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題名 ETF配息驅動ETF資金流入?以台灣指數股票型基金為例
Do ETF Dividends Drive Fund Inflows? Evidence from Taiwan Index ETFs
作者 邵詩緯
Shao, Shi-Wei
貢獻者 李志宏
邵詩緯
Shao, Shi-Wei
關鍵詞 ETF
基金流量
配息率
投資人行為
ETF
Fund flow
Dividend yield
Investor behavior
日期 2025
上傳時間 4-Aug-2025 14:07:14 (UTC+8)
摘要 台灣ETF市場近年蓬勃發展，ETF已成為投資人資產配置中的核心工具，在市場規模迅速擴張的同時，資金流量被視為投資人偏好與市場動態的重要指標，本研究聚焦於ETF配息政策是否驅動資金流入的議題，以2015年1月至2024年12月台灣上市股票型ETF的月度資料為樣本，探討ETF是否配息、配息收益水準及市場環境對資金流入與流出的影響。 研究首先建立迴歸模型，納入基金規模、費用率、週轉率等基金特徵控制變數，並將ETF的配息與否、近12個月累積配息率作為核心自變數，同時引入市場利率等總體變數及交互項以捕捉條件效果。實證結果顯示：ETF配息與否本身並非吸引資金流入的主要驅動因素，但採取配息政策能在一定程度上降低資金流出的規模，有助於穩定資金留存。相較之下，累積配息率水準對資金流入具有顯著正向影響，較高的現金配息率有助於吸引投資人申購；然而此一影響呈現邊際效益遞減的現象，當配息率達到較高水準後，其對新增資金之吸引力將逐漸減弱。此外，實證結果顯示，配息率對資金流出之直接影響整體上未達統計顯著，顯示即便高配息具備吸引資金進場的效果，仍未必能有效降低投資人之贖回行為，進一步分組分析發現，配息效果因ETF類型而異：高股息型ETF的資金流動對配息訊號最為敏感，市值型ETF在高配息情境下亦出現資金流入增加的現象，而主題型ETF的配息誘因影響相對微弱。 最後，實證結果顯示配息策略的資金吸引效果受市場整體環境影響。在低利率情境下，投資人對具現金收益特性的ETF反應更為積極，高配息ETF的資金流入與資金穩定性表現較佳；相對在市場利率上升或資產再配置壓力升高的情況下，配息對投資人資金配置的影響則明顯趨緩。
Exchange-Traded Funds (ETFs) have grown rapidly in Taiwan and become a major tool in investor portfolios. As the market expands, understanding what drives ETF fund flows is increasingly important. This study explores whether dividend policies influence fund flows, using monthly data on Taiwan-listed equity ETFs from January 2015 to December 2024. We build regression models that include fund characteristics (such as size, expense ratio, and turnover), dividend-related variables (dividend-paying status and 12-month cumulative yield), and market interest rates to examine their effects on ETF inflows and outflows. The results show that dividend-paying status does not significantly boost fund inflows but does help reduce outflows, indicating better investor retention. In contrast, higher dividend yields attract more inflows, though the effect weakens at very high levels. The impact on outflows is generally not significant. Further analysis shows that dividend effects differ across ETF types: high-dividend ETFs respond most strongly to yield, broad market ETFs show moderate inflows under high yield, while thematic ETFs are less affected. Market conditions also matter—under low interest rates, high-dividend ETFs attract more inflows and experience fewer redemptions; as rates rise, this effect weakens. These findings offer insights into how dividend strategies affect investor behavior in Taiwan’s ETF market and provide useful guidance for fund managers.
