指數股票型基金之投資人結構及其成交量影響因素之研究-以台灣卓越50指數ETF為例

Abstract

指數股票型基金（ETF）近年來在全球金融市場快速發展，是近十多年來全球成長速度最快的金融商品之一，本論文以國內第一檔ETF-台灣卓越50指數ETF為研究對象，探討其投資人結構、折溢價延續性及成交量之影響因素，主要發現為：(1)台灣卓越50指數ETF的三大法人投資人與一般投資人之成交比重幾乎相當，且一般投資人的成交比重有上升的趨勢;(2)由於證券自營商在ETF市場上扮演造市者之角色，因此在三大法人的成交比重有近80%以上的佔比;(3)台灣卓越50指數ETF之折溢價情形均持續存在，但延續天數有降低的趨勢;(4)分析台灣卓越50指數ETF的成交量影響因素後發現，市場波動度及ETF的近一週最高價、最低價有顯著的正相關；而在前一期ETF的折溢價幅度的部份，與Elton(2002)的研究結果略有不同，本研究只有在第三期呈現和成交量有顯著的正向關係。

The main purpose of this research is to investigate the investor structure, the persistence of the premium/discount, and determinants of ETF volume of the Polaris Taiwan Top50 Tracker Fund, which is the first ETF in Taiwan. I find that: (1) individual investors account for a similar percentage with the institutional investors of the trading volume in Polaris Taiwan Top50 Tracker Fund; (2) stock dealers’ trading volume dominate the institutional investors’ trading volume due to the market making obligations; (3) it was discovered that the discount/premium phenomenon will continue for more than one trading day, but the phenomenon is less significant during the sample periods; (4) I find a positive and statistically significant relationship between trading volume and the market volatility, weekly high price and weekly low price. However, my results are somewhat different from those of Elton et al. with regard to the lagged deviation from net asset value. They find a positive and statistically significant relationship between trading volume and this variable. In my study the variable are only statistically significant in the third subperiod.