The Threshold Effect of Taiwan’s ETF under Monetary Policy

Abstract

Taiwan’s central bank directly produces tightening or easing effects by controling the rediscount rate, and indirectly affects the Taiwan stock market, and the ETF is a fund that tracks the index on the Taiwan stock market. The three are closely related. Daily data in the period from September 28, 2011 to September 28, 2020 was adopted for this study to investigate, under the monetary policy threshold, if there was dynamic correlation for the influence of Taiwan’s stock market on ETF; meanwhile, the price return rate of weighted index of Taiwan’s stock market was used as independent variable, and dependent variable was ETF price return rate, and rediscount rate was used as conversion variable, then empirical analysis was conducted. The results of the study found that there is a dynamic relationship between the Taiwan stock market and ETF.