台灣發行之美債ETF流動性決定因素分析

Abstract

本研究針對台灣上櫃之美債ETF進行流動性決定因素分析，以價差、週轉率及Amihud非流動性指標衡量台灣上櫃之六檔美債ETF的流動性，並探討市值、追蹤指數波動度及持有期間等ETF流動性影響因子，對美債ETF的流動性有何影響。此外，考量美國公債在國際金融市場中具有良好流動性，故模型之控制變數包含美債流動性因子。為了更清楚判斷美債ETF流動性決定因素，本文使用主成分分析法，將三種流動性衡量方法合成兩個流動性指標，藉以歸納美債ETF的流動性主要決定性因素。希望藉由本研究結果，探討壽險公司投資美債ETF的流動性管理，並提供一般投資人評估美債ETF流動性的方法，也能讓投信公司或監管單位未來可以不同面向分析債券型ETF的流動性風險。綜合各模型結果，本研究主要發現如下：(1)美債ETF市值提升會降低其流動性。(2)美債ETF被持有期間增加會降低其流動性，持有期間定義為在外流通股數除以交易量。(3)美債流動性提升亦會增加美債ETF流動性。

This paper analyzes the liquidity determinants of six U.S. treasury ETFs in Taiwan. I measure ETFs liquidity by spread, turnover and Amihud illiquidity ratio and examine how liquidity factors include market capitalization, index volatility and holding period affect U.S. treasury ETF liquidity. Besides, because U.S. treasury securities are very liquid in international financial market, I add bond liquidity factors as control variables. Furthermore, in order to clarify the determinants of U.S. treasury ETFs liquidity, I combine three liquidity measures to two liquidity indices by principal components analysis, PCA. I expect to analyze the liquidity management of the insurers buying U.S. treasury ETFs and offer investors the method to estimate the liquidity of U.S. treasury ETFs. Base on the results of each model, my main findings as below：(1) Increasing the market capitalization of U.S. treasury ETFs will decreasing their liquidity. (2) Increasing the holding period of U.S. treasury ETFs will decreasing their liquidity. (3) Increasing the liquidity of U.S. treasury will also increase the liquidity of U.S treasury ETFs in Taiwan.