參考文獻 Agapova, A. (2011). Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets, 14(2), 323–343. https://doi.org/10.1016/j.finmar.2010.10.005 Ben-David, I., A. Franzoni, F., Kim, B., & Moussawi, R. (2023). Competition for Attention in the ETF Space. The Review of Financial Studies, 36(3), 987–1042. Bräuer, K., Hackethal, A., & Hanspal, T. (2019). Consuming Dividends. The Review of Financial Studies, 35(10), 4802–4857. https://doi.org/10.2139/ssrn.3466731 Cashman, G. D., Nardari, F., Deli, D. N., & Villupuram, S. V. (2014). Investor behavior in the mutual fund industry: Evidence from gross flows. Journal of Economics and Finance, 38(4), 541–567. https://doi.org/10.1007/s12197-012-9231-1 Chen, Q., Goldstein, I., & Jiang, W. (2010). Payoff complementarities and financial fragility: Evidence from mutual fund outflows. Journal of Financial Economics, 97(2), 239–262. https://doi.org/10.1016/j.jfineco.2010.03.016 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 Da Costa Neto, A. F., Klotzle, M. C., & Figueiredo Pinto, A. C. (2019). Investor behavior in ETF markets: A comparative study between the US and emerging markets. International Journal of Emerging Markets, 14(5), 944–966. https://doi.org/10.1108/IJOEM-04-2018-0195 Daniel, K., Garlappi, L., & Xiao, K. (2021). Monetary policy and reaching for income. The Journal of Finance, 76(3), 1145–1193. De Cesari, A., Hao, M., & Khurshed, A. (2025). Investor Sentiment and the Demand for Dividends. Available at SSRN 5143297. https://doi.org/10.2139/ssrn.5143297 Deville, L. (2008). Exchange Traded Funds: History, Trading, and Research. Handbook of Financial Engineering, 18, 67–98. https://doi.org/10.1007/978-0-387-76682-9_4 Gastineau, G. L. (2004). The benchmark index ETF performance problem. The Journal of Portfolio Management, 30(2), 96–103. https://doi.org/10.3905/jpm.2004.319935 Goetzmann, W. N., & Massa, M. (2003). Index Funds and Stock Market Growth. The Journal of Business, 76(1), 1–28. https://doi.org/10.1086/344111 Goriaev, A. P., Nijman, T. E., & Werker, B. J. M. (2002). The dynamics of the impact of past performance on mutual fund flows. Harris, L. E., Hartzmark, S. M., & Solomon, D. H. (2015). Juicing the dividend yield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433–451. https://doi.org/10.1016/j.jfineco.2015.04.001 Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153–2199. Huang, J. C., & Guedj, I. (2009). Are ETFs replacing index mutual funds? In Afa 2009 San Francisco Meetings Paper. https://doi.org/10.2139/ssrn.1108728 Ivanov, S. I. (2016). Analysis of the factors impacting ETFs net fund flow changes. Studies in Economics and Finance, 33(2), 244–261. https://doi.org/10.1108/SEF-06-2014-0114 Jiang, H., & Sun, Z. (2020). Reaching for dividends. Journal of Monetary Economics, 115, 321–338. https://doi.org/10.1016/j.jmoneco.2019.08.003 Jun, X., Li, M., & Yugang, C. (2017). Catering to behavioral demand for dividends and its potential agency issue. Pacific-Basin Finance Journal, 46, 269–291. https://doi.org/10.1016/j.pacfin.2017.09.013 Kalaycioglu, S. (2004). Exchange Traded Fund Flows. Available at SSRN 881108. Khomyn, M. (2024). The value of ETF liquidity. The Review of Financial Studies, 37(10), 3092–3148. Klinkowska, O., & Zhao, Y. (2023). Fund flows and performance: New evidence from retail and institutional SRI mutual funds. International Review of Financial Analysis, 87, 102596. https://doi.org/10.1016/j.irfa.2023.102596 Kopsch, F., Song, H.