資料載入中.....
|
請使用永久網址來引用或連結此文件:
https://nccur.lib.nccu.edu.tw/handle/140.119/157840
|
| 題名: | 國內股票型ETF資金流入與流出對股票市場穩定性、流動性及成分股價格連動性之影響
The Impact of Equity ETFs Inflows and Outflows on Stock Market Stability, Liquidity, and Constituent Stock Price Co-Movement |
| 作者: | 洪顗傑
Hung, I-Chieh |
| 貢獻者: | 林靖庭
Lin, Ching-Ting
洪顗傑
Hung, I-Chieh |
| 關鍵詞: | ETF
股票市場
波動性
流動性
連動性
Granger因果檢定
VAR模型
衝擊反應函數
Amivest流動性比率
固定效果
ETF
Stock Market
Volatility
Liquidity
Co-movement
Granger Causality Test
VAR Model
Amivest Liquidity Ratio
Fixed Effects |
| 日期: | 2025 |
| 上傳時間: | 2025-07-01 15:18:24 (UTC+8) |
| 摘要: | 本研究以臺灣股票型ETF為對象，系統性探討其對股票市場波動、流動性與成分股價格連動性之影響。資料涵蓋2003年至2024年，共計58檔ETF，並區分為市值型、高股息型及主題型ETF。研究透過Granger因果檢定、VAR模型與衝擊反應函數分析ETF資金流動與市場報酬之動態關係，發現雖整體股票型ETF對市場短期波動反應較為遞延，但針對不同類型之ETF會依據其資產性質有不同之影響。如高股息型ETF（如00878）在市場下跌時展現出明顯的資金避險特性，能吸引資金流入並發揮穩定市場功能，但市值型 ETF（如0050）的資金流動則較具遞延效果，短期內難以發揮穩定市場的效果，而對於長期角度來看，整體之股票型 ETF仍可能對市場跌勢產生平抑作用。再者，進一步透過Amivest流動性比率與固定效果迴歸模型，探討ETF持股比例與成分股流動性的關聯。結果顯示雖在較大市值之股票中呈正向關係，但整體迴歸結果並不顯著，顯示ETF對整體市場流動性之提升有限。此外，透過成分股與大盤指數報酬相關係數衡量連動性，結果發現即使ETF規模成長，並未顯著增加成分股與市場指數之間的同步波動，亦不會造成系統性風險升高，其也避免個別股票對指數波動的過度影響。最後，本文亦加入疫情期間之極端市場情境以作分析，發現ETF於高波動時期提供了額外流動性，部分發揮穩定市場之效果。整體而言，ETF在臺灣市場中角色地位與規模愈發茁壯，其依據市場及投資人特性，亦包括整體及不同ETF類型，對於資金流動與投資特性對市場運作具多面向之影響，且在極端市場下顯示出其具備潛在之市場穩定效果。
This study examines Taiwan’s equity ETFs and their effects on market volatility, liquidity, and constituent-stock co-movement. Using data on 58 ETFs (2003-2024) classified as broad-market, high-dividend, or thematic, we apply Granger causality, VAR, and impulse-response analysis to link ETF fund flows with stock returns. Results show equity ETFs generally react to market swings with a lag, yet impacts differ by type: high-dividend ETFs (e.g., 00878) attract inflows during downturns and display a clear safe-haven role, whereas broad-market ETFs (e.g., 0050) respond more slowly, limiting short-term stabilizing power—though, over longer horizons, ETF activity still helps temper declines. Using the Amivest liquidity ratio and fixed-effects regressions, we find ETF ownership modestly improves liquidity for large-cap stocks, but overall effects are statistically weak, implying a limited contribution to market-wide liquidity. Correlation analysis likewise shows ETF growth has not raised return synchronicity or systemic risk; rather, ETFs may dilute any single stock’s sway over the index.
During the COVID-19 turmoil, ETFs supplied extra liquidity and partially steadied the market, underscoring their expanding importance in Taiwan’s capital markets. Their influence remains multifaceted—varying with investor preference and product design—yet under stress they exhibit meaningful stabilizing potential. |
| 參考文獻: | 1.Amihud, Y., Mendelson, H., and Lauterbach, B. (1997). Market microstructure and securities values - Evidence from the Tel Aviv Stock Exchange. Journal of financial Economics, 45(3), 365-390.
2.Ben-David, I., Franzoni, F., and Moussawi, R. (2017). Exchange-traded funds. Annual Review of Financial Economics, 9, 169-189.
3.Ben‐David, I., Franzoni, F., and Moussawi, R. (2018). Do ETFs increase volatility?. Journal of Finance, 73(6), 2471-2535.
4.Box, T., Davis, R., Evans, R., and Lynch, A. (2021). Intraday arbitrage between ETFs and their underlying portfolios. Journal of Financial Economics, 141(3), 1078-1095.
5.Chen, G., and Strother, T. S. (2008). On the contribution of index exchange traded funds to price discovery in the presence of price limits without short selling. Available at SSRN 1094485.
6.Cheng, M., and Madhavan, A. (2009). The dynamics of leveraged and inverse exchange-traded funds. Journal of investment management, 16(4), 43.
7.Chiu, J., Chung, H., Ho, K. Y., and Wang, G. H. (2012). Funding liquidity and equity liquidity in the subprime crisis period - Evidence from the ETF market. Journal of Banking and Finance, 36(9), 2660-2671.
8.Chung, H., and Talaulicar, T. (2010). Forms and effects of shareholder activism. Corporate Governance - An International Review, 18(4), 253-257.
