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題名 投資人情緒對台灣ETF之影響：ETF資金流與受益人數的實證研究
The Effects of Investor Sentiment in Taiwan’s ETF Market: Evidence from Fund Flows and Beneficiary Numbers
作者 蔡依芯
Tsai, Yi-Hsin
貢獻者 周冠男
Chou, Robin K.
蔡依芯
Tsai, Yi-Hsin
關鍵詞 投資人情緒
ETF資金流
受益人數
報酬追逐行為
台灣ETF市場
Investor sentiment
ETF fund flows
Beneficiary numbers
Return chasing
Taiwan ETF market
日期 2025
上傳時間 1-Jul-2025 14:49:07 (UTC+8)
摘要 本研究探討投資人情緒對台灣國內上市ETF資金流與受益人數變化的影響，並進一步檢視此影響是否因ETF類型（市值型、高股息型、主題型）而異。樣本涵蓋2015年至2024年間於台灣證交所掛牌的48檔國內股票型ETF。本研究利用主成分分析法（PCA）建構了包含市場週轉率、資券比及上市新股發行量的台灣市場投資人情緒指數。實證發現，投資人情緒對所有ETF的資金流量或受益人數並無一致的顯著影響。然而，區分ETF類型後，發現情緒的影響具有異質性：投資人情緒對市值型ETF的資金流量與受益人數變化呈現顯著正向影響。在報酬追逐行為方面，控制時間固定效果的模型中，過去三個月平均報酬對受益人數變化有顯著正向影響，部分支持台灣ETF投資人存在報酬追逐行為。並且，投資人情緒會放大報酬追逐對市值型ETF受益人數的影響；但對於高股息型ETF的資金流量，以及主題型ETF的受益人數，情緒則可能減弱其投資人追逐報酬的現象。
This study investigates the impact of investor sentiment on fund flows and changes in beneficiary numbers for domestic ETFs in Taiwan, and further examines whether this impact varies across different ETF types (market-cap, high-dividend, and thematic). The sample covers 48 domestic equity ETFs listed on TWSE from 2015 to 2024. A Taiwan-specific investor sentiment index is constructed using principal component analysis (PCA), incorporating market turnover ratio, margin-to-short balance, and equity issuance volume. Empirical results reveal that investor sentiment does not exert a uniform or statistically significant influence on ETF flows or beneficiary numbers across the entire sample. However, once ETF types are distinguished, sentiment effects exhibit considerable heterogeneity. In particular, sentiment has a significantly positive effect on both ETF flows and beneficiary participation for market-cap ETFs. Regarding return-chasing behavior, models controlling for time fixed effects show that three-month average returns are positively associated with beneficiary growth, providing partial support for performance-chasing behavior among Taiwanese ETF investors. Moreover, investor sentiment amplifies return-chasing effects for market-cap ETFs but appears to dampen such behavior for high-dividend ETFs in terms of flows and for thematic ETFs in terms of beneficiary participation.
