台灣50相關ETF基金流量與報酬之關聯研究

本研究主要驗證台灣50指數報酬和追蹤其ETF基金流量之間的關聯性，研究對象包括元大台灣50、富邦台50、元大台灣50反1、元大台灣50正2。並驗證報酬和流量的相關假說，包含價格壓力假說、回饋交易假說、反向假說、資訊假說。研究結果顯示，落後一天的指數報酬對應當天元大50、富邦50、元大正2這三檔ETF流量有顯著負相關，而對元大反1流量有顯著正相關，且落後天數越長影響效果越小，支持反向假說。而在落後期ETF基金流量對應當期指數報酬並沒有顯著關係，不支持價格壓力假說與資訊假說，表示市場投資人不會將追蹤台灣50指數相關ETF基金流量做為影響指數報酬的參考指標。另外加入未預期基金流量與加入成交量當做控制變數進行實證，所得到的結論與先前結論相同，使VAR模型所得到的結果更具穩健性。

關鍵字

台灣50指數；基金流量；向量自我迴歸模型；價格壓力假說；回饋交易假說；反向假說；資訊假說

並列摘要

This research mainly verifies the correlation between the return of Taiwan 50 index and the tracking of its ETF fund flows. The research subjects include Yuanta Taiwan Top 50 ETF, Fubon FTSE TWSE Taiwan 50 ETF, Yuanta Daily Taiwan 50 Bear -1X ETF, Yuanta Daily Taiwan 50 Bull 2X ETF.We also tested the relevant hypothesis of return and flow, including price pressure, feedback trading, contrarian strategy and information.The research results show that the index return of one day behind has a significant negative correlation to the three ETF flows of Yuanta Taiwan Top 50 ETF, Fubon FTSE TWSE Taiwan 50 ETF and Yuanta Daily Taiwan 50 Bull 2X ETF, while has a significant positive correlation to the flow of Yuanta Daily Taiwan 50 Bear -1X ETF, and the longer the days behind, the smaller the effect, supporting the contrarian strategy hypothesis.However, there is no significant relationship between the ETF fund flow and the current index return in the post fall period, which does not support the price pressure and information hypothesis, indicating that market investors will not use tracking the ETF fund flow related to the Taiwan 50 index as a reference index to affect the index return.In addition, adding unexpected fund flows and volume as control variables for empirical research, the conclusions obtained are the same as the previous conclusions, making the results of the VAR model more robust.

並列關鍵字

Taiwan 50 index ； fund flow ； vector autoregression model ； price pressure hypothesis ； feedback trading hypothesis ； contrarian strategy hypothesis ； information hypothesis