臺灣、香港、中國大陸三地ETF追蹤誤差之研究

An Investigation of ETF Tracking Errors in Taiwan, Hong Kong and Mainland China

本文以臺灣、香港及中國大陸上市之指數股票型基金（ETF）為研究標的，探討2009年至2013年間ETF的追蹤誤差。研究結果顯示ETF淨值月報酬率低於標竿指數月報酬率，可能由於ETF管理費用及複製指數之交易成本降低ETF淨值報酬率。若以ETF報酬與標的指數報酬差異之絕對值為追蹤誤差的衡量，則臺灣、香港、中國大陸三地ETF之月平均追蹤誤差，在1％顯著水準下均顯著異於0。中國大陸的ETF月平均追蹤誤差顯著小於臺灣及香港，主要由於中國大陸ETF目前仍以追蹤本地指數標的為主，少了因匯率波動及採用合成式複製策略造成之追蹤誤差。若以本地指數ETF相比較，則臺灣的追蹤績效優於香港及中國大陸，而外國指數ETF方面則是香港的追蹤績效較佳。本文進一步以兩岸三地30檔ETF為樣本做迴歸分析，發現總費用率、匯率、資產規模、成交量、ETF複製指數策略及區域別的追蹤績效等因子皆顯著影響ETF追蹤誤差的大小。

This paper estimates tracking errors in exchange traded funds (ETFs) listed on the stock exchange in Taiwan, Hong Kong and China from 2009 to 2013. The results show that the monthly ETF returns underperform the benchmark index returns due to ETF management fees and transaction costs. The magnitudes of absolute value of difference between ETF returns and index returns from Taiwan, Hong Kong and China averages 48.03, 45.76 and 31.24 basis points per month, respectively, which are significantly different from zero at the 1% level. The results also suggest that the monthly tracking errors are comparatively lower in China ETFs than in Taiwan and Hong Kong ETFs, because most ETFs in China comprise only domestic securities, which reduces tracking errors caused by changes in the exchange rate. A comparison of tracking errors in ETFs comprising only domestic securities among three areas indicates that tracking performance in Taiwan ETFs is better than that in Hong Kong and China ETFs. When comparing tracking errors in ETFs comprising foreign securities among three areas, the tracking performance in Hong Kong ETFs is superior to that in the other two areas. Further analysis documents that the magnitude of tracking errors is related to total expense ratio, exchange rate, fund size, trading volumes of funds, index replication strategies and tracking performance by areas.