ETF 的資訊傳遞效果：以台灣為例

Abstract

本研究探討交易型開放式指數基金（ETFs）是否促進台灣資本市場中財務資訊的傳遞效率。台灣上市公司每月需定期揭露營收資訊，形成穩定且高頻的揭露制度，有助於觀察市場對公司及其同業資訊的反應。本文據此制度背景，評估企業在公告營收期間，其報酬表現是否受到其他同產業中較早公告公司所影響，以及市場對公司自身營收資訊的反應是否因ETF參與程度而有所不同。 本研究以2013至2023年間台灣上市與上櫃公司為樣本，結合ETF持股資料，分析ETF發展對上述兩類資訊反應機制的影響。結果顯示，同產業間的資訊傳遞現象在ETF發展初期（2013–2019）即已存在，且前期以非電子產業較顯著；隨著ETF資產規模成長，此現象於後期（2020 年以後）轉由電子產業為主。另一方面，被較多ETF持有的公司，在營收公告期間的股價反應亦更為敏感，尤以電子產業最為顯著。 進一步將ETF依成分股選股策略分類後發現，關注特定產業主題的產業型ETF與追求高成長企業的成長型ETF，相較於關注整體產業的市場型ETF與配息導向的ETF，更能提升資訊的市場反應效率，亦即營收資訊能更有效傳遞至投資人。整體而言，ETF不僅具備資產配置功能，也在資訊擴散與價格反應中扮演積極角色。

This study investigates whether exchange-traded funds (ETFs) enhance the efficiency of financial information transmission in Taiwan’s capital market. In Taiwan, listed firms are required to disclose monthly revenue on a regular basis, creating a stable and high-frequency disclosure regime that enables the systematic observation of how the market responds to both firm-specific and peer information. Based on this institutional setting, the study examines whether a firm’s stock return during its revenue announcement period is influenced by the returns of industry peers that disclosed earlier, and whether the market’s reaction to a firm’s own revenue information varies with the level of ETF involvement. Using data on listed and OTC firms in Taiwan from 2013 to 2023, combined with ETF holding information, this study analyzes how ETF development affects these two forms of information response. The results show that cross-firm information transmission was already present during the early stage of ETF development (2013–2019), primarily among non-electronics sectors with relatively high ETF holdings. In the later period, however, the transmission effect became more concentrated in the electronics industry. In addition, firms more heavily held by ETFs exhibited stronger stock price reactions during their revenue announcement periods, particularly in the electronics sector. Further analysis classifies ETFs by their investment themes based on constituent selection. The findings indicate that sector-focused and growth-oriented ETFs are more effective in enhancing information responsiveness than broad-market or dividend-oriented ETFs. In other words, revenue information is more efficiently transmitted to market participants through these thematic ETFs. Overall, ETFs not only serve as investment vehicles but also play an active role in facilitating information diffusion and strengthening price responses in the market.