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| Title: | 探討投資人情緒對股票型ETF流動性之影響─以台灣市場為例
The Impact of Investor Sentiment on the Liquidity of Equity ETFs: Evidence from the Taiwan Market |
| Authors: | 羅稑涵 |
| Contributors: | 林靖庭
羅稑涵 |
| Keywords: | ETF
投資人情緒
買賣價差
相對買賣價差
Amihud指標 |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:17:11 (UTC+8) |
| Abstract: | 本研究探討投資人情緒對國內股票型ETF流動性之影響。研究樣本期間為2018年10月1日至2024年9月30日，共包含24檔國內股票型ETF，並將ETF按照市值型、主題型及高股息型進行分類，以利進一步分析。
本研究採用兩種方法來測量投資人情緒指標，第一種為主成分分析法（Principal Component Analysis, PCA）所建立的樂觀指標，是利用相對強弱指標（RSI）、資金流量指標（MFI）、加權指數週轉率與券資比等四種情緒特徵因子建構而成，第二種採用台灣選擇權波動指數作為恐慌指標。本文使用下列三種流動性代理變數：買賣價差（quoted spread）、相對買賣價差（proportional quoted spread）和Amihud指標（Amihud, 2002），並透過應用縱橫資料回歸模型（panel data regression model）進行實證分析。
研究最終結果顯示，投資人情緒不論對所有類型ETF，抑或是各類型ETF的流動性均存在正向影響，也就是當投資人情緒較樂觀時，ETF的流動性代理變數則會下降，代表著ETF流動性提升；相對地，當投資人情緒較悲觀時，ETF的流動性代理變數則會上升，代表ETF流動性的下降。本研究為投信業者、ETF造市商及監管機構提供市場情緒對所有類型與不同類型ETF流動性變化的實證結果，以期提升未來ETF市場的交易效率。
This study explores the impact of short-term investor sentiment on the liquidity of domestic equity ETFs in Taiwan. The sample period spans from October 1, 2018, to September 30, 2024, covering a total of 24 domestic equity ETFs. These ETFs are categorized into capitalization-based, theme-based, and high-dividend-based types for further analysis.
This study employs two methods to measure the short-term investor sentiment index. The first one is optimistic indicator, which is constructed using Principal Component Analysis (PCA) based on four sentiment features—RSI, MFI, turnover of Taiwan Stock Exchange Capitalization Weighted Stock Index, and short sale to margin purchase ratio—while the other one directly adopts the Taiwan VIX. Liquidity is represented using three proxy variables: quoted spread, proportional quoted spread, and Amihud illiquidity measure (Amihud, 2002). Lastly, a panel data regression model is applied for empirical analysis.
The research results show that short-term investor sentiment has a positive impact on the liquidity of all types of ETFs, as well as the liquidity of each type of ETF. Specifically, when investor sentiment is more optimistic, the liquidity proxy variables for ETFs decline, indicating an increase in ETF liquidity. Conversely, when investor sentiment is more pessimistic, the liquidity proxy variables for ETFs rise, indicating a decrease in ETF liquidity. This study provides empirical evidence to investment trust firms, ETF market makers, and regulatory agencies on how market sentiment influences the liquidity of all type and different types of ETF, aiming to enhance ETF market efficiency in the future. |
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| Description: | 碩士
國立政治大學
金融學系
112352019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352019 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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