中國指數股票型基金投資組合策略分析

Analysis of Investment Portfolio Strategies in China’s Exchange Traded Fund Market

"本研究主要目的在於檢測中國ETF商品價格與成交量之領先落後關係，實證模型採用追蹤資料向量自我迴歸模型（Panel Vector Autoregressive Models, Panel VAR），且考量商品間存在個體異質性與資訊傳遞不對稱的現象，乃進一步透過ETF商品流動性與價格動能進行臨摹投資組合建構。實證結果發現ETF商品報酬率與成交量具有雙向因果及彼此交互影響的關係，當價格產生非預期衝擊時，成交量將修正回復至穩定狀態，反之當成交量產生非預期衝擊時，價格並無法立即回復穩定。此外，高流動性與股價表現較佳的ETF商品投資組合，具有顯著的正向超額報酬，但表現較差的ETF商品投資組合，則具有負向顯著報酬，此結果皆一致性支持本研究對於中國ETF市場，存在個體異質特性及流動性溢酬差異的假設，且結合市場成交狀況下的動能交易策略，可有效提高整體投資績效。"

The purposes of this paper aim to examine the lead-lag relationships between stock price and trading volume in Chinese ETF market. The Panel VAR model is used to estimate for our objectives. In addition, considering the phenomenon of individual heterogeneity and information asymmetry and investigating the abnormal return of ETF investment portfolio, this study uses liquidities of ETF commodities and price momentum to build the mimicking portfolio. Empirical results show that there are bi-directionality between market price and trading volume. When the shock in market price happened, the trading volume will be returned to the equilibrium. However, When the shock in trading volume happened, the market price cannot be returned to the stable situation in short run. Moreover, the ETF portfolio with high liquidity and better performance has significant abnormal returns, and the ETF portfolio with low liquidity and worse performance present negative abnormal returns. Consequently, the overall results consistently support our hypotheses in Chinese ETF market. The Chinese ETF market holds the phenomenon of individual heterogeneity and liquidity risk. This also suggest that market investors should consider the price momentum strategies and the situation of market trades in order to improve the investment performance.