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題名 ETF申購贖回對成分股波動性與流動性的影響
The Impact of ETF Creation and Redemption on the Volatility and Liquidity of Constituent Stocks
作者 劉昱辰
Liu, Yu-Chen
貢獻者 李志宏
劉昱辰
Liu, Yu-Chen
關鍵詞 ETF資金流
流動性
波動性
ETF Flow
Volatility
Liquidity
日期 2025
上傳時間 4-Aug-2025 14:08:00 (UTC+8)
摘要 本研究聚焦台灣ETF市場，實證分析初級市場申購與贖回行為對成分股短期波動性與流動性的影響。結果顯示，ETF申購贖回顯著緩解成分股波動性且ETF資金流驅動成分股波動性下降，同時，ETF申購贖回改善成分股流動性，惟資金流並非驅動價格衝擊與交易成本改善的原因。本研究以0050、0056、00692與00713四檔ETF，檢驗單一ETF資金流對高、低權重的成分股波動性與流動性是否存在異質性，並發現ETF資金流對高、低權重成分股波動性與流動性的異質關係，因不同ETF而有所不同，可能受ETF特性與成分股特性共同影響。整體而言，本研究補充ETF初級市場對成分股的實質影響，強調申購與贖回對價格波動與流動性具穩定效果，並以投資比率提出ETF資金流的異質性影響。
This study focuses on the Taiwan ETF market and empirically examines the impact of primary market creation and redemption activities on the short-term volatility and liquidity of constituent stocks. The results show that ETF creation and redemption significantly mitigate the volatility of constituent stocks, with ETF fund flows driving a reduction in stock price fluctuations. Furthermore, ETF activities improve the liquidity of constituent stocks, although fund flows are not found to be the direct cause of changes in price impact or trading costs. Using four ETFs—0050, 0056, 00692, and 00713—this study investigates whether fund flows from individual ETFs exhibit heterogeneous effects on the volatility and liquidity of high- and low-weighted constituent stocks. The findings reveal that the heterogeneity in the effects of ETF fund flows on constituent stock volatility and liquidity varies across ETFs, likely influenced by both ETF-specific characteristics and the attributes of their underlying holdings. Overall, this study contributes to the understanding of the substantive role of ETF primary market activities on constituent stocks, highlighting the stabilizing effect of creations and redemptions on price volatility and liquidity, and emphasizing the heterogeneous impact of ETF fund flows based on investment weights.
參考文獻 Agarwal, V., Hanouna, P. E., Moussawi, R., and Stahel, C. W. (2018). Do ETFs increase the commonality in liquidity of underlying stocks? Working paper, Villanova University. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. Aslan, H., Easley, D., Hvidkjaer, S., and O’Hara, M. (2011). The characteristics of informed trading: Implications for asset pricing. Journal of Empirical Finance, 18, 782–801. Bae, K. H., Wang, J., and Kang, J. K. (2012). The costs of ETF membership: Valuation effect of ETFs on underlying firms. Working paper, York University. Ben-David, I., Franzoni, F., and Moussawi, R. (2018). Do ETFs increase volatility? Journal of Finance, 73, 2471–2535. Bernard, H., and Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance and Economics, 3(3), 195–215. Boehmer, B., and Boehmer, E. (2003). Trading your neighbor’s ETFs: Competition or fragmentation? Journal of Banking and Finance, 27, 1667–1703. Bysted, D., and Lundkvist, J. (2019). Does ETF ownership increase stock volatility? Working paper. Chung, K., and Zhang, H. (2014). A simple approximation of intraday spreads using daily data. Journal of Financial Markets, 17, 94–120. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738. Foster, F. D., and Viswanathan, S. (1994). Strategic trading with asymmetrically informed traders and long-lived information. Journal of Financial and Quantitative Analysis, 29, 499–518. Garman, M. B., and Klass, M. J. (1980). On the estimation of security price volatilities from historical data. Journal of Business, 53, 67–78. Glosten, L., Nallareddy, S., and Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Hamm, S. J. W. (2014). The effect of ETFs on stock liquidity. Working paper, Tulane University. Hegde, S. P., and McDermott, J. B. (2004). The market liquidity of DIAMONDS, Q’s, and their underlying stocks. Journal of Banking and Finance, 28, 1043–1067. Israeli, D., Lee, C. M., and Sridharan, S. A. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22, 1048–1083. Krause, T., Ehsani, S., and Lien, D. (2014). Exchange-traded funds, liquidity and volatility. Applied Financial Economics, 24, 1617–1630. Lin, C. (2024). How do ETFs affect stock volatility? Available at SSRN. Lin, C.-C., and Chiang, M.-H. (2005). Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index. Applied Financial Economics, 15, 1315–1322. Malamud, S. (2016). A dynamic equilibrium model of ETFs. Working paper, Swiss Finance Institute. Marshall, B. R., Nguyen, N. H., and Visaltanachoti, N. (2015). ETF liquidity. Working paper, Massey University. Richie, N., and Madura, J. (2007). Impact of the QQQ on liquidity and risk of the underlying stocks. Quarterly Review of Economics and Finance, 47, 411–421. Rogers, L. C. G., and Satchell, S. E. (1991). Estimating variance from high, low and closing prices. The Annals of Applied Probability, 1(4), 504–512. Saæglam, M., Tuzun, T., and Wermers, R. (2021). Do ETFs increase liquidity? CFR Working Paper, No. 21-03. Son, D. P., Marshall, B. R., Nguyen, N. H., and Visaltanachoti, N. (2023). Liquidity spillover between ETFs and their constituents. International Review of Economics and Finance, 88, 723–747. Wang, H., and Xu, L. (2019). Do exchange-traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China. Accounting and Finance, 58, 1525–1548. Wang, N., and Ma, Z. (2024). ETF ownership and stock liquidity: Evidence from China. Asia-Pacific Journal of Accounting and Economics, 1–18. Xu, L., Yin, X., and Zhao, J. (2022). Are the flows of exchange‐traded funds informative? Financial Management, 51(4), 1165–1200. Zhao, X., Ran, G., Shen, B., and Li, X. (2022). Does ETF activity reduce stock price volatility—Evidence from the A-share market. Applied Economics, 54(52), 6036–6053.
描述 碩士
國立政治大學
財務管理學系
112357035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357035
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (Authors) 劉昱辰zh_TW
dc.contributor.author (Authors) Liu, Yu-Chenen_US
dc.creator (作者) 劉昱辰zh_TW
dc.creator (作者) Liu, Yu-Chenen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:08:00 (UTC+8)-
dc.date.available 4-Aug-2025 14:08:00 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:08:00 (UTC+8)-
dc.identifier (Other Identifiers) G0112357035en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158509-
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) 112357035zh_TW
dc.description.abstract (摘要) 本研究聚焦台灣ETF市場，實證分析初級市場申購與贖回行為對成分股短期波動性與流動性的影響。結果顯示，ETF申購贖回顯著緩解成分股波動性且ETF資金流驅動成分股波動性下降，同時，ETF申購贖回改善成分股流動性，惟資金流並非驅動價格衝擊與交易成本改善的原因。本研究以0050、0056、00692與00713四檔ETF，檢驗單一ETF資金流對高、低權重的成分股波動性與流動性是否存在異質性，並發現ETF資金流對高、低權重成分股波動性與流動性的異質關係，因不同ETF而有所不同，可能受ETF特性與成分股特性共同影響。整體而言，本研究補充ETF初級市場對成分股的實質影響，強調申購與贖回對價格波動與流動性具穩定效果，並以投資比率提出ETF資金流的異質性影響。zh_TW
dc.description.abstract (摘要) This study focuses on the Taiwan ETF market and empirically examines the impact of primary market creation and redemption activities on the short-term volatility and liquidity of constituent stocks. The results show that ETF creation and redemption significantly mitigate the volatility of constituent stocks, with ETF fund flows driving a reduction in stock price fluctuations. Furthermore, ETF activities improve the liquidity of constituent stocks, although fund flows are not found to be the direct cause of changes in price impact or trading costs. Using four ETFs—0050, 0056, 00692, and 00713—this study investigates whether fund flows from individual ETFs exhibit heterogeneous effects on the volatility and liquidity of high- and low-weighted constituent stocks. The findings reveal that the heterogeneity in the effects of ETF fund flows on constituent stock volatility and liquidity varies across ETFs, likely influenced by both ETF-specific characteristics and the attributes of their underlying holdings. Overall, this study contributes to the understanding of the substantive role of ETF primary market activities on constituent stocks, highlighting the stabilizing effect of creations and redemptions on price volatility and liquidity, and emphasizing the heterogeneous impact of ETF fund flows based on investment weights.en_US
dc.description.tableofcontents 摘要 2 Abstract 3 第一章 緒論 1 1.1 研究動機 1 1.2 研究目的 4 1.3 研究架構 5 第二章 文獻回顧 6 2.1 前言 6 2.2 ETFs與成分股波動性 6 2.3 ETFs與成分股流動性 7 2.4 研究問題 9 第三章 資料樣本與研究方法 10 3.1 資料樣本 10 3.2 變數計算 10 3.3 研究方法 13 第四章 實證結果與分析 15 4.1 ETF申購贖回對成分股波動性分析 15 4.2 ETF申購贖回對成分股流動性分析 17 4.3 申購贖回對不同投資比率的成分股波動性分析 20 4.4 申購贖回對不同投資比率的成分股流動性分析 21 第五章 結論 23 參考文獻 26 實證表格 28 Appendix 40zh_TW
