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題名 台灣ETF市場之動態效率性
The Dynamic Efficiency of ETFs in Taiwan Stock Market
作者 劉軒妤
Liu, Xuan-Yu
貢獻者 郭維裕
Kuo, Wei-Yu
劉軒妤
Liu, Xuan-Yu
關鍵詞 台灣ETF市場
動態效率性
適應性市場假說
變異數比率檢定
Taiwan ETF market
Dynamic efficiency
Adaptive market hypothesis
Variance ratio test
日期 2025
上傳時間 1-Jul-2025 14:37:41 (UTC+8)
摘要 本研究旨在探討台灣ETF市場的動態效率性，採用Lo and MacKinlay (1988) 及Wright (2000) 的變異數比率檢定，分析市場在全樣本期間、不同子樣本階段及重大事件前後的效率變化，驗證適應性市場假說 (AMH) 的適用性。實證結果顯示，台灣ETF市場整體具備一定的效率性，特別是追蹤大盤的ETF多符合隨機漫步假說；然而，高股息型、主題型及中小型ETF在特定時期易出現效率偏離，市場效率隨經濟環境、資金流向及市場事件動態變化，尤其在COVID-19疫情與市場波動加劇期間更為明顯，此現象與AMH所主張的市場效率動態調整機制一致。研究結果可作為投資人調整策略時的重要參考，並為監理機關掌握市場波動風險、強化監管機制提供實證依據。
This study investigates the dynamic efficiency of ETFs in the Taiwan stock market by employing the Variance Ratio tests developed by Lo and MacKinlay (1988) and Wright (2000). The analysis examines market efficiency over the full sample period, various sub-periods, and around major market events to assess the validity of the Adaptive Market Hypothesis (AMH). Empirical findings reveal that the Taiwan ETF market exhibits a moderate level of efficiency overall, with ETFs tracking broad market indices generally adhering to the random walk hypothesis. However, high-dividend, thematic, and small- to mid-cap ETFs are more susceptible to efficiency deviations in certain periods. Market efficiency fluctuates dynamically in response to changes in macroeconomic conditions, capital flow patterns, and significant events, with pronounced deviations observed during the COVID-19 pandemic and other periods of heightened volatility. These results are consistent with the AMH, which posits that market efficiency evolves over time in response to shifting market environments. The study provides practical insights for investors in adjusting their strategies and offers empirical evidence to assist regulators in monitoring market risks and enhancing regulatory frameworks.
參考文獻 Charles, Amélie, and Olivier Darné, 2009, Variance-ratio tests of random walk: an overview, Journal of economic surveys 23.3, 503–527. Charles, Amélie & Darné, Olivier, 2009, The efficiency of the crude oil markets: Evidence from variance ratio tests, Energy Policy, 37(11), 4267–4272. Cheung, Y.‑W. & Chinn, M. D., 1996, Deterministic, stochastic, and segmented trends in aggregate output: A cross‑country analysis, Oxford Economic Papers, 48(1), 134–162. Choi, I., 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14(3), 293–308. Chow, K. V., & Denning, K. C., 1993, A simple multiple variance ratio test, Journal of Econometrics, 58(3), 385–401. Fama, E, 1965, The Behavior of Stock Market Prices, Journal of Business, 38, 34-105. Granger and Morgenstern, 1979, Spectral analysis of stock market prices, Journal of Banking & Finance, Volume 3, Issue 2, 201-208. Hansen, B. E., 1994, Autoregressive conditional density estimation, International Economic Review, 35(3), 705–730. Hoque, Hafiz A.A.B, Jae H Kim, and Chong Soo Pyun, 2007, A comparison of variance ratio tests of random walk: a case of Asian emerging stock markets, International review of economics & finance 16.4, 488–502. Huang, Bwo-Nung, 1995, Do Asian stock market prices follow random walks? Evidence from the variance ratio test, Applied financial economics 5.4, 251–256. Ito, Mikio, and Shunsuke Sugiyama, 2009, Measuring the degree of time varying market inefficiency, Economics letters 103.1, 62–64. Kim, Jae H, 2006, Wild bootstrapping variance ratio tests, Economics letters 92.1, 38–43. Kim, Jae H, and Abul Shamsuddin, 2008, Are Asian stock markets efficient? Evidence from new multiple variance ratio tests, Journal of empirical finance 15.3, 518–532. Kumar, D., & Maheswaran, S, 2013, Are major Asian markets efficient? An analysis using non-parametric joint variance ratio tests, Journal of Management Research 13(1), 3-10. K.Victor Chow, Karen C. Denning, 1993, A simple multiple variance ratio test, Journal of Econometrics 58, 385-401. Lim, Kian-Ping, and Robert Brooks, 2001, The evolution of stock market efficiency over time: a survey of the empirical literature, Journal of Economic Surveys 25.1, 69–108. Lo, Andrew W, 2004, The adaptive markets hypothesis, Journal of portfolio management 30.5, 