槓桿型及反向型ETF交易與標的指數報酬之關係研究

本研究旨在探討槓桿型及反向型ETF之交易活動是否與其標的指數報酬存在特定關係，以及此特定關係之產生是否源於投資者理性的交易行為。研究方式主要透過Johansen共整合檢定、VECM向量誤差修正模型與Granger因果關係檢定，檢驗自2017至2019年，台灣與中國12檔槓桿型及反向型ETF之每日淨買入金額，與其標的指數日報酬之間的交互關係；並再藉由分析報酬序列之自我相關性，探討標的指數報酬之動能效應，以判定投資者的交易行為模式是否理性。實證結果指出在Granger 因果關係上，標的指數日報酬將會影響槓桿型及反向型ETF的每日淨買入金額，而VECM則進一步顯示此關係在槓桿型（反向型）ETF上為正向（負向），亦即當標的指數日報酬為正時，槓桿型（反向型）ETF未來短期之淨買入金額將增加（減少），反之亦然。此結果隱含投資者預期指數報酬在未來將會延續現有態勢，並將此納入投資考量之心態。然而本文在最後報酬動能效果的研究中發現，不同期的報酬間事實上存在極低的相關性且未具有動能效果，意謂著投資者現存之交易行為模式實屬非理性，而這也反應台灣投資市場以散戶為主的現況。

關鍵字

槓桿型反向型ETF ； Johansen共整合檢定； VECM向量誤差修正模型； Granger因果關係檢定；動能效應

並列摘要

This research aims to investigate whether the trading activities of leveraged and inverse ETFs have a specific relationship with their underlying index returns, and whether this specific relationship arises from the rational trading behavior of investors. The research applies Johansen Cointegration Test, Vector Error Correction Model, and Granger Causality Test to examine the relationship between the net purchases of 12 leveraged and inverse ETFs in Taiwan and China and their underlying index returns from 2017 to 2019 on a daily basis. Furthermore, by analyzing the autocorrelation of the underlying index returns, the study also explores the momentum effect of the index returns to determine whether the investors’ trading behavior is rational. The empirical results show that daily underlying index returns granger cause net purchases of the leveraged and inverse ETFs. Moreover, the VECM signifies that this relationship is positive (negative) on the leveraged (inverse) ETFs; that is, when the underlying index return is positive, the net purchases of the leveraged (inverse) ETFs will increase (decrease) in short-term, and vice versa. This result implies that the investors expect the index returns to continue the current trend in the future and thus trade the ETFs accordingly. However, the momentum research in the last part found that the correlation between different return periods are in fact quite low and no significant momentum effect exists. This indicates the investors’ current trading behavior tends to be irrational, which can be partly attributed to the domination of retail investors in Taiwan’s investment market.