SOURCE ANALYSIS AND EMPIRICAL STUDY FOR TRACKING ERROR INVOLVING IN THE LEVERAGED ETF - EVIDENCES FROM TAIWAN 50 LEVERAGED ETF
陳台霖
靜宜大學國際企業學系助理教授
黃明官
實踐大學財務金融學系教授
Tai-Lin Chen
Assistant Professor, Department of International Business,
Providence University
Ming-Guan Huang
Professor, Department of Finance and Banking,
Shih Chien University
摘要
跟隨國際發展趨勢，台灣也於2014年推出槓桿型 ETF上市交易，槓桿型 ETF主要用以進行短期槓桿投機與避險交易，並且利用每日再平衡操作（ daily rebalancing )以達成目標倍數報酬，儘管如此，槓桿型 ETF仍然存在某些追蹤誤差（ tracking error )而導致其實際報酬率偏離預設目標倍數。追蹤誤差主要源起於複利效果及 ETF價格與標的資產價格變動不同步（非複利效果），本研究深入探究與分析槓桿型 ETF追蹤誤差之成因性質與結構。
同時，本研究選取台灣 50正向二倍與反向一倍 ETF作為實證研究對象，並進行長達 9年之實證研究，最後，實證發現整體來看複利效果產生之追蹤誤差約佔而非複利效果產生之追蹤誤差約佔 60%。另外，標的資產價格波動度分別顯著負向與正向影響正向二倍與反向一倍 ETF的總追蹤誤差及複利效果追蹤誤差，標的資產日平均報酬率則分別顯著負向與正向影響總追蹤誤差及非複利效果追蹤誤差。這些實證發現應對於槓桿型 ETF之發行與管理機構及投資人具備實務參考價值。
關鍵字：指數股票型基金（ ETF）、槓桿型 ETF、追蹤誤差
ABSTRACT
Following the international development tendency, leveraged ETFs have also been listed and traded in 2014 in Taiwan. Leveraged ETFs are mainly used for short-term leveraged speculation and hedging trades. Moreover, leveraged ETFs implement the daily rebalancing to achieve the target multiple return. Nevertheless, there is still a certain tracking error and thus results in the real return rate of leveraged ETFs to deviate from their presetting target multiples. Tracking error is mainly generated by the compounding effect and the fact that the ETF price is not synchronized with the price of the underlying asset (non-compounding effect), and this study deeply explores and analyzes the nature and cause structure involving the tracking error for leveraged ETFs. At the same time, this study takes the T50 2X and T50 -1X as the empirical samples, and conducts empirical study for 9 years. Finally, it is empirically found that, overall, the tracking error generated by the compounding effect and non-compounding effect accounts respectively for about 40% and for about 60%. In addition, the price volatility of the underlying asset significantly positively and negatively impacts on the total tracking error and compounding effect tracking error of the T50 2X and T50 -1X, respectively. While, the average daily return rate of the underlying assets has a significant negative and positive impact on the total tracking error and non-compounding effect tracking error, respectively. These empirical findings should have practicable reference value for the leveraged ETFs issuers and managers, and investors.
