| 摘要: | 本研究以臺灣我國國內一般指數型ETF（Exchange Tracker Fund）為例，以Ben-David, Franzoni, Kim and Moussawi（2023）的研究為本研究基礎，透過臺灣經濟新報資料庫所提供之資料，年份以2003年第一檔發行ETF至2022年發行的最後一檔ETF時間共20年，並將區間內發行的ETF以市值歸類為主的廣基型ETF、以產業和主題歸類為主的專業化ETF，先是以價格和質量來區分廣基型ETF與專業化ETF在何者層面上佔有優勢，再透過多元回歸分析法，分別探討不同的變數，包括成本費用率、專業化、新聞資訊、資產規模、成立時間、週轉率等，對於廣基型ETF與專業化ETF的市場資金流，並於最後實證結果部分以Fama-French多因子回歸模型檢定廣基型ETF與專業化ETF的績效報酬何者表現最佳。
實證結果發現，廣基型ETF在價格上佔有優勢，專業化ETF則是在品質上佔有優勢，而ETF在資金規模上對於市場資金流有負向顯著的效果可能來自市場飽和程度的關係，最後在績效報酬上我們發現，廣基型ETF顯著勝過於專業化ETF績效。
;This study uses general index-based ETFs (Exchange Tracker Funds) in Taiwan as an example, based on the research by Ben-David, Franzoni, Kim, and Moussawi (2023). Utilizing data provided by the Taiwan Economic Journal (TEJ) database, the study covers a period of 20 years from the issuance of the first ETF in 2003 to the last ETF issued in 2022. The ETFs issued within this period are categorized into broad-based ETFs, primarily classified by market capitalization, and specialized ETFs, classified mainly by industry and theme.
The study first differentiates between broad-based ETFs and specialized ETFs in terms of price and quality to determine which type holds an advantage in each aspect. Subsequently, a multiple regression analysis is conducted to examine the impact of various variables, including expense ratios, specialization, news information, asset size, establishment time, and turnover rate, on the market capital flows of broad-based ETFs and specialized ETFs. Finally, the Fama-French multi-factor regression model is employed to test the performance and returns of broad-based ETFs versus specialized ETFs to identify which performs better.
The empirical results indicate that broad-based ETFs hold an advantage in terms of price, whereas specialized ETFs hold an advantage in terms of quality. The negative significant effect of asset size on market capital flows for ETFs may be due to market saturation. Ultimately, in terms of performance and returns, broad-based ETFs significantly outperform specialized ETFs. |