參考文獻 Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross‐Section of Stock Returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. The Journal of Economic Perspectives, 21(2), 129–151. Barberis, N., & Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68(2), 161–199. https://doi.org/10.1016/S0304-405X(03)00064-3 Broman, M. S., & Shum, P. (2018). Relative Liquidity, Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds. Financial Review, 53(1), 87–115. https://doi.org/10.1111/fire.12159 Brown, D. C., Davies, S. W., & Ringgenberg, M. (2016). ETF Arbitrage and Return Predictability. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2872414 Chau, F., Deesomsak, R., & Lau, M. C. K. (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, 20(5), 292–305. https://doi.org/10.1016/j.irfa.2011.06.006 Chou, P. H., Chang, Y. C., & Lin, M. C. (2019). The interaction between investor sentiment and stock returns. Review of Securities and Futures Markets, 19(2), 153-190. https://doi.org/10.6529/RSFM.201905/SP.0004 Clifford, C. P., Fulkerson, J. A., & Jordan, B. D. (2014). What Drives ETF Flows? Financial Review, 49(3), 619–642. https://doi.org/10.1111/fire.12049 De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703–738. Elton, E. J., Busse, J. A., & Gruber, M. J. (2002). Are Investors Rational? Choices Among Index Funds (SSRN Scholarly Paper No. 340482). Social Science Research Network. https://doi.org/10.2139/ssrn.340482 Kadiyala, P. (2022). Response of ETF flows and long-run returns to investor sentiment. Financial Markets and Portfolio Management, 36(4), 489–531. Scopus. https://doi.org/10.1007/s11408-022-00410-1 Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5), 1589–1622. https://doi.org/10.1111/0022-1082.00066 Xu, L., Yin, X., & Zhao, J. (2022). Are the flows of exchange-traded funds informative? Financial Management, 51(4), 1165–1200. https://doi.org/10.1111/fima.12396 曾永慶（2016）。投資人情緒會影響ETF資訊效率嗎？是改善還是削弱？〔博士論文〕。淡江大學財務金融學系。https://doi.org/10.6846/TKU.2016.00731 蔡佩蓉、王元章、張眾卓（2009）。投資人情緒、公司特徵與台灣股票報酬之研究。經濟研究，45(2)，273–322。https://doi.org/10.29765/TEI.200907.0004
描述 碩士
國立政治大學
財務管理學系
112357002
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357002
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 蔡依芯zh_TW
dc.contributor.author (Authors) Tsai, Yi-Hsinen_US
dc.creator (作者) 蔡依芯zh_TW
dc.creator (作者) Tsai, Yi-Hsinen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:49:07 (UTC+8)-
dc.date.available 1-Jul-2025 14:49:07 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:49:07 (UTC+8)-
dc.identifier (Other Identifiers) G0112357002en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157768-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357002zh_TW
dc.description.abstract (摘要) 本研究探討投資人情緒對台灣國內上市ETF資金流與受益人數變化的影響，並進一步檢視此影響是否因ETF類型（市值型、高股息型、主題型）而異。樣本涵蓋2015年至2024年間於台灣證交所掛牌的48檔國內股票型ETF。本研究利用主成分分析法（PCA）建構了包含市場週轉率、資券比及上市新股發行量的台灣市場投資人情緒指數。實證發現，投資人情緒對所有ETF的資金流量或受益人數並無一致的顯著影響。然而，區分ETF類型後，發現情緒的影響具有異質性：投資人情緒對市值型ETF的資金流量與受益人數變化呈現顯著正向影響。在報酬追逐行為方面，控制時間固定效果的模型中，過去三個月平均報酬對受益人數變化有顯著正向影響，部分支持台灣ETF投資人存在報酬追逐行為。並且，投資人情緒會放大報酬追逐對市值型ETF受益人數的影響；但對於高股息型ETF的資金流量，以及主題型ETF的受益人數，情緒則可能減弱其投資人追逐報酬的現象。zh_TW
dc.description.abstract (摘要) This study investigates the impact of investor sentiment on fund flows and changes in beneficiary numbers for domestic ETFs in Taiwan, and further examines whether this impact varies across different ETF types (market-cap, high-dividend, and thematic). The sample covers 48 domestic equity ETFs listed on TWSE from 2015 to 2024. A Taiwan-specific investor sentiment index is constructed using principal component analysis (PCA), incorporating market turnover ratio, margin-to-short balance, and equity issuance volume. Empirical results reveal that investor sentiment does not exert a uniform or statistically significant influence on ETF flows or beneficiary numbers across the entire