-S., & Wilhelmsson, M. (2015). Determinants of mutual fund flows. Managerial Finance, 41(1), 10–25. https://doi.org/10.1108/MF-06-2013-0161 Muñoz, F. (2019). The ‘smart money effect’among socially responsible mutual fund investors. International Review of Economics & Finance, 62, 160–179. 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 Staer, A. (2011). Fund flows and underlying returns: The case of ETFs. International Journal of Business, 22(4). https://doi.org/10.2139/ssrn.2158468 Svetina, M., & Wahal, S. (2010). Exchange traded funds: Performance and competition. Journal of Applied Finance, 20(2). https://doi.org/10.2139/ssrn.1303643 Wu, K., Sun, Y., Shi, K., & Lin, Q. (2022). Does Economic Policy Uncertainty Drive Global ETF Flows? Available at SSRN 3542908. Xiao, J., Li, M., & Chen, Y. (2016). Strategic use of dividend payments by mutual funds. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2808209 林玄通. (2000). 台灣股票市場之低價股效應. 朝陽大學碩士學位論文. 楊安祺. (2019). 台灣共同基金配息對投資人行為之影響. 國立台灣大學碩士學位論文. 楊雅琪. (2024). 臺灣ETF申購贖回量與受益人數影響因素研究. 國立台灣大學碩士學位論文. 翁霓, 劉維琪, & 陳隆麒. (1995). 投資績效分析:低股價效果及 小股本效果之實證研究. 管理科學學報, 12(3), 335–359. 鄭雅雯. (2020). 配息對基金流量之影響：以台灣境內固收基金為例. 國立政治大學碩士學位論文. 陳宗岡, 蔡宗勝, & 黃美玲. (2023). 指數股票型基金持股比例及其波動度與公司信用風險關聯性. 會計評論, 76, 95–143. https://doi.org/10.6552/JOAR.202301_(76).0003 高啟瑋. (2014). 共同基金流量影響因素探討:基金績效反應不對稱觀點. 國立台灣大學碩士學位論文.
描述 碩士
國立政治大學
財務管理學系
112357026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357026
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (Authors) 邵詩緯zh_TW
dc.contributor.author (Authors) Shao, Shi-Weien_US
dc.creator (作者) 邵詩緯zh_TW
dc.creator (作者) Shao, Shi-Weien_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:07:14 (UTC+8)-
dc.date.available 4-Aug-2025 14:07:14 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:07:14 (UTC+8)-
dc.identifier (Other Identifiers) G0112357026en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158505-
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) 112357026zh_TW
dc.description.abstract (摘要) 台灣ETF市場近年蓬勃發展，ETF已成為投資人資產配置中的核心工具，在市場規模迅速擴張的同時，資金流量被視為投資人偏好與市場動態的重要指標，本研究聚焦於ETF配息政策是否驅動資金流入的議題，以2015年1月至2024年12月台灣上市股票型ETF的月度資料為樣本，探討ETF是否配息、配息收益水準及市場環境對資金流入與流出的影響。 研究首先建立迴歸模型，納入基金規模、費用率、週轉率等基金特徵控制變數，並將ETF的配息與否、近12個月累積配息率作為核心自變數，同時引入市場利率等總體變數及交互項以捕捉條件效果。實證結果顯示：ETF配息與否本身並非吸引資金流入的主要驅動因素，但採取配息政策能在一定程度上降低資金流出的規模，有助於穩定資金留存。相較之下，累積配息率水準對資金流入具有顯著正向影響，較高的現金配息率有助於吸引投資人申購；然而此一影響呈現邊際效益遞減的現象，當配息率達到較高水準後，其對新增資金之吸引力將逐漸減弱。此外，實證結果顯示，配息率對資金流出之直接影響整體上未達統計顯著，顯示即便高配息具備吸引資金進場的效果，仍未必能有效降低投資人之贖回行為，進一步分組分析發現，配息效果因ETF類型而異：高股息型ETF的資金流動對配息訊號最為敏感，市值型ETF在高配息情境下亦出現資金流入增加的現象，而主題型ETF的配息誘因影響相對微弱。 最後，實證結果顯示配息策略的資金吸引效果受市場整體環境影響。在低利率情境下，投資人對具現金收益特性的ETF反應更為積極，高配息ETF的資金流入與資金穩定性表現較佳；相對在市場利率上升或資產再配置壓力升高的情況下，配息對投資人資金配置的影響則明顯趨緩。zh_TW
