經濟與管理論叢(Journal of Economics and Management)  
  Volume 13, No. 1  
  February, 2017  
     
 

Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs:

 
  A Hellinger Distance Measure Research  
   
 

Chui Chun Tsai

 
  Department of Accounting, Providence University, Taiwan  
   
  Tsun Siou Lee  
  Department of Finance, National Taiwan University, Taiwan  
   
 

Abstract

 

This paper empirically investigates the liquidity-adjusted Value-at-Risk (LaVaR) of TWSE Leverage/Inverse ETFs using the Hellinger distance measure by sensitizing endogenous liquidity risk with trade sizes at 1%, 3%, and 6%. By incorporating adjusted exogenous and endogenous liquidity risk, we find that LaVaR produces more accurate risk estimates and increases with trade size. The practical failure rates of all ETFs are largely consistent with their theoretical failure rates. Despite the use of different empirical models, China ETFs have a higher risk level than Taiwan ETFs in both bullish and bearish markets.

   

 

 

Keywords: LaVaR, TWSE leverage/inverse ETFs, hellinger distance                      measure, exogenous liquidity risk, endogenous liquidity risk 

 

 

JEL classification: G32, D81, C58

 

 
   

 

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