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https://nccur.lib.nccu.edu.tw/handle/140.119/157769
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| Title: | 台灣高股息 ETF 與市值型 ETF 之績效分析
Performance comparison of high dividend ETFs and broad market index ETFs in Taiwan |
| Authors: | 謝晴雯
Hsieh, Ching-Wen |
| Contributors: | 周冠男
Chou, Robin K.
謝晴雯
Hsieh, Ching-Wen |
| Keywords: | 指數股票型基金
高股息 ETF
市值型 ETF
績效比較
Exchange-traded funds
High dividend ETFs
Broad market index ETFs
Performance comparison |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:49:21 (UTC+8) |
| Abstract: | 本研究針對台灣市場中，高股息 ETF 與市值型 ETF 於 2020 至 2024 年間的績效表現進行比較分析。研究樣本包含 17 檔高股息 ETF 與 6 檔市值型 ETF，皆為台灣證券交易所上市之國內股票型 ETF。透過獨立樣本 t 檢定，本研究針對總報酬（含息報酬）、報酬波動度、系統性風險與風險調整後報酬等面向探討兩類型 ETF 間之差異。結果顯示，市值型 ETF 在特定年度（如 2020 年與 2024 年）的累積與平均報酬明顯優於高股息 ETF；然而，高股息 ETF 在標準差與 Beta 方面皆低於市值型 ETF，與過往對高股息策略風險較高的假設相異。就風險調整後報酬而言，兩類 ETF 在整體研究期間並無顯著差異，僅在個別年度中，市值型 ETF 表現出較高的 Sharpe Ratio、Treynor Ratio 與 Jensen’s Alpha。綜合而言，ETF 投資策略應視市場環境動態調整，而非依賴單一類型商品。此研究結果有助於台灣投資人進行 ETF 策略選擇與資產配置時之決策參考。
This study investigates the performance differences between high dividend ETFs and broad market index ETFs in Taiwan from 2020 to 2024. Using a sample of 17 high dividend ETFs and 6 broad market index ETFs listed on the Taiwan Stock Exchange and consist of domestic stocks, the analysis evaluates total return, volatility, beta, and risk-adjusted performance through independent sample t-tests. The results indicate that broad market index ETFs outperformed high dividend ETFs in terms of cumulative and average returns during specific years, such as 2020 and 2024. Contrary to conventional assumptions, high dividend ETFs exhibited lower volatility and beta, suggesting less exposure to total and systematic risk. However, no consistent advantage was found in risk-adjusted returns across the full sample period. While broad market index ETFs demonstrated superior Sharpe ratios, Treynor ratios, and Jensen’s alphas in certain years, these differences were not consistent. The findings suggest that investors may benefit from adopting flexible allocation strategies tailored to market conditions, rather than adhering rigidly to a single type of ETF. This study contributes to a deeper understanding of ETF strategy selection and portfolio optimization within Taiwan's domestic equity market. |
| Reference: | Blitz, D., & Vidojevic, M. (2019). The performance of exchange-traded funds. Available at SSRN 3458275.
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Hougan, M. (2015). How to evaluate dividend ETFs. Journal of Financial Planning, 28(8), 30. https://www.financialplanningassociation.org/article/journal/AUG15-how-evaluate-dividend-etfs
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Thaler, R. (1985). Mental accounting and consumer choice. Marketing Science (Providence, R.I.), 4(3), 199–214. https://doi.org/10.1287/mksc.4.3.199 |
| Description: | 碩士
國立政治大學
財務管理學系
112357003 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357003 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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