15–29. Lo, A. W., & MacKinlay, A. C, 1988, Stock market prices do not follow random walks: evidence from a simple specification test, The Review of Financial Studies 1(1), 41–66. Narayan and Prasad, 2007, Export-led growth hypothesis: evidence from Papua New Guinea and Fiji, Journal of Economic Studies, 341-351. Richardson, M., & Smith, T, 1991, Tests of financial models in the presence of overlapping data, Journal of Finance, 227-254. Saha, Kunal, Vinodh Madhavan, and G. R Chandrashekhar, 2021, Relative efficiency of equity ETFs: an adaptive market hypothesis perspective, Applied economics letters 28.14, 1202–1207. Self, J. K., & Mathur, I, 2006, Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis, The Journal of Business, 79(6), 3153–3174. Whang, Yoon-Jae, and Jinho Kim, 2003, A multiple variance ratio test using subsampling, Economics letters 79.2, 225–230. White, H., 1980, A heteroskedasticity‑consistent covariance matrix estimator and a direct test for heteroscedasticity, Econometrica, 48(4), 817–838. White, H., & Domowitz, I., 1984, Nonlinear regression with dependent observations, Econometrica, 52(1), 143–161. Wright, Jonathan H, 2000, Alternative variance-ratio tests using ranks and signs, Journal of business & economic statistics 18.1, 1-8. Zalewska-Mitura, Anna & Hall, Stephen G., 1999, Examining the first stages of market performance: a test for evolving market efficiency, Economics Letters, Elsevier, vol. 64(1), 1-12.
描述 碩士
國立政治大學
國際經營與貿易學系
112351017
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112351017
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Wei-Yuen_US
dc.contributor.author (Authors) 劉軒妤zh_TW
dc.contributor.author (Authors) Liu, Xuan-Yuen_US
dc.creator (作者) 劉軒妤zh_TW
dc.creator (作者) Liu, Xuan-Yuen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:37:41 (UTC+8)-
dc.date.available 1-Jul-2025 14:37:41 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:37:41 (UTC+8)-
dc.identifier (Other Identifiers) G0112351017en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157738-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 112351017zh_TW
dc.description.abstract (摘要) 本研究旨在探討台灣ETF市場的動態效率性，採用Lo and MacKinlay (1988) 及Wright (2000) 的變異數比率檢定，分析市場在全樣本期間、不同子樣本階段及重大事件前後的效率變化，驗證適應性市場假說 (AMH) 的適用性。實證結果顯示，台灣ETF市場整體具備一定的效率性，特別是追蹤大盤的ETF多符合隨機漫步假說；然而，高股息型、主題型及中小型ETF在特定時期易出現效率偏離，市場效率隨經濟環境、資金流向及市場事件動態變化，尤其在COVID-19疫情與市場波動加劇期間更為明顯，此現象與AMH所主張的市場效率動態調整機制一致。研究結果可作為投資人調整策略時的重要參考，並為監理機關掌握市場波動風險、強化監管機制提供實證依據。zh_TW
dc.description.abstract (摘要) This study investigates the dynamic efficiency of ETFs in the Taiwan stock market by employing the Variance Ratio tests developed by Lo and MacKinlay (1988) and Wright (2000). The analysis examines market efficiency over the full sample period, various sub-periods, and around major market events to assess the validity of the Adaptive Market Hypothesis (AMH). Empirical findings reveal that the Taiwan ETF market exhibits a moderate level of efficiency overall, with ETFs tracking broad market indices generally adhering to the random walk hypothesis. However, high-dividend, thematic, and small- to mid-cap ETFs are more susceptible to efficiency deviations in certain periods. Market efficiency fluctuates dynamically in response to changes in macroeconomic conditions, capital flow patterns, and significant events, with pronounced deviations observed during the COVID-19 pandemic and other periods of heightened volatility. These results are consistent with the AMH, which posits that market efficiency evolves over time in response to shifting market environments. The study provides practical insights for investors in adjusting their strategies and offers empirical evidence to assist regulators in monitoring market risks and enhancing regulatory frameworks.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 5 第三節 研究架構 7 第二章 文獻回顧 9 第一節 市場效率與效率市場假說 (EMH) 9 第二節 適應性市場假說 (AMH) 10 第三節 ETF的市場效率研究 12 第三章 研究方法 14 第一節 方法概覽 14 第二節 研究方法選擇與說明 16 一、Lo and MacKinlay (1988) 17 二、Wright (2000) 19 第四章 實證結果分析 23 第一節 資料來源及樣本期間 23 第二節 各檔ETF對數報酬率之特性分析 24 一、敘述統計分析 24 二、自我相關性檢測結果分析 25 三、單根檢定結果 27 第三節 實證結果 28 一、全樣本期間之檢定結果分析 29 二、子樣本期間之檢定結果分析 32 三、重大事件發生前後之檢定結果分析 35 第五章 結論 38 第一節 研究結論 38 第二節 研究限制及未來可能研究方向 40 參考文獻 70zh_TW
