本文著眼於交易愈漸熱絡的ETF資本市場，探討追蹤美國S&P 500指數、全球交易量最高的ETF SPY在不同貨幣政策背景下的價量表現，以及評估美國S&P 500指數與其他衍生性商品（此處選用ETF和指數期貨）之間的投資組合績效。研究資料為2002年10月16日至2017年9月28日的日報酬資料。本研究採用GARCH模型和CARR模型來估計投資組合的平均數和變異數方程式，加入避險比率，分別記錄不同持有期内，不同的投資組合会产生的避险绩效，并分析在不同貨幣政策時期風險投資組合的避險效益，進一步探索ETF的功能。

This article is based on the increasingly heated ETF capital markets and researches on the performance of the ETF SPY which tracks the S & P 500 index and whose traded volume ranks first in the world, with its underlying index in the background of different Monetary Policies, and to assess the safe-haven performance between the US S&P 500 index and other derivative products (here we adopt ETF and index futures). The sample employed in this study was spanning the period from October 16, 2002 to September 28, 2017, with total 3677 observations. In this study, the GARCH model and the CARR model were adopted to estimate the average and variance equations of the portfolio. The hedge ratios were added to record the changes of the portfolio variations and different risk-averse benefits under the different holding periods.

Contents
Chapter 1	Introduction	1
1.1	Research Background and Motivation	1
1.2	The Purposes of This Study	6
1.3	The Outline of This research	7
1.4	The Flow Chart of This Research	9
Chapter 2	Literature Review	10
2.1.	the functions of ETF commodity in recent years	10
2.2.	Monetary Policy’s Effect on financial products’ returns	12
2.3.	the hedging performance of different portfolio	15
Chapter 3	Econometric Framework	19
3.1.	Preliminary Test	20
3.1.1.	Augmented Dickey-Fuller（ADF） Unit-Root Test	20
3.1.2.	Phillips-Perron（PP）Unit-Root Test	21
3.1.3.	ARCH Test	21
3.2	GARCH Model	22
3.3	CARR (Conditional Autoregressive Range) Model	23
3.4	Model Set	25
3.5	Risk Minimizing Hedge Ratio	25
3.6	Evaluation of hedging effectiveness	26
3.7	Empirical research and analysis steps	27
Chapter 4	Data Description and Preliminary Analysis	30
Chapter 5	Empirical Results	35
Chapter 6	Conclusions	39
Renference	40

List of Figures
Figure 1 the tendency of listed numbers of ETFs from 2003 to 2017	2
Figure 2 the Federal funds rate and the volume of SPY from 2000 to 2017	5
Figure 3 Flow Chart of this Study	9
Figure 4 One day’s forecast out of sample	28
Figure 5 Method of moving windows—holding period（one month）and estimated period（1540 days）	28
Figure 6 the daily close price of SPY and S&P 500 index and their volume from 19930101 to 20160101	31

List of Tables
Table 1 Data Period	29
Table 2 Summary Statistics on Return Series	32
Table 3 Unit Root Test	33
Table 4 Estimated Results from the GARCH (1,1) Model of the index	35
Table 5 Estimated Results from the CARR (1,1) Model of Different Markets	36
Table 6 Evaluation of Hedging Performance of ETF and Futures	37
Table 7 Evaluation of Hedging Performance of ETF and Futures under tight or loose monetary policies	38

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