近年來ETF投資工具逐漸受到投資大眾之重視，多樣式的ETF在各大交易所之交易比重大幅上升，其中槓桿型ETF更是受到投資者的青睞，然而槓桿型或反向型ETF在持股組合為部份或全部組成，系以期貨或其它衍生性金融商品合成，而在實務交易中，期貨合約因具有到期日的限制，在合約到期日必須以現貨價格結算，故普遍有期貨到期日或前後交易日，現貨市場和期貨市場均在波動度或成交量變動率上產生異常的狀況，此現象統稱為到期效應(maturity effect)。
     本研究主要目的在於研究槓桿型及反向型ETF中，在追蹤標的指數期貨到期日或到期日前後之交易日是否存在著到期效應，並且同時探討在特殊事件發生或特定期間，桿桿型及反向型ETF之到期效應是否加倍顯著之議題，最後並在投資策略上，套利或避險投資人所持有之投資組合應如何調整，如何善用槓桿型及反向型ETF做為投資組合之避險部位，本文最後將提供適當建議。
    研究資料樣本取自台灣證券交易所之追蹤加權指數ETF，分別為台灣50、台灣50正2以及台灣50反，樣本期間為2014年10月31日至2018年01月15日，交易樣本為日資料，共786筆交易；實證研究採用雙變量GARCH模型進行研究實證，研究發現，當追蹤台灣加權指數接近到期日前數個交易日，追蹤台灣加權指指數之ETF確實存在到期效應，在到期日前數個交易日，波動度及交易量均有異常量值的現象，其中又以台灣50正2及反向型之到期效應更為顯著。

In recent years, ETF investment vehicles are increasingly valued by the investing public. The diversified ETFs have risen sharply in the major exchanges. Among them, the leveraged ETFs are favored by investors. However, In practical transactions, futures contracts must be spot-settled on the expiration date due to the expiry date of the futures contract. Therefore, futures contracts are generally futures on maturity or trading day, the spot market and the futures market all have an abnormal situation in volatility or turnover rate. This phenomenon is collectively referred to as the maturity effect. The main purpose of this study is to investigate whether there is a maturity effect in the leveraged and inverse ETFs on the maturity date of the underlying index futures or on the trading day before and after the maturity date. Whether the maturity effect of the rod-type and reverse-type ETF is more prominent issue, and finally in the investment strategy, arbitrage or hedge investors how to adjust the investment portfolio held, how to leverage leveraged and inverse ETF as a safe haven for a portfolio, this article concludes with appropriate advice.The research sample is based on the Taiwan Stock Exchange's tracking weighted index ETFs of Taiwan 50, Taiwan 50 Plus 2 and Taiwan 50 Anti-Samples. empirical studies using bivariate GARCH model for empirical research.     The study found that tracking the Taiwan Weighted Index ETF does have a maturity effect when the tracking of the Taiwan Weighted Index is approaching the expiry date a few trading days before expiration. In the trading days prior to maturity, both the volatility and the trading volume have an abnormal magnitude Phenomenon, of which Taiwan 50 plus 2 and the inverse effect of the expiration of the more pronounced.

目　錄
第一章	緒論1 
第一節	全球及台灣ETF發展歷程1 
第二節	台灣ETF的發展背景 5 
第三節	槓桿型ETF之結構與特性8 
第四節	研究目的12 
第五節	研究流程圖14 
第二章	文獻回顧15 
第一節	槓桿型及反向型ETF投資績效及追蹤誤差探討15 
第二節	台灣加權指數到期效應探討18 
第三節  槓桿型ETF之折溢價影響因素20 
第三章	研究方法與實證模型22 
第一節	變數操作性定義22 
第二節	單根檢定23 
第三節	Ljung-Box Q檢定統計量26 
第四節  雙變量GARCH模型28 
第四章	資料來源與處理34 
第一節	資料來源說明處理34 
第二節	基本敘述統計量說明35 
第三節  單根檢定38 
第五章	實證結果與分析40 
第一節	結果分析40 
第二節	槓桿型ETF與反向型ETF分析40 
第三節	特殊事件共變異係數 47
第六章	結論與建議 50
參考文獻 52

表　目　錄
    頁次
【表1-1-1】指數化產品種類……………………..………………..………………..3
【表1-3-1】元大ETF傘型基金架構……………………………….………………9
【表1-3-2】2倍槓桿ETF正報酬模擬.…………………………….……………..10
【表1-3-3】2倍槓桿ETF負報酬模擬.…………………………….……………..10
【表1-3-4】2倍槓桿ETF盤整報酬模擬.………………………….……………..11
【表4-2-1】報酬率敘述統計一覽表……………………………….……………...36
【表4-2-2】成交量敘述統計一覽表……………………………….……………...37
【表4-3-1】報酬率相關變數之單根檢定………………………….……………...39
【表4-3-2】成交量相關變數之單根檢定………………………….……………...39
【表5-2-1】槓桿型ETF平均數方程式及變異數方程式………....………….…..42
【表5-2-2】反向型ETF平均數方程式及變異數方程式.……….….……………46
圖　目　錄
    頁次
【圖1-1-1】全球ETF資產規模與發行檔數…………………………...…………..4
【圖1-1-2】美國主動式基金與被動式基金市佔率…….…… ……………………4
【圖1-2-1】ETF總分類表………………………………………………………......8
【圖1-3-1】元大ETF傘型基金架構……………….………………………………...9
【圖1-5-1】研究流程圖……………….………………………………...14
【圖5-3-1】傳統ETF與槓桿型ETF共變異係數….……………………………......49
【圖5-3-2】傳統ETF與反向型ETF共變異係數….……………………………......49

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