF本身豁免平盤以下不能放空這特殊優勢出發，並以台灣五十指數及台灣50ETF實際日交易資料及日內交易資料，運用「事件研究法」，期間以「台灣50ETF上市」及「台灣五十個股豁免融券放空」兩事件為主，觀察存在放空限制與解除放空限制前後期，在價格高估與價格效率性變化情形，此外，也觀察解除放空限制期間對台灣50ETF的影響，以及推估該限制對台灣50ETF放空交易者的放空行為在前後期變動。最後，也針對台灣50ETF本身豁免平盤以下放空限制主要原因在於流動性與透明度足夠，監理機構控管容易，進一步探討如何增加台灣證券市場個股資訊透明度，且該透明度足夠讓個股同樣可從事放空交易，進而促使股價合理化，台灣證券市場的公正度與效率性平衡發展。 / 主要研究結果摘要如下: 1.台灣50ETF法人放空交易者在2005年台灣五十個股豁免放空限制時積極從事實物申購買回套利動作，信用交易量值減少，相對較不活絡。主要原因以往只有ETF可以放空，五十個股豁免後，投資人更有管道從事放空交易。 2.個股豁免放空限制實施對台灣50ETF報酬變動影響在短天期較為顯著。 3.台灣50ETF在兩階段放空限制實施後，價格高估可能性均下降，存在放空機制使ETF市場價格效率提升，在短期間(三個月期)效果較為顯著。 4.放空限制的進一步放寬(2005年)，台灣50ETF賣空交易張數比例(交易量)在事件過後沒有增加，表示放空交易者沒有增加對於交易的需求。此外，我們也沒有發現強而有利證據證明取消放空限制在尾盤會出現賣壓現象。 / To some extent, almost all stock markets locate short-sell constraints on the short selling transactions process; however, they never do so to ETF thanks to its higher transparency and liquidity making it an easy supervised equity. Further, ETF could be considered as a good implication for the stock market simply owing to its exemption from short sell constraints that brings a strong demand and supply structure In other words, if the ETF price is not equal to its fund NAV (net asset value), investors could make profits by buying back or selling ETFs; in the long run, the price will reverse to its NAV and maintain on a reasonable level. As a result, we could infer that if the price could fully reflect investors’ diversified opinions, the market will be more efficient, and we could expect Taiwan stock market to forge ahead soon. Hence, the key issue lies in a healthy short selling mechanism. This paper tries to figure out whether short sell constraints on Taiwan stock market have significant influence on stock price and price efficiency. We use Taiwan50 index and TW50 ETF daily and intraday data from TEJ database, employee Event Study Method, select two dates as our event date which are “the listed date for TW50 ETF,” and “Taiwan 50 stocks exemption from short selling regulations,” and try to examine the difference before and after the date. Additionally, by summarizing and analyzing the trading frequency changes before or after the periods, we try to understand and estimate how the short sellers trading behavior would vary due to the implementation of regulation. / The conclusion of this paper is summarized as follows: 1.Consistent with our assumptions, the institutional investors increased their TW50 ETF purchasing or selling transactions rather than credit transactions after the date when appointed 50 stocks has been exempted from short selling regulations, in other words, investors could only sell short ETF to express their negative opinion toward those 50 stocks and get partially reaction. 2.The exemption policy has a significant effect on TW50 ETF in short term. 3.The two stage of exemption policy has decreased the possibility of price overvaluation and increased the price efficiency of TW50ETF in the short term. 4. We find that the short sell transactions ratio (or the volume) decreased after the second stage of exemption, which means short sellers did not increase their transaction needs.

This thesis explains how ETF (Exchange Traded Fund) works and contains a comparative analysis of selected mutual funds (distributed in Czech Republic) net returns with comparable ETF funds investing into same equity category -- USA, World, European and emerging markets equities. The objective of the thesis is to find out if ETF funds can offer better net returns to the investor than common mutual funds.

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