MODELING A THREE-STAGE NETWORK DATA ENVELOPMENT ANALYSIS MODEL - A CASE OF EFFICIENCY ANALYSIS FOR EXCHANGE TRADED FUNDS

作     者：Kao, Chen-Yu Phung, Manh-Trung Cheng, Cheng-Ping Chung, Wen-Hung 

作者机构：Natl Yunlin Univ Sci & Technol Dept Finance 123 Univ RdSect 3 Touliu 64002 Yunlin Taiwan Chaoyang Univ Technol Dept Insurance 168 Jifeng East Rd Taichung 413310 Taiwan Vietnam Maritime Univ Fac Financial Management 484 Lach Tray St Hai Phong City Vietnam 

出 版 物：《INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL》 (Int. J. Innov. Comput. Inf. Control)

年 卷 期：2021年第17卷第5期

页      面：1653-1666页

核心收录：

学科分类：08[工学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

主　　题：Network data envelopment analysis Efficiency decomposition Exchange traded funds 

摘      要：In order to explore the efficiency of Taiwan s Exchange Traded Funds, we apply a three-stage network data envelopment analysis model to assessing overall and stage-level performance. These empirical results reveal that good overall performance, generally, may not suggest good allied process performance or good portfolio management performance. In the ETF performance appraisal literature, the focus is predominantly on the fund portfolio with main considerations being risks, returns, and costs. Our performance appraisal approach is beneficial to ETF management because findings are based on models that accommodate multiple measures of performance and in a comprehensive network representation of the overall fund management process. Out of the 87 ETFs considered in our empirical analysis of Taiwan ETFs, we find the top 10 best performers ETFs in terms of overall efficiency, each of these ETFs is either a bond ETF or an ETF that shortens (or bets against) the financials space. The portfolio managers can use the source of ETF s inefficiency revealed by three-stage network DEA to identify which ETFs that they could emulate in order to achieve efficiency in the future.