Record Details

Is Taiwanfs First Exchange Traded Fund Efficient?

Journal of Financial Studies

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Title Is Taiwanfs First Exchange Traded Fund Efficient?
 
Creator Andy Lin
Fan-Ju (Christina) Meng
 
Description Taiwanfs first ETF, TTT, was launched in June 2003. In addition to the characteristics and performance of TTT, this research examined whether ETF is a better choice for Taiwanfs investors by applying the mean-variance analysis and portfolio evaluation techniques. In the mean-variance analysis, the empirical result shows that TTT has a smaller standard deviation as compared to its fifty underlying stocks, which makes TTT an attractive investment tool for Taiwanfs conservative investors. However, further examination shows that the performance of TTT is relatively unsatisfactory in comparison with the market benchmark portfolio and a hypothetical portfolio. Evidently, TTT, based on the market capitalization in determining the allocation weights, does not yield the most appealing portfolio while the hypothetical portfolio, which applies the Markowitzfs theoretical framework, is showing more attraction during the sample period. In an attempt to further validate the results, the examination was applied to an extended period. Statistical results prove that the hypothetical portfolio still outperforms TTT in two of three performance measures. After incorporating various costs of portfolio construction and rebalancing as well as transaction taxes, the hypothetical portfolio retains its dominance, suggesting another dimension for future ETF formation.

Key words:exchange traded fund, portfolio theory, efficient portfolio, Sharpe ratio, Treynor ratio, Jensen Index.
 
Publisher Journal of Financial Studies
財務金èžå­¸åˆŠ
 
Date 2011-06-22
 
Type —
 
Format application/pdf
 
Identifier http://www.jfs.org.tw/index.php/jfs/article/view/2011167
 
Source Journal of Financial Studies; Vol 12, No 3 (2004); 107
財務金èžå­¸åˆŠ; Vol 12, No 3 (2004); 107
 
Language —