雖然中國ETF是在台灣的股市發行，但是它追蹤的指數還是以中國的為主，因此本篇研究想知道是否與中國ETF相關的變異數會影響中國ETF產生折溢價。本篇研究引用Engle and Sarkar (2006)中的三個模型來進行檢測，這七支中國ETF和與中國ETF相關變異數的資料皆來自台灣經濟新報資料庫(TEJ)，檢測時間從中國ETF在台發行的時間開始到2015年11月30日。最後，本篇研究希望證實與中國ETF相關的變異數確實會影響中國ETF產生折溢價的情形，利用這些變異數產生預測的模型，以提供主管機關做為制定政策及投資人形成投資決策時的參考。

Although China ETFs are issued in Taiwan stock market, they track index in China stock market. The purpose of this study is to investigate whether the variances associated with China ETFs could affect the premiums or discounts of China ETFs. We apply three models mentioned in Engle and Sarkar (2006) to do the research. We obtain the data of China ETFs and the variances from TEJ database, the data period extends from the beginning of China ETFs issued in Taiwan until 2015/11/30. We will show that the results of our empirical study strongly support our hypothesis. Then , we use the results to generate predictive models .These could benefit not only to the government’s policy but also to investors’ investment decisions, with respect to China ETFs issued in Taiwan.

第一章 緒論........................................................1
1.1 研究背景與動機..............................................1
1.2 研究目的....................................................2
1.3 研究架構....................................................2
第二章 文獻探討....................................................3
第三章研究方法.....................................................5
3.1 研究設計....................................................5
3.1.1 模型一................................................5
3.1.2 模型二................................................5
3.1.3 模型三................................................7
3.1.4 Coverage Probability..................................8
3.2 樣本選取的標準與資料來源....................................9
3.3 樣本的敘述統計..............................................10
第四章 實證結果與分析..............................................12
4.1 相關變異數對折溢價的影響....................................12
4.1.1 檢測折溢價的存在......................................12
4.1.2 OLS 迴歸..............................................12
4.2 建立預測的模型..............................................15
4.2.1 一階自我相關模型......................................15
4.2.2 GARCH(1,1) 模型.......................................15
4.3 預測模型的配置效果..........................................19
4.3.1 配置預測的模型........................................19
4.3.2 檢測預測模型的效果....................................21
第五章 研究的結論與建議的方向......................................22
5.1 研究的結論..................................................22
5.2 建議的方向..................................................23
參考文獻...........................................................24

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卓朝閔(2008)，「GARCH對風險值預測的實證研究~以台灣加權指數期貨為例」，
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張育瑋(2009)，「TAR模型建模之相關議題」，國立清華大學統計研究所碩士論文

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