| dc.description.abstract | 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. | en_US |