臺灣定期存款利率長期偏低，投資人為尋求保值及穩健獲利，轉而投資股市。股市波動極大，股票種類又多，不利散戶的投資。近期熱門的指數股票基金(ETF)，具有分散投資風險、交易成本低廉、透明方便、流動性高且可以放空等優點，近年來逐漸受到台灣投資人關注。本研究蒐集2009 年到2014 年之臺灣50、中型100 及高股息指數成份股資料，研究其資訊外溢、超額報酬以及與公司治理變數的相關。結果發現，這些指數股票基金的成份股多有資訊外溢的現象，都有超額報酬的存在。本研究進一步探討公司治理變數對超額報酬之影響，發現公司經理人持股比例和臺灣50 及中型100 成份股的異常報酬率及累積異常報酬存在明顯的正相關；董事長兼任總經理和臺灣50 及中型100 成份股的異常報酬率及累積異常報酬在明顯的負相關。 The deposit rate in Taiwan has been low for a long time. In order to maintain their income and make profits, investors invest in the stock market. However, the fluctuating prices and varieties of stocks make it unfavorable to individual investors. Owing to possessing the advantage of diversification of investment risk, low transaction cost, transparency, and the allowance of short selling, Exchange Traded Funds (ETF) have drawn investors’ attention in Taiwan recently. The research collects the data of Taiwan 50 Index, Taiwan Mid-Cap 100 Index and Taiwan Dividend+ Index from 2009 and 2014 to investigate the correlation between information spillover, abnormal returns and corporate governance. The result shows that ETF with information spillover has abnormal returns. There is an obvious positive correlation between the ownership of corporate managers and the rate of abnormal returns and accumulated abnormal returns of Taiwan 50 Index and Taiwan Mid-Cap 100 Index. There is an obvious negative correlation between the ownership of chairmen and managing directors and the rate of abnormal returns and accumulated abnormal returns of Taiwan 50 Index and Taiwan Mid-Cap 100 Index.
