台灣 ETF ( 0050.TW & 0056.TW ) 之成分股與非成分股之報酬率與報酬波動度差異分析

Analysis of the difference in return and return volatility between constituent stocks and non-constituent stocks of Taiwan ETF ( 0050.TW & 0056.TW )

黃譯德(Huang Yi-De)

指導教授 ： 張興華

國立政治大學/商學院/金融學系/碩士(2020年)

https://doi.org/10.6814/NCCU202001795

摘要

本文以台灣證交所上市的股票指數型 ETF 所上市的多檔 ETF 中挑選管理規模最大的兩檔 ETF ( 0050.TW 與 0056.TW ) 當作參考樣本，並針對台灣加權股價指數中所有的 個股進行 ETF 對其影響的全面性分析。本研究採用了 ETF 涵蓋與否當作虛擬變數、 ETF 所有權變數、 ETF 流量變數，以及新增及移除等變數，使用縱橫資料之迴歸分析，試圖驗證國外對 ETF 相關的假設是否也對台灣 ETF 市場成立，本文主要想驗證的假設為上述所提及之變數是否為影響股票的報酬率和報酬率波動度。本文實證及果證明當個股被納入 ETF 確實會影響報酬率和波動度，但是如果 ETF 所有權持有比重不高的話其波動度是下降的，反觀若 ETF 持有比重高則波動度會提高，這部分符合當個股納入 ETF 之中，買/賣壓會透過價格傳遞機制影響價格波動度，而雜訊交易者的加入進一步推升波動度。

關鍵字

指數股票型基金 ； 波動度 ； 基金現金流 ； 流動性

並列摘要

This article selects the two largest-scale ETFs ( 0050.TW and 0056.TW ) from the ETFs listed on the Taiwan Stock Exchange to test the stock in TWSE. This study carried out whether the ETF coverage will significantly the underlying. Our research adopted a coverage of ETF as a dummy variable, ETF ownership variable, ETF Flow variable, and addition and deletion variables to conduct a comprehensive analysis. Using Panel Data Regression Analysis, the model attempts to verify whether the assumptions about ETFs that have been outside having also been established for the Taiwan ETF market. The hypothesis that we want to verify here is whether the variables above will affect returns and volatility. The empirical evidence here proves that when a stock is included by an ETF, it does affect the rate of return and volatility. However, if the proportion of ETF ownership is low, the degree of change will decline. By contrast, if the ETF holds a high proportion, the degree of variability will increase, which partly in line with the result in other papers. This result implies Authorized Participant ( AP ), and noise traders will affect the volatility of the underlying asset.

並列關鍵字

ETFs ； Volatility ； Fund flows ； Liquidity

參考文獻

Itzhak Ben-David, Francesco Franzoni, and Rabih Moussawi ( 2016 ), Do ETFs Increase Volatility?, Journal of Finance, P. 16, 33

Sophia J.W. Hamm ( 2010 ), The Effect of ETFs on Stock Liquidity, Publicly Accessible Penn Dissertations

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