近年來台灣市場槓桿及反向ETF規模及成交量日益劇增，影響市場價格波動加劇，本論文以台灣證券交易所目前架上所有槓桿型及反向型ETF做為樣本，使用迴歸分析，探討正反向ETF三大法人買賣超對現股ETF的預測能力。 三大法人買賣超佔整體股市交易比例相當高，除了三大法人的資金雄厚對市場具有影響力外，三大法人投資的脈動也影響市場的看法，甚至對股價具有一定的影響力，而買賣超的結果也常被市場喻為對該市場交易意見分歧的最終結果。本文提出兩個假設，分別假設槓桿型ETF的三大法人買賣超對隔日現股ETF報酬呈正向關係，以及反向型ETF的三大法人買賣超對隔日現股ETF報酬呈負向關係。以迴歸模型進行檢驗，發現無論將槓桿型、反向型ETF一起觀察三大法人買賣超對現股隔日報酬，或是分別運用虛擬變數區分買賣超，觀察槓桿型和反向型ETF三大法人的買超和賣超分別對現股隔日報酬的影響，均發現槓桿型ETF無論整體或分別買賣超，均顯示無法符合正向關係的預期，但反向型ETF無論從整體或是分別買賣超的分析，均有顯著證明三大法人買賣超反向型ETF，對隔日現股ETF報酬具有負向關係，其中又以元大台灣50、元大寶滬深、富邦台灣加權、國泰美國道瓊以及富邦印度，這五檔反向型ETF的負向關係最為顯著，代表三大法人在反向型ETF操作上有較好操作的能力，而對於槓桿型ETF的操作卻不如預期。;In recent years, the scale and trading volume of leveraged and inverse ETFs in the Taiwan market have increased dramatically, which has affected market price fluctuations. This paper takes all leveraged and inverse ETFs currently on the Taiwan Stock Exchange as samples, and uses regression analysis to discuss the influence of over-trading by institutional investors on the current stock index. This paper makes two assumptions. One assumed that institutional investors trading leveraged ETFs have a positive relationship with the returns of the current stock ETFs on the next day. The other assumed that institutional investors trading inverse ETFs have a negative relationship with the returns of the current stock ETFs the next day. In conclusion, leveraged ETFs all show that they cannot meet the expectations of a positive relationship. However, inverse ETFs all have significant evidence that institutional investors have a negative relationship with the return of the current stock ETF the next day.