dc.format.extent 1265438 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112351017en_US
dc.subject (關鍵詞) 台灣ETF市場zh_TW
dc.subject (關鍵詞) 動態效率性zh_TW
dc.subject (關鍵詞) 適應性市場假說zh_TW
dc.subject (關鍵詞) 變異數比率檢定zh_TW
dc.subject (關鍵詞) Taiwan ETF marketen_US
dc.subject (關鍵詞) Dynamic efficiencyen_US
dc.subject (關鍵詞) Adaptive market hypothesisen_US
dc.subject (關鍵詞) Variance ratio testen_US
dc.title (題名) 台灣ETF市場之動態效率性zh_TW
dc.title (題名) The Dynamic Efficiency of ETFs in Taiwan Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Charles, Amélie, and Olivier Darné, 2009, Variance-ratio tests of random walk: an overview, Journal of economic surveys 23.3, 503–527. Charles, Amélie & Darné, Olivier, 2009, The efficiency of the crude oil markets: Evidence from variance ratio tests, Energy Policy, 37(11), 4267–4272. Cheung, Y.‑W. & Chinn, M. D., 1996, Deterministic, stochastic, and segmented trends in aggregate output: A cross‑country analysis, Oxford Economic Papers, 48(1), 134–162. Choi, I., 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14(3), 293–308. Chow, K. V., & Denning, K. C., 1993, A simple multiple variance ratio test, Journal of Econometrics, 58(3), 385–401. Fama, E, 1965, The Behavior of Stock Market Prices, Journal of Business, 38, 34-105. Granger and Morgenstern, 1979, Spectral analysis of stock market prices, Journal of Banking & Finance, Volume 3, Issue 2, 201-208. Hansen, B. E., 1994, Autoregressive conditional density estimation, International Economic Review, 35(3), 705–730. Hoque, Hafiz A.A.B, Jae H Kim, and Chong Soo Pyun, 2007, A comparison of variance ratio tests of random walk: a case of Asian emerging stock markets, International review of economics & finance 16.4, 488–502. Huang, Bwo-Nung, 1995, Do Asian stock market prices follow random walks? Evidence from the variance ratio test, Applied financial economics 5.4, 251–256. Ito, Mikio, and Shunsuke Sugiyama, 2009, Measuring the degree of time varying market inefficiency, Economics letters 103.1, 62–64. Kim, Jae H, 2006, Wild bootstrapping variance ratio tests, Economics letters 92.1, 38–43. Kim, Jae H, and Abul Shamsuddin, 2008, Are Asian stock markets efficient? Evidence from new multiple variance ratio tests, Journal of empirical finance 15.3, 518–532. Kumar, D., & Maheswaran, S, 2013, Are major Asian markets efficient? An analysis using non-parametric joint variance ratio tests, Journal of Management Research 13(1), 3-10. K.Victor Chow, Karen C. Denning, 1993, A simple multiple variance ratio test, Journal of Econometrics 58, 385-401. Lim, Kian-Ping, and Robert Brooks, 2001, The evolution of stock market efficiency over time: a survey of the empirical literature, Journal of Economic Surveys 25.1, 69–108. Lo, Andrew W, 2004, The adaptive markets hypothesis, Journal of portfolio management 30.5, 15–29. Lo, A. W., & MacKinlay, A. C, 1988, Stock market prices do not follow random walks: evidence from a simple specification test, The Review of Financial Studies 1(1), 41–66. Narayan and Prasad, 2007, Export-led growth hypothesis: evidence from Papua New Guinea and Fiji, Journal of Economic Studies, 341-351. Richardson, M., & Smith, T, 1991, Tests of financial models in the presence of overlapping data, Journal of Finance, 227-254. Saha, Kunal, Vinodh Madhavan, and G. R Chandrashekhar, 2021, Relative efficiency of equity ETFs: an adaptive market hypothesis perspective, Applied economics letters 28.14, 1202–1207. Self, J. K., & Mathur, I, 2006, Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis, The Journal of Business, 79(6), 3153–3174. Whang, Yoon-Jae, and Jinho Kim, 2003, A multiple variance ratio test using subsampling, Economics letters 79.2, 225–230. White, H., 1980, A heteroskedasticity‑consistent covariance matrix estimator and a direct test for heteroscedasticity, Econometrica, 48(4), 817–838. White, H., & Domowitz, I., 1984, Nonlinear regression with dependent observations, Econometrica, 52(1), 143–161. Wright, Jonathan H, 2000, Alternative variance-ratio tests using ranks and signs, Journal of business & economic statistics 18.1, 1-8. Zalewska-Mitura, Anna & Hall, Stephen G., 1999, Examining the first stages of market performance: a test for evolving market efficiency, Economics Letters, Elsevier, vol. 64(1), 1-12.zh_TW