臺灣ETF申購贖回量與受益人數影響因素研究

Abstract

本研究對臺灣國內股票型ETF的資金流入、流出及受益人數進行了詳細分析，樣本期間涵蓋2010年1月至2023年12月，共13年的月度數據。研究結果顯示，資金流量不受主題型ETF的影響，且資金流入與前一期的報酬率顯著負相關，而資金流出則顯著正相關，支持負向回饋假說。上期規模和週轉率對資金流入和流出均有顯著正相關影響，但費用率和存續年數無顯著影響。累積配息率在考慮所有變數後，對資金流入的影響並不顯著，資金流出則是顯著負相關。淨值對資金流入和流出均有顯著負向影響，而淨值市價比顯示高溢價會增加資金流入，而高折價則會使資金流出增加。網路搜尋熱度對資金流入有顯著正影響，資金流出則與搜尋熱度呈負相關。在受益人數方面，投資者偏好費用率低、淨值低、規模大、存續年數長、週轉率高、累積配息率高及搜尋熱度高的ETF。不同分類的ETF受到不同變數的影響，顯示出其獨特的特性。研究結果也顯示，申購贖回金額中可能包含大量套利資金，未能真實反映一般投資者的偏好；相比之下，受益人數可能更能準確表達投資者對ETF的偏好。

This study investigates the factors influencing fund flows and shareholder dynamics in Taiwan's stock-based ETF market from 2010 to 2023. The analysis reveals several key findings: ETF inflows exhibit a positive association with previous ETF size and turnover rates, whereas the duration of an ETF's existence and fee ratios do not significantly impact fund flows. Higher historical returns lead to reduced inflows and increased outflows, supporting the negative feedback hypothesis. Additionally, the net asset value (NAV) has a significant negative impact on both inflows and outflows, while the NAV to market price ratio indicates that a high premium leads to increased inflows, and a high discount leads to increased outflows.

In terms of shareholder behavior, investors show preferences for ETFs with lower fee ratios, lower NAV, larger asset sizes, longer existence, higher dividend yields, increased turnover rates, and greater internet search interest. The study suggests that while ETF inflows and outflows are influenced by factors including arbitrage activities, shareholder characteristics provide a more accurate reflection of general investor preferences.