| 摘要: | ETF是追蹤指數表現的金融商品，理論上在無交易成本及套利活動頻繁的情形下，股價指數及其追蹤者ETF間應呈均衡關係，走勢應為同時的，但在現實的交易環境、市場結構、交易機制與法規面等因素的不同，可能影響ETF市價與其淨值間差距。本研究旨在探討台灣ETF投資績效與訂價效率及其影響上述投資績效與訂價效率之因素。研究期間自2013年1月1號至2022年12月31號止，共計10年，資料來源為台灣經濟新報資料庫。研究結果發現，報酬率以產業型ETF0.239為最高，最低者為主題型為0.121，追蹤誤差最大者為產業型為0.5960，最低者為策略型之為0.3632，其訂價效率最佳。ETF報酬率迴歸分析，折溢價率、淨值變動率、市值均對報酬率呈現正向影響，而類型、追蹤誤差則對報酬率呈現負向影響，再者，影響追蹤誤差之因素中，折溢價率及市值對追蹤誤差呈現顯著正向影響而類型、總費用率及銀行利率則對追蹤誤差呈現顯著反向影響。
ETF is a financial product that tracks the performance of the index, in theory, without transaction costs and frequent arbitrage activities, the stock price index and its tracker ETF should be in a balanced relationship, the trend should be simultaneous, but in the actual trading environment, market structure, trading mechanism and regulations and other factors may affect the market price and its net worth of ETF. This study aims to explore the investment performance and pricing efficiency of ETFs in Taiwan and the factors affecting the above investment performance and pricing efficiency. The research period was from January 1, 2013 to December 31, 2022, a total of 10 years, and the data source is from the Taiwan Economic News database (TEJ). The results show that the highest rate of return is 0.239 for industrial ETFs, and the lowest rate of return is 0.121 for thematic ETFs. The highest tracking error is 0.5960 for industrial ETFs and lowest 0.3632 for trategic ETFs. The results of regression analysis shows that the discount premium rate, net value change rate and market value have a positive impact on the return rate RET, while the type TYPE and tracking error have a negative impact on the return rate, and furthermore, the factors affecting the tracking error, the discount premium rate and market value showed a significant positive impact on the tracking error, while the type, total expense ratio and bank interest rate showed a significant reverse impact on the tracking error. |