sample. However, once ETF types are distinguished, sentiment effects exhibit considerable heterogeneity. In particular, sentiment has a significantly positive effect on both ETF flows and beneficiary participation for market-cap ETFs. Regarding return-chasing behavior, models controlling for time fixed effects show that three-month average returns are positively associated with beneficiary growth, providing partial support for performance-chasing behavior among Taiwanese ETF investors. Moreover, investor sentiment amplifies return-chasing effects for market-cap ETFs but appears to dampen such behavior for high-dividend ETFs in terms of flows and for thematic ETFs in terms of beneficiary participation.en_US
dc.description.tableofcontents Chapter 1 Introduction 1 Chapter 2 Literature and Hypotheses 3 2.1 ETF Flow 3 2.2 Investor Sentiment 5 2.3 Return Chasing Behavior in Mutual Funds and ETFs 7 2.4 Hypotheses 9 Chapter 3 Data and Methodology 11 3.1 Sample Selection 11 3.2 Variables 12 3.3 Model design 17 Chapter 4 Empirical Results 19 4.1 Descriptive Statistics 19 4.2 Empirical Analysis 21 Chapter 5 Conclusion 30 Reference 31 Appendix 33zh_TW
dc.format.extent 862852 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357002en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) ETF資金流zh_TW
dc.subject (關鍵詞) 受益人數zh_TW
dc.subject (關鍵詞) 報酬追逐行為zh_TW
dc.subject (關鍵詞) 台灣ETF市場zh_TW
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) ETF fund flowsen_US
dc.subject (關鍵詞) Beneficiary numbersen_US
dc.subject (關鍵詞) Return chasingen_US
dc.subject (關鍵詞) Taiwan ETF marketen_US
dc.title (題名) 投資人情緒對台灣ETF之影響：ETF資金流與受益人數的實證研究zh_TW
dc.title (題名) The Effects of Investor Sentiment in Taiwan’s ETF Market: Evidence from Fund Flows and Beneficiary Numbersen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross‐Section of Stock Returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. The Journal of Economic Perspectives, 21(2), 129–151. Barberis, N., & Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68(2), 161–199. https://doi.org/10.1016/S0304-405X(03)00064-3 Broman, M. S., & Shum, P. (2018). Relative Liquidity, Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds. Financial Review, 53(1), 87–115. https://doi.org/10.1111/fire.12159 Brown, D. C., Davies, S. W., & Ringgenberg, M. (2016). ETF Arbitrage and Return Predictability. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2872414 Chau, F., Deesomsak, R., & Lau, M. C. K. (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, 20(5), 292–305. https://doi.org/10.1016/j.irfa.2011.06.006 Chou, P. H., Chang, Y. C., & Lin, M. C. (2019). The interaction between investor sentiment and stock returns. Review of Securities and Futures Markets, 19(2), 153-190. https://doi.org/10.6529/RSFM.201905/SP.0004 Clifford, C. P., Fulkerson, J. A., & Jordan, B. D. (2014). What Drives ETF Flows? Financial Review, 49(3), 619–642. https://doi.org/10.1111/fire.12049 De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703–738. Elton, E. J., Busse, J. A., & Gruber, M. J. (2002). Are Investors Rational? Choices Among Index Funds (SSRN Scholarly Paper No. 340482). Social Science Research Network. https://doi.org/10.2139/ssrn.340482 Kadiyala, P. (2022). Response of ETF flows and long-run returns to investor sentiment. Financial Markets and Portfolio Management, 36(4), 489–531. Scopus. https://doi.org/10.1007/s11408-022-00410-1 Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5), 1589–1622. https://doi.org/10.1111/0022-1082.00066 Xu, L., Yin, X., & Zhao, J. (2022). Are the flows of exchange-traded funds informative? Financial Management, 51(4), 1165–1200. https://doi.org/10.1111/fima.12396 曾永慶（2016）。投資人情緒會影響ETF資訊效率嗎？是改善還是削弱？〔博士論文〕。淡江大學財務金融學系。https://doi.org/10.6846/TKU.2016.00731 蔡佩蓉、王元章、張眾卓（2009）。投資人情緒、公司特徵與台灣股票報酬之研究。經濟研究，45(2)，273–322。https://doi.org/10.29765/TEI.200907.0004zh_TW