| dc.description.abstract | This thesis takes prototype ETF that have been issued in Taiwan for more than 5 years as samples, and uses regression analysis to explore the explanatory power of ETF net flow and trading volume on ETF returns. Smart money effect, that is, the net flow of the fund has the ability to predict the rate of return of the fund. Funds with high net flow in the previous period have obvious excess return in the current period, so investors can make investment decisions by observing the net flow of the fund; In the past, mutual funds were the main prodoct focus of research on the smart money effect, forming a series of research themes. This study explores whether ETF also have the smart money effect. The empirical results show that it couldn’t prove that ETF issued in Taiwan have the smart money effects, that is, investors cannot determine the performance of the current period by observing the level of netflow of the ETF in the previous period. The reason may be related to the irrational reverse operation of retail investors; The analysis of the ETF rate of return shows that there are many ETFs that show that the previous high trading volume has a significant negative impact on the current ETF’s rate of return. The possible reason is that the domestic ETF is a buyer’s market, and investors are overconfident. When the current price is too high, the transaction The increase in volume makes the price easy to reverse in this period. | en_US |