9.Clifford, C. P., Fulkerson, J. A., and Jordan, B. D. (2014). What drives ETF flows? Financial Review, 49(3), 619-642.
10.Cooper, S. Kerry, Groth, John, Avera, William, 1985. Liquidity, exchange listing, and stock return performance. Journal of Economics and Business, 37, 19–33.
11.Da, Z., and Shive, S. (2018). Exchange traded funds and asset return correlations. European Financial Management, 24(1), 136-168.
12.David, P., Hitt, M. A., and Gimeno, J. (2001). The influence of activism by institutional investors on R&D. Academy of management Journal, 44(1), 144-157.
13.Driver, C., Grosman, A., and Scaramozzino, P. (2020). Dividend policy and investor pressure. Economic Modelling, 89, 559-576.
14.Glosten, L., Nallareddy, S., and Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22-47.
15.Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
16.Hasbrouck, J. (2003). Intraday price formation in US equity index markets. Journal of Finance, 58(6), 2375-2400.
17.Huang, S., O’Hara, M., and Zhong, Z. (2021). Innovation and informed trading - Evidence from industry ETFs. Review of Financial Studies, 34(3), 1280-1316.
18.Israeli, D., Lee, C. M., and Sridharan, S. A. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22, 1048-1083.
19.Ivanov, S. I., Jones, F. J., and Zaima, J. K. (2013). Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery. Global Finance Journal, 24(3), 171-187.
20.Jang, I. J., and Kang, N. (2024). ETF and corporate reporting. Financial Review, 59(2), 293-323.
21.Kalaycıoğlu, S. (2004). Exchange traded fund flows. Available at SSRN 881108.
22.Kaserer, C., and Moldenhauer, B. (2008). Insider ownership and corporate performance - Evidence from Germany. Review of Managerial Science, 2, 1-35.
23.Khan, W. A., and Baker, H. K. (1993). Unlisted trading privileges, liquidity, and stock returns. Journal of Financial Research, 16(3), 221-236.
24.Krause, T., Ehsani, S., and Lien, D. (2014). Exchange-traded funds, liquidity and volatility. Applied Financial Economics, 24(24), 1617-1630.
25.Lazonick, W. (2018). The functions of the stock market and the fallacies of shareholder value. What next for corporate governance, 117-151.
26.Madhavan, A. (2014). Exchange-traded funds - An overview of institutions, trading, and impacts. Annual Review of Financial Economics, 6(1), 311-341.
27.Madhavan, A., and Morillo, D. (2018). The impact of flows into exchange-traded funds - Volumes and correlations. Journal of Portfolio Management, 44(7), 96-107.
28.McSweeney, B. (2009). The roles of financial asset market failure denial and the economic crisis - Reflections on accounting and financial theories and practices. Accounting, Organizations and Society, 34(6-7), 835-848.
29.Mina, A., Lahr, H., and Hughes, A. (2013). The demand and supply of external finance for innovative firms. Industrial and Corporate Change, 22(4), 869-901.
30.Poon, S. H., and Granger, C. W. J. (2003). Forecasting volatility in financial markets - A review. Journal of economic literature, 41(2), 478-539.
31.Wang, H., and Xu, L. (2019). Do exchange‐traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China. Accounting and Finance, 58(5), 1525-1548.
32.Wang, K. T., and Shailer, G. (2018). Does ownership identity matter? A meta‐analysis of research on firm financial performance in relation to government versus private ownership. Abacus, 54(1), 1-35.
33.Wu, W., and Zhu, F. (2023). ETF ownership and informational efficiency of underlying stocks： Evidence from China. Pacific-Basin Finance Journal, 79, 102005.
34.Xu, L., and Yin, X. (2017). Does ETF trading affect the efficiency of the underlying index?. International Review of Financial Analysis, 51, 82-101.
35.Yu, L. (2005). Basket securities, price formation, and informational efficiency. Price Formation, and Informational Efficiency (March 25, 2005).
36.Zhao, X., Ran, G., Shen, B., and Li, X. (2021). Do ETFs Improve the pricing efficiency of the A-share market - examining ETF holdings of individual stocks. Applied Economics, 53(35), 4134-4147.
37.Zhao, X., Ran, G., Shen, B., and Li, X. (2022). Does ETF activity reduce stock price volatility - Evidence from the A-share market. Applied Economics, 54(52), 6036-6053.
38.林昱廷(2015)。ETF發展新紀元：槓桿型及反向型ETF與期貨ETF。會計研究月刊，(356)，52-55。
39.范永麗(2014)。最常見的ETF套利模式：申購／贖回機制。證券服務，(624)，42-43。
40.許璋瑤(2019)。證交所在指數化投資浪潮中扮演的角色。證券服務，(671)，4-6。
41.劉宗聖、黃漢昌(2016)。基金革命。臺北市：商訊 。
42.劉宗聖、歐宏杰(2005)。ETF指數股票型基金。臺北市：高寶 。
43.賴朝隆、劉宗聖(2003)。臺灣50指數ETF投資實務。臺北市：秀威資訊 。 |
| 描述: | 碩士
國立政治大學
金融學系
112352029 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112352029 |
| 資料類型: | thesis |
| 顯示於類別: | [金融學系] 學位論文
|
文件中的檔案:
| 檔案 |
描述 |
大小 | 格式 | 瀏覽次數 |
|---|
| 202901.pdf | | 2440Kb | Adobe PDF | 0 | 檢視/開啟 |
|
在政大典藏中所有的資料項目都受到原著作權保護.
|