Keywords: Exchange Traded Fund (ETF), Leveraged ETFs, Tracking Error
THE MODERATING EFFECT OF COVID-19 CRISIS ON THE RELATIONSHIP BETWEEN CASH HOLDINGS AND R&D INVESTMENT - TAKING TAIWAN’S SEMICONDUCTOR INDUSTRY AS EXAMPLE
陳信憲
國立彰化師範大學財務金融技術學系教授
張道强
國立彰化師範大學財務金融技術學系博士生
Bryan H. Chen
Professor, Department of Finance,
National Changhua University of Education
Tao-Chiang Chang
Ph. D. Student, Department of Finance,
National Changhua University of Education
摘要
現金管理一直是企業管理重要議題，若出現問題則會影響企業發展，且現金持有多寡及研發投入都對公司有深遠影響。本文除對臺灣半導體產業之現金持有與研發投入關聯性探討外，另對產業面臨 COVID-19危機時，是否影響研發投入對現金持有決策加以剖析。研究樣本以臺灣 155家半導體公司之 2011-2020年觀察值進行分析，實證結果驗證臺灣半導體產業之現金管理決策，以研發投入為考量因素之一。實證發現假說 1臺灣半導體產業之現金持有與研發投入具有正相關有成立；另實證顯示假說 2a及 2b之產業研發投入與現金持有水準未分別受 COVID-19危機期間影響，但 COVID-19危機期間之產業研發投入對現金持有具有影響即假說 3有成立， COVID-19危機如同調節變數，影響研發投入對現金持有的效果。即僅上游產業鏈公司面臨 COVID-19危機即假說 4有成立。本研究謹建議政府透過相關法規、研發創新補助或有利就業環境等政策，持續扶植產業發展。
關鍵字：半導體、現金持有、研發投入、 COVID-19危機
ABSTRACT
Cash management has always been an important issue in business management. If there is a problem, it will affect the development of the company, and the amount of cash held and R&D investment have a profound impact on the company. In addition to discussing the correlation between cash holdings and R&D investment in Taiwan's semiconductor industry, this article also analyzes whether R&D investment and cash holding decisions are affected when the industry faces the COVID-19 crisis. The research sample is analyzed based on the observations of 155 semiconductor companies in Taiwan from 2011 to 2020. The empirical results verify the cash management decisions of Taiwan's semiconductor industry take R&D investment as one of the considerations. Hypothesis 1: There is a positive correlation between cash holdings and R&D investment in Taiwan’s semiconductor industry. The analysis of the industry facing the COVID-19 crisis shows that the level of R&D investment and cash holdings did not impact the COVID-19 crisis as supported by hypotheses 2a and 2b, by which their positive relationship of hypothesis 1 was supported. The COVID-19 crisisis like an adjustment variable, and it appears to weaken the impact of industrial R&D investment on cash holdings as supported by hypothesis 3. In addition, the industries are grouped into upstream, mid-stream and downstream industries according to different types. Empirical analysis shows that when companies in upstream industries face the COVID-19 crisis, they tend to impact R&D investment on cash holdings as supported by hypothesis 4. This study sincerely suggests that the government continue to support industrial development through policies such as relevant regulations, R&D innovation subsidies, or a favorable employment environment.
Keywords: Semiconductor, Cash Holdings, R&D Investment, COVID-19 Crisis
EXCESSIVE PACKAGING AND GREEN BRAND EQUITY - THE MEDIATING ROLE OF ENVIRONMENTAL FRIENDLINESS AND ENVIRONMENTAL REPUTATION
陳宥杉
國立臺北大學企管系特聘教授兼主任秘書
姜漢儀
國立臺北大學企管系博士候選人
蔡晏辰
國立臺北大學企管系碩士
鄭宗宜
國立臺北大學企管系博士候選人
Yu-Shan Chen
Distinguished Professor, Department of Business Administration,
National Taipei University
Han-I Chiang
Ph. D. Candidate, Department of Business Administration,
National Taipei University
Yen-Chen Tsai
Master, Department of Business Administration,
National Taipei University
Tsung-Yi Cheng
Ph. D. Candidate, Department of Business Administration,
National Taipei University
ABSTRACT
To ensure environmental sustainability, governments worldwide are promoting carbon reduction policies. The Taiwanese government has also incorporated the 2050 net-zero emissions goal, demonstrating a strong commitment to carbon reduction. In response to government policies, companies have begun producing green or environmentally friendly products. This study explores the influence of excessive product packaging on green brand equity, and discusses the mediation effects of environmental friendliness and environmental reputation. Questionnaires were distributed using convenience sampling, and empirical analysis was conducted using Structural Equation Modeling (SEM). The results indicate that excessive product packaging can positively affect green brand equity directly, and negatively affect it directly via both environmental friendliness and environmental reputation.
Keywords: Green Brand Equity, Excessive Product Packaging, Environmental Friendliness, Environmental Reputation
商管科技季刊 
回首頁
網站導覽
會員服務
聯絡我們
