ETF 成分股調整下的預期心理與交易壓力： 台灣實證研究

Abstract

本研究以臺灣市場資料為樣本，探討 ETF 定期成分股調整公告期間新增股與刪除股的價格效果。實證結果顯示顯著的指數效果：新增股於公告日前後呈現正向異常報酬，而刪除股則呈現負向異常報酬。研究結果亦顯示，在正式公告發布前數日即出現顯著的累積異常報酬（CARs）。此外，異常交易量以及不同投資人類別的淨買賣超，特別是證券投資信託公司（SITCs）與外國投資人，皆與 CARs 顯著相關。SITCs 在成分股調整公告日前後皆持續買進新增股並賣出刪除股；相較之下，外國投資人則可能較傾向於在公告期間進行短期交易，這些現象可從交易活動、持股變動及績效代理變數中觀察到。最後，研究結果亦指出，預期換股資金流量（Expected Capital Flows）雖然與 CARs 的關聯性不強，但與投資人交易活動具有關聯性。整體而言，本研究結果顯示，市場透明度與制度特性可能在投資人預期形成及 ETF 成分股調整公告期間的價格變動方面扮演重要角色，尤其是在新興市場環境下。

This study investigates the effects of stock additions and deletions using Taiwanese data by examining market reactions surrounding periodic ETF rebalancing announcements. The empirical results document significant index effects: additions experience positive abnormal returns around announcement dates, whereas deletions exhibit negative abnormal returns. The results also show significant cumulative abnormal returns (CARs) several days prior to the official announcements. In addition, abnormal trading volume and net buy/sell imbalances across investor groups—particularly securities investment trust companies (SITCs) and foreign investors—are associated with CARs. SITCs exhibit consistent net buying of additions and net selling of deletions both before and after announcements. In contrast, foreign investors appear to engage more in short-term trading around announcement periods, as reflected in trading activity, ownership changes, and a performance proxy. Finally, the results also suggest that expected capital flows, while not strongly related to CARs, are associated with trading activity. Overall, the findings may suggest that market transparency and institutional characteristics may play roles in shaping investor expectations and the resulting price dynamics surrounding ETF rebalancing announcements in an emerging market.