其他摘要：Exchange-Traded Funds (ETFs) make it possible to trade index in cash market to response new information, especially market-wide information, rapidly. This paper uniquely analyzes market prices and net asset values (NAVs) of Taiwan Top 50 ETF for eight years to observe the dissemination of information be- tween ETF and high-cap stock markets and thus to comprehend the preference of investors while responding to new events. The results indicate that there exists a cointegrated system between two price series and the vector error correction model could be applied to describe their dynamics. For the first half of the 8-year data period, the NAVs lead the market prices in an absolute manner showing that since the lower liquidity of Tai- wan 50 ETF, informed traders still prefer to react to information by trading high-cap stocks. For the second half data period while the trading volume of the ETF has more than doubled, this outcome changes. The price discovery function of Taiwan 50 ETF has greatly enhanced. The two prices lead each other. Such evidence supports “market liquidity hypothesis”. The market timing strategy based on the lead-lag results above has better performance in the former data period, yet in the latter period while Taiwan 50 ETF enhancing its price discovery function, the return of that strategy decreased, and the risk increased.
关键词：指数股票型基金;信息传递;价格发现;向量误差修正模型
其他关键词：Exchange-Traded Funds (ETFs); Information Transmission; Price Discovery; Vector Error Correction Model