dc.format.extent 2144075 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357035en_US
dc.subject (關鍵詞) ETF資金流zh_TW
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 波動性zh_TW
dc.subject (關鍵詞) ETF Flowen_US
dc.subject (關鍵詞) Volatilityen_US
dc.subject (關鍵詞) Liquidityen_US
dc.title (題名) ETF申購贖回對成分股波動性與流動性的影響zh_TW
dc.title (題名) The Impact of ETF Creation and Redemption on the Volatility and Liquidity of Constituent Stocksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V., Hanouna, P. E., Moussawi, R., and Stahel, C. W. (2018). Do ETFs increase the commonality in liquidity of underlying stocks? Working paper, Villanova University. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. Aslan, H., Easley, D., Hvidkjaer, S., and O’Hara, M. (2011). The characteristics of informed trading: Implications for asset pricing. Journal of Empirical Finance, 18, 782–801. Bae, K. H., Wang, J., and Kang, J. K. (2012). The costs of ETF membership: Valuation effect of ETFs on underlying firms. Working paper, York University. Ben-David, I., Franzoni, F., and Moussawi, R. (2018). Do ETFs increase volatility? Journal of Finance, 73, 2471–2535. Bernard, H., and Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. International Journal of Finance and Economics, 3(3), 195–215. Boehmer, B., and Boehmer, E. (2003). Trading your neighbor’s ETFs: Competition or fragmentation? Journal of Banking and Finance, 27, 1667–1703. Bysted, D., and Lundkvist, J. (2019). Does ETF ownership increase stock volatility? Working paper. Chung, K., and Zhang, H. (2014). A simple approximation of intraday spreads using daily data. Journal of Financial Markets, 17, 94–120. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738. Foster, F. D., and Viswanathan, S. (1994). Strategic trading with asymmetrically informed traders and long-lived information. Journal of Financial and Quantitative Analysis, 29, 499–518. Garman, M. B., and Klass, M. J. (1980). On the estimation of security price volatilities from historical data. Journal of Business, 53, 67–78. Glosten, L., Nallareddy, S., and Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Hamm, S. J. W. (2014). The effect of ETFs on stock liquidity. Working paper, Tulane University. Hegde, S. P., and McDermott, J. B. (2004). The market liquidity of DIAMONDS, Q’s, and their underlying stocks. Journal of Banking and Finance, 28, 1043–1067. Israeli, D., Lee, C. M., and Sridharan, S. A. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22, 1048–1083. Krause, T., Ehsani, S., and Lien, D. (2014). Exchange-traded funds, liquidity and volatility. Applied Financial Economics, 24, 1617–1630. Lin, C. (2024). How do ETFs affect stock volatility? Available at SSRN. Lin, C.-C., and Chiang, M.-H. (2005). Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index. Applied Financial Economics, 15, 1315–1322. Malamud, S. (2016). A dynamic equilibrium model of ETFs. Working paper, Swiss Finance Institute. Marshall, B. R., Nguyen, N. H., and Visaltanachoti, N. (2015). ETF liquidity. Working paper, Massey University. Richie, N., and Madura, J. (2007). Impact of the QQQ on liquidity and risk of the underlying stocks. Quarterly Review of Economics and Finance, 47, 411–421. Rogers, L. C. G., and Satchell, S. E. (1991). Estimating variance from high, low and closing prices. The Annals of Applied Probability, 1(4), 504–512. Saæglam, M., Tuzun, T., and Wermers, R. (2021). Do ETFs increase liquidity? CFR Working Paper, No. 21-03. Son, D. P., Marshall, B. R., Nguyen, N. H., and Visaltanachoti, N. (2023). Liquidity spillover between ETFs and their constituents. International Review of Economics and Finance, 88, 723–747. Wang, H., and Xu, L. (2019). Do exchange-traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China. Accounting and Finance, 58, 1525–1548. Wang, N., and Ma, Z. (2024). ETF ownership and stock liquidity: Evidence from China. Asia-Pacific Journal of Accounting and Economics, 1–18. Xu, L., Yin, X., and Zhao, J. (2022). Are the flows of exchange‐traded funds informative? Financial Management, 51(4), 1165–1200. Zhao, X., Ran, G., Shen, B., and Li, X. (2022). Does ETF activity reduce stock price volatility—Evidence from the A-share market. Applied Economics, 54(52), 6036–6053.zh_TW