지수 ETF와 파생형 ETF의 추적오차와 가격괴리율에 대한 비교분석

This study analyzed the tracking error and price error of index ETF following KOSPI200 index and derived ETF such as leverage ETF(2×), inverse ETF(-1×), and inverse-leverage ETF(-2×) using daily data. The main results are as follows. First, in the tracking error analysis, the longer the holding period, the greater the tracking error. The index ETF was not statistically significant, and the leverage ETF(2×) decreased the tracking error and the significance decreased as the passage of time. Inverse ETF(-1×) and inverse-leverage ETF(-2×) showed significant negative tracking error in most cases. Second, in the tracking error analysis by regression, all ETF did not track the underlying index effectively because they did not reach a certain magnification(1×, 2×, -1×, and –2×) of underlying index returns. Third, the average of price deviation was small and statistically significant, and the discount appeared to occur more frequently than the premium. And the price deviation was larger on the day when the underlying index rose in the inverse ETF(-1×) and inverse-leverage ETF(-2×), and the opposite phenomenon was observed in the index ETF and leverage ETF (2×). Overall, the ETF has more discount transactions and the price deviation is different from 0, which is not efficient. Also, the longer the holding period, the greater the tracking error, and the ETF return is significantly difference from the fixed magnification of the underlying index return.