dc.description.abstract (摘要) Exchange-Traded Funds (ETFs) have grown rapidly in Taiwan and become a major tool in investor portfolios. As the market expands, understanding what drives ETF fund flows is increasingly important. This study explores whether dividend policies influence fund flows, using monthly data on Taiwan-listed equity ETFs from January 2015 to December 2024. We build regression models that include fund characteristics (such as size, expense ratio, and turnover), dividend-related variables (dividend-paying status and 12-month cumulative yield), and market interest rates to examine their effects on ETF inflows and outflows. The results show that dividend-paying status does not significantly boost fund inflows but does help reduce outflows, indicating better investor retention. In contrast, higher dividend yields attract more inflows, though the effect weakens at very high levels. The impact on outflows is generally not significant. Further analysis shows that dividend effects differ across ETF types: high-dividend ETFs respond most strongly to yield, broad market ETFs show moderate inflows under high yield, while thematic ETFs are less affected. Market conditions also matter—under low interest rates, high-dividend ETFs attract more inflows and experience fewer redemptions; as rates rise, this effect weakens. These findings offer insights into how dividend strategies affect investor behavior in Taiwan’s ETF market and provide useful guidance for fund managers.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 3 第三節 研究架構 5 第二章 文獻回顧 6 第一節 前言:共同基金與ETF 發展脈絡 6 第二節 基金基本特徵與績效對資金流量影響 7 第三節 基金配息政策對資金流量影響 9 第三章 研究樣本及研究方法 12 第一節 樣本與資料來源 12 第二節 變數定義 13 第三節 研究方法 17 第四章 實證結果分析 20 第一節 配息與否對ETF 資金流量之影響 20 第二節 配息率高低對ETF 資金流量之影響 25 第三節 不同市場環境下對ETF 資金流量之影響 34 第五章 結論與建議 44 參考文獻 47zh_TW
dc.format.extent 1318258 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357026en_US
dc.subject (關鍵詞) ETFzh_TW
dc.subject (關鍵詞) 基金流量zh_TW
dc.subject (關鍵詞) 配息率zh_TW
dc.subject (關鍵詞) 投資人行為zh_TW
dc.subject (關鍵詞) ETFen_US
dc.subject (關鍵詞) Fund flowen_US
dc.subject (關鍵詞) Dividend yielden_US
dc.subject (關鍵詞) Investor behavioren_US
dc.title (題名) ETF配息驅動ETF資金流入?以台灣指數股票型基金為例zh_TW
dc.title (題名) Do ETF Dividends Drive Fund Inflows? Evidence from Taiwan Index ETFsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agapova, A. (2011). Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets, 14(2), 323–343. https://doi.org/10.1016/j.finmar.2010.10.005 Ben-David, I., A. Franzoni, F., Kim, B., & Moussawi, R. (2023). Competition for Attention in the ETF Space. The Review of Financial Studies, 36(3), 987–1042. Bräuer, K., Hackethal, A., & Hanspal, T. (2019). Consuming Dividends. The Review of Financial Studies, 35(10), 4802–4857. https://doi.org/10.2139/ssrn.3466731 Cashman, G. D., Nardari, F., Deli, D. N., & Villupuram, S. V. (2014). Investor behavior in the mutual fund industry: Evidence from gross flows. Journal of Economics and Finance, 38(4), 541–567. https://doi.org/10.1007/s12197-012-9231-1 Chen, Q., Goldstein, I., & Jiang, W. (2010). Payoff complementarities and financial fragility: Evidence from mutual fund outflows. Journal of Financial Economics, 97(2), 239–262. https://doi.org/10.1016/j.jfineco.2010.03.016 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 Da Costa Neto, A. F., Klotzle, M. C., & Figueiredo Pinto, A. C. (2019). Investor behavior in ETF markets: A comparative study between the US and emerging markets. International Journal of Emerging Markets, 14(5), 944–966. https://doi.org/10.1108/IJOEM-04-2018-0195 Daniel, K., Garlappi, L., & Xiao, K. (2021). Monetary policy and reaching for income. The Journal of Finance, 76(3), 1145–1193. De Cesari, A., Hao, M., & Khurshed, A. (2025). Investor Sentiment and the Demand for Dividends. Available at SSRN 