本研究探討ETF所有權對台灣股票市場品質之影響，分別採用股票流動性、波動性以及定價效率作為市場品質之衡量。流動性之衡量變數為Amihud的流動性不足比率，波動性以報酬率之標準差作為衡量，並以股票報酬同步性來衡量定價效率。本研究實證結果發現，ETF所有權增加會使得流動性不足上升，代表股票市場流動性下降，投資人交易成本增加。也會使得報酬率標準差上升，意旨股票市場波動性上升。另外，亦會導致股票報酬同步性上升，表示股票市場定價效率下降。綜上所述，本研究發現增加ETF所有權會導致流動性下降，波動性上升及定價效率變差，說明被ETF大量持有之股票其市場品質為差。

This study examines the impact of ETF ownership on the Taiwan stock market’s Quality. We measure the market quality of stocks by liquidity, volatility, and pricing efficiency. The measurement variable of liquidity is Amihud's iliquidity ratio, volatility is measured by the standard deviation of return, and the pricing efficiency is measured by the synchrony of stock returns. The findings are as follows. This increase in ETF ownership is associated with an increase in iliquidity, and it represents a decrease in the liquidity of stock, and increase in the transaction costs of investors. Second,we find that is increase the standard deviation of returns, and it means an increase in the volatility of stock. Third, we posit that is increase the synchrony of stock returns, and it means a decrease in the pricing efficiency of stock. Collectively, our study support the view that increased ETF ownership can lead to decrease in the liquidity, increase in the volatility and decrease in the pricing efficiency. This indicates that higher ownership by ETFs holding the stock display worse market quality.

論文目錄
第壹章  緒論	1
第一節 研究背景	1
第二節 研究目的	4
第三節 研究流程	6
第貳章  文獻探討	8
第一節  ETF之簡介	8
第二節  流動性、波動性與定價效率的相關文獻	11
第三節  研究假說	16
第參章  研究方法	18
第一節 樣本與資料	18
第二節 研究架構	19
第三節 變數定義	20
第四節 研究模型	27
第肆章  實證結果及分析	32
第一節 敘述性統計與相關係數分析	32
第二節 迴歸實證結果與分析	41
第伍章  結論與建議	48
第一節 研究結論	48
第二節 研究限制	49
第三節 研究貢獻與建議	49
參考文獻	51
附錄	55

表目錄
表 2-1  ETF與股票之比較	10
表 2-2  ETF與一般基金之比較	10
表 4-1  同期變數敘述統計表	35
表 4-2  前期變數敘述統計表	36
表 4-3  變數變化敘述統計表	37
表 4-4  同期變數相關係數表	38
表 4-5  波動性迴歸變數相關係數表	39
表 4-6  流動性和定價效率迴歸變數相關係數表	40
表 4-7  ETF所有權對股票流動性之影響迴歸結果	45
表 4-8  ETF所有權對股票波動性之影響迴歸結果	46
表 4-9  ETF所有權對股票定價效率之影響迴歸結果	47
附表一  台灣2003年7月至2016年12月發行的所有國內指數股票型基金	55
附表二  台灣國內ETF自2003年至2016年的年平均投資金額	56
附表三  變數說明	57
附表四  自2003年至2016年ETF所有權投資前十大之股票	58

圖目錄
圖 1-1  ETF佔台股成交金額比重	2
圖 1-2  研究流程圖	7
圖 2-1  ETF市場流程圖	8
圖 2-2  股票證券化	9
圖 2-3  市場品質	11
圖 3-1  研究架構圖	19

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