碩士 / 東吳大學 / 國際經營與貿易學系 / 98 / The interactions between international financial markets are profound more and more nowadays; the same financial product could be traded in different markets by different forms. Like Depositary Receipt (DR), and the subject of our study-the Exchanged Traded Funds (ETF) are based on the trust to open the door of overseas funding and improve the reputation of the issuer. This study is mainly to research the performance of Polaris Taiwan Top 50 Tracker Fund (TTT) which was listed in Hong Kong market before and after. According its feature of passive management, we survey the impact to the volume of business by the Tracking Error (TE), and the discount/premium between the market value and the net value could be the consultation of issuing ETF in overseas markets.
This study found that after the listing of Polaris Taiwan Top 50 Tracker Fund (TTT) in Hong Kong market, there is an expanding appearance on the Tracking Error (TE) than before. It shows that the performance of TTT was affected through this event. About the discount/premium of market/net value, we acknowledged that its convergence speed is not affected by this event and usually converges in one day. On the other hand, we checked the continuity of the volatility and the discount/premium in the market and found that the volatility is remarkable positive related to the volume of business, but the arbitrage opportunity wasn’t. Therefore, there is no obvious variation except the expanding of the Tracking Error and the arbitrage opportunity becomes non-significant when TTT was listed in Hong Kong market.
Summarizing the conclusions of this study, the performance of passive management in the whole research period is more superior the previous studies. Nevertheless, the performance of Polaris Taiwan Top 50 Tracker Fund (TTT) a little lowered after listing in Hong Kong market. It shows that it should be more cautious to estimate the effect to the ETF of home country after the overseas listing.
| Identifer | oai:union.ndltd.org:TW/098SCU05321042 |
| Date | January 2010 |
| Creators | Chien-you Chou, 周建佑 |
| Contributors | Liang Shuh, 梁恕 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 44 |
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