5143297. https://doi.org/10.2139/ssrn.5143297 Deville, L. (2008). Exchange Traded Funds: History, Trading, and Research. Handbook of Financial Engineering, 18, 67–98. https://doi.org/10.1007/978-0-387-76682-9_4 Gastineau, G. L. (2004). The benchmark index ETF performance problem. The Journal of Portfolio Management, 30(2), 96–103. https://doi.org/10.3905/jpm.2004.319935 Goetzmann, W. N., & Massa, M. (2003). Index Funds and Stock Market Growth. The Journal of Business, 76(1), 1–28. https://doi.org/10.1086/344111 Goriaev, A. P., Nijman, T. E., & Werker, B. J. M. (2002). The dynamics of the impact of past performance on mutual fund flows. Harris, L. E., Hartzmark, S. M., & Solomon, D. H. (2015). Juicing the dividend yield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433–451. https://doi.org/10.1016/j.jfineco.2015.04.001 Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153–2199. Huang, J. C., & Guedj, I. (2009). Are ETFs replacing index mutual funds? In Afa 2009 San Francisco Meetings Paper. https://doi.org/10.2139/ssrn.1108728 Ivanov, S. I. (2016). Analysis of the factors impacting ETFs net fund flow changes. Studies in Economics and Finance, 33(2), 244–261. https://doi.org/10.1108/SEF-06-2014-0114 Jiang, H., & Sun, Z. (2020). Reaching for dividends. Journal of Monetary Economics, 115, 321–338. https://doi.org/10.1016/j.jmoneco.2019.08.003 Jun, X., Li, M., & Yugang, C. (2017). Catering to behavioral demand for dividends and its potential agency issue. Pacific-Basin Finance Journal, 46, 269–291. https://doi.org/10.1016/j.pacfin.2017.09.013 Kalaycioglu, S. (2004). Exchange Traded Fund Flows. Available at SSRN 881108. Khomyn, M. (2024). The value of ETF liquidity. The Review of Financial Studies, 37(10), 3092–3148. Klinkowska, O., & Zhao, Y. (2023). Fund flows and performance: New evidence from retail and institutional SRI mutual funds. International Review of Financial Analysis, 87, 102596. https://doi.org/10.1016/j.irfa.2023.102596 Kopsch, F., Song, H.-S., & Wilhelmsson, M. (2015). Determinants of mutual fund flows. Managerial Finance, 41(1), 10–25. https://doi.org/10.1108/MF-06-2013-0161 Muñoz, F. (2019). The ‘smart money effect’among socially responsible mutual fund investors. International Review of Economics & Finance, 62, 160–179. 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 Staer, A. (2011). Fund flows and underlying returns: The case of ETFs. International Journal of Business, 22(4). https://doi.org/10.2139/ssrn.2158468 Svetina, M., & Wahal, S. (2010). Exchange traded funds: Performance and competition. Journal of Applied Finance, 20(2). https://doi.org/10.2139/ssrn.1303643 Wu, K., Sun, Y., Shi, K., & Lin, Q. (2022). Does Economic Policy Uncertainty Drive Global ETF Flows? Available at SSRN 3542908. Xiao, J., Li, M., & Chen, Y. (2016). Strategic use of dividend payments by mutual funds. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2808209 林玄通. (2000). 台灣股票市場之低價股效應. 朝陽大學碩士學位論文. 楊安祺. (2019). 台灣共同基金配息對投資人行為之影響. 國立台灣大學碩士學位論文. 楊雅琪. (2024). 臺灣ETF申購贖回量與受益人數影響因素研究. 國立台灣大學碩士學位論文. 翁霓, 劉維琪, & 陳隆麒. (1995). 投資績效分析:低股價效果及 小股本效果之實證研究. 管理科學學報, 12(3), 335–359. 鄭雅雯. (2020). 配息對基金流量之影響：以台灣境內固收基金為例. 國立政治大學碩士學位論文. 陳宗岡, 蔡宗勝, & 黃美玲. (2023). 指數股票型基金持股比例及其波動度與公司信用風險關聯性. 會計評論, 76, 95–143. https://doi.org/10.6552/JOAR.202301_(76).0003 高啟瑋. (2014). 共同基金流量影響因素探討:基金績效反應不對稱觀點. 國立台灣大學碩士學位論文.zh_TW