本文研究旨在分析指數股票型基金與成分股間的報酬與波動情形，藉以提供投資人作為參考。本研究指數股票型基金分別為台灣50(0050)、寶電子(0053)、台商50(0054)及寶金融(0055)，樣本期間為2009年至2013年，共計5年，採以日資料進行迴歸估計實證分析，文中運用GARCH模型、EGARCH模型以及GJR-GARCH模型等三種研究方法，進行報酬波動之估計。 比較四檔指數股票型基金間的報酬與波動，主要受到國際政經情勢影響，尤以美國的政策擬定與推行對於台灣股市表現的有顯著的影響。研究結果發現，台灣指數股票型基金以台灣50(0050)表現為最佳。在樣本期間2009年至2011年，關於美國經濟數據、就業報告的公布及聯邦準備理事會貼現率的調升等事件，寶金融(0055)價格波動程度最大。在樣本期間2012年至2013年，事件關於美國聯邦赤字問題及台灣金管會對於外資採取限制措施，台商50(0054)波動程度最大。全部樣本期間內，台灣50(0050)在四檔的指數股票型基金中波動最為平穩。 This paper aims to analyze the returns and volatility between the exchanges traded funds and constituents, in order to provide investors with a reference. In this study, the exchange traded funds are Taiwan 50(0050), Yuanta/P-shares Taiwan Electronics Tech ETF (0053), Yuanta/P-shares S&P Custom CHN Ply 50ETF (0054), and Yuanta/P-shares Taiwan Finance EFT(0055), with sample period from 2009 to 2013, a total of five years, taking the daily data to conduct regression estimation empirical analysis. In this thesis, three research methods as GARCH model, EGARCH model, and GJR-GARCH model are used to estimate the return volatility. The return and volatility of four exchange traded funds after comparison is mainly affected by International political and economic situation, especially the policy formulation and implementation of the United States has a significant impact on Taiwan's stock market performance. From 2009 to 2011, the return volatility of Yuanta/P-shares Taiwan Finance EFT(0055) influenced by U.S. economic data and employment report released, and the Fed raised the discount rate was the the most volatitle among the four ETFs. The volatility of Yuanta/P-shares S&P Custom CHN Ply 50ETF(0054) which was effected by the U.S. federal deficit and Taiwan Financial Supervisory Commission to take measures to limit foreign investment form 2012 to 2013 became the most flutuate. Among these four exchange traded funds, we find that the return volatility of Taiwan 50(0050) is relative stable.
