追蹤誤差為衡量ETF績效的重要管理指標，即檢驗ETF報酬率與標的指數報酬率之差異波動度，本研究透過三種不同計算追蹤誤差方法檢測台灣、香港與上海三地間掛牌追蹤上證50指數之ETF追蹤誤差。先前文獻的研究焦點多在以淨值計算的追蹤誤差，本文除利用淨值，更利用市價來計算追蹤誤差。本研究期間為2013年10月至2019年12月，在台灣、香港及上海交易所中各取一檔追蹤上證50指數之ETF做為樣本。
    實證結果發現，在上海交易所掛牌上市之華夏上證50 ETF在三檔ETF中追蹤績效最好，因為其透過淨值計算之追蹤誤差最小者。不論以何種計算方式追蹤誤差方法，平均每月追蹤誤差皆小於0.04%，主要原因為華夏上證50 ETF指數報酬率貼近上證50指數報酬。本文進一步以三檔ETF為樣本做迴歸分析，發現顯著影響淨值追蹤誤差的變數為匯率波動率及指數波動度。然而，透過市價來計算追蹤誤差時，研究發現顯著影響市價追蹤誤差的變數為ETF總費用率、流動性、匯率波動率及指數波動度。
    本研究建議市場投資人在台灣、香港及上海三地間選擇追蹤上證50指數之ETF時，應選擇華夏上證50 ETF，因為其追蹤誤差最小。

The tracking error is an important management indicator to measure ETF performance, that is, to provide information about the volatility of differential returns between the ETF and the underlying index. This study uses three different methods to calculate the tracking errors. The research focus of the previous literature is mostly on the tracking error calculated by net asset value. In addition to using the net asset value, this article also uses the market price to calculate the tracking error. This research period is from October 2013 to December 2019. This study takes one ETF from each of three exchanges as a representative sample.
The empirical results show that ChinaAMC China 50 ETF listed on Shanghai has the best tracking performance among three ETFs because the tracking error calculated by net asset value is the smallest. No matter what kind of the method is used for calculating tracking error, the average monthly tracking error is less than 0.4%. The main reason is that the return rate of the ChinaAMC China 50 ETF is close to the return of the SSE 50 Index. This paper further uses three ETFs as a sample for regression analysis and documents that the variables that significantly affect the tracking error calculated by net asset value are exchange rate volatility and index volatility. However, when calculating the tracking error through the market price, the study find that the variables that significantly affect the market price tracking error are the ETF total expense ratio, liquidity, exchange rate volatility, and index volatility.
This study recommends that when market investors choose ETF that tracking the SSE 50 Index among Taiwan, Hong Kong and Shanghai, they should the ChinaAMC China 50 ETF because it has the smallest tracking error.

目　錄
目　錄	V
表　目　錄	VII
圖　目　錄	VIII
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	2
第三節	研究架構與流程	3
第二章	指數化投資的發展與市況	4
第一節	指數化投資之起源	4
第二節	ETF 	5
第三節	指數化投資績效管理指標	9
第四節	股票型基金與指數化基金之比較	10
第五節	指數化投資市況	11
第三章	文獻探討	13
第一節	國內文獻	13
第二節	國外文獻	16
第三節	文獻評析	22
第四章	研究方法	25
第一節	研究資料與樣本期間	25
第二節	追蹤誤差	26
第三節	追蹤誤差的影響因子	29
第五章	實證結果與分析	36
第一節	追蹤誤差之比較	36
第二節	三檔基金之報酬率表現	42
第三節	三檔基金之年追蹤誤差	43
第四節	迴歸分析	45
第六章	結論	52
第一節	結論	52
第二節	建議	53
參考文獻	55

 
表　目　錄
表2.1、指數複製方法	7
表2.2、股票型基金與指數化基金之比較	11
表3.1、ETF之追蹤誤差相關文獻整理	22
表3.2、變數名稱、對追蹤誤差之預期影響	24
表4.1、追蹤上證50之ETF樣本列表	26
表5.1、淨值追蹤誤差TE1之敘述統計表	36
表5.2、淨值追蹤誤差TE2之敘述統計表	37
表5.3、淨值追蹤誤差TE3之敘述統計表	38
表5.4、市價追蹤誤差TE1之敘述統計表	38
表5.5、市價追蹤誤差TE2之敘述統計表	39
表5.6、市價追蹤誤差TE3之敘述統計表	39
表5.7、ETF市價追蹤誤差與ETF淨值追蹤誤差之差異檢定結果	40
表5.8、ETF市價追蹤誤差與ETF淨值追蹤誤差之Wilcoxon檢定	41
表5.9、年追蹤誤差TE1之比較表	44
表5.10、年追蹤誤差TE2之比較表	44
表5.11、年追蹤誤差TE3之比較表	45
表5.12、各解釋變數之平均數	46
表5.13、全樣本淨值追蹤誤差迴歸分析結果	47
表5.14、全樣本市價追蹤誤差迴歸分析結果	48
表5.15、元大上證50 ETF迴歸分析結果	49
表5.16、華夏上證50 ETF迴歸分析結果	50
表5.17、標智上證50 ETF迴歸分析結果	51


圖　目　錄
圖1.1、研究流程圖	3
圖5.1、樣本ETF與追蹤標的淨值報酬走勢	42
圖5.2、樣本ETF與追蹤標的市價報酬走勢	43

參考文獻
一、中文文獻
1.王韻晴，(2004)，「我國指數股票型基金上市後之績效分析」，國立政治大學財務管理學系碩士班碩士論文。
2.李存修和尤亭歡(2015)，「台灣、香港、中國大陸三地ETF追蹤誤差之研究」，兩岸金融季刊，第3卷第1期，頁1-22。
3.林允永和謝文良，(2009)，「臺灣50指數股票型基金之追蹤誤差與定價效率」，財務金融學刊，第17卷2期，頁1-34。
4.黃鈺民，(2014)，「台灣ETF之追蹤誤差績效評估」，私立東吳大學經濟學系碩士在職專班碩士論文。

二、英文文獻
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