ETF 是否由市場注意力驅動 –以臺灣股市為例

Abstract

本研究旨在探討臺灣國內股票型ETF的資金流動是否受市場注意力影響，以Ben-David et al. (2023)為基礎，本文主要分成三個部分，第一部分是透過PCA(主成分分析法)編制一注意力變數，並實證ETF的資金流動是否受市場注意力影響；第二部分則確認ETF資金流動是否由績效驅動；第三部分則驗證投資人受市場注意力持有主題型ETF的行為是否存在避險動機。 實證結果發現，在各主題型ETF中，僅有高股息ETF在高市場注意力時，才有顯著的正向資金流入；比較績效上，高股息ETF並不具有顯著正異常報酬，顯見高注意力帶來的資金流動並非由報酬率驅動；最終，本研究發現高股息ETF相關高的個股存在負報酬，顯見投資人可能將該類ETF視為一種保險。

This study investigates whether the flows of domestic equity ETFs in Taiwan are influenced by market attention, based on the framework of Ben-David et al. (2023). The research is structured into three sections. First, this study uses principal component analysis (PCA) to construct a market attention variable and empirically examines how this attention variable affects ETF fund flows. Second, it analyzes whether ETF fund flows are influenced by performance. Third, it investigates whether investors exhibit a hedge motive by holding thematic ETFs.

Empirical results indicate that, among various types of thematic ETFs, only high-dividend ETFs experience significant positive inflows during periods of elevated market attention. In terms of performance, high-dividend ETFs do not exhibit significantly positive abnormal returns, suggesting that the ETF flows associated with high attention are not driven by returns. Finally, the study finds that stocks highly correlated with high-dividend ETFs tend to have negative returns, implying that investors may regard such ETFs as a form of insurance.