碩士 / 國立中興大學 / 會計學研究所 / 105 / In 1993, SPDR S&P 500 ETF listed in the United States and it was the beginning of ETF .The market continues to introduce innovative ETF products from stock ETF to bonds, real estate, gold and exchange rates and others . The key ETF developes so rapid is all because of its good return and market liquidity. Therefore, in this study, we use rate of return and use Parkinson(1980) volatility as the proxy variable for the rate of return to see the liquidity of the ETF . This paper use three liquidity indicators (1) Martin liquidity ratio (2) Amihud illiquidity ratio and (3) illiquidity ratio – options method to calculate the liquidity of China''s SSE50ETF. This paper use autoregressive moving average model(ARMA) to test the most optical measurement for the liquidity of China''s SSE50ETF. This paper draw a conclusion that no matter what result in in-of-sample forecasting but in out-of-sample forecasting, the most optimal measurement method is the illiquidity ratio – options method in China''s SSE50ETF .
| Identifer | oai:union.ndltd.org:TW/105NCHU5385007 |
| Date | January 2017 |
| Creators | Yu-Sheng Chen, 陳昱升 |
| Contributors | Hsueh-Ju Chen, Chao- Xiong Lee, 陳雪如, 李超雄 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 38 |
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