本研究以台灣50及台灣高股息ETFs為研究對象，並探討這些ETFs價差策略的獲利性分析，同時與長期持股策略做一比較。本研究發現介入0050ETFs，近3年採用價差策略，其獲利為9.76%，然而在長期投資策略則有18.6%；是以我們發現投資0050ETFs，長期持有策略更甚於價差投資策略。然而若以0056ETFs為研究標的，則價差投資的策略獲利有優於長期持有策略的可能性。綜整上述實證結果，本研究發現0050適合長期持有，然而0056反而可將價差策略納入考量，上述實證結果應有助於投資人介入此二檔相當受到台灣投資人所重視的投資標的。

By employing ETFs 0050 and ETFs 0056 as our investigated samples, we explore whether adopting spread trading for such ETFs would have better performance as compared with long term investments. We then reveal that 9.76% returns are shown for spread trading ETFs as compared with 18.6% returns for long-term investment, indicating that long-term investment strategies would be better than spread trading strategies. However, while trading ETFs 0056, we show that the performance of adopting spread trading strategies might not worse off those of long-term investment strategies. These revealed findings would be beneficial for investors in investing ETFs 0050 and ETFs 0056 regarded as rather essential targets for many investors in Taiwan.

目  錄
中文摘要	I
英文摘要	II
目  錄	III
圖目錄	V
表目錄	VI
第一章、緒論	1
第一節、研究動機	1
第二節、研究目的	4
第二章、文獻探討	7
第一節、投資績效	7
第二節、交易策略	12
第三節、價差策略	15
第四節、投資績效與價差策略	18
第三章、研究假說與方法	20
第一節、資料來源	20
第二節、研究假說	22
第三節、研究設計	22
第四章、實證結果	25
第一節、敘述統計量	25
第二節、0050介入高、低單位數價差策略與長期投資的實證結果	26
第三節、0056介入高、低單位數價差策略與長期投資的實證結果	28
第五章、結論與建議	32
第一節、研究結論	32
第二節、投資與管理意涵	34
第三節、研究限制與後續研究建議	35
參考文獻	........................................................37



































圖目錄
圖1-1	台灣近10年加權指數走勢圖	1
圖1-2	2020/3/19 S&P 500走勢圖	2
圖1-3   台股2020走勢圖	3
圖2-1   0050元大台灣50近10年股利政策	11
圖2-2   0050元大台灣50歷年股利分派統計圖	12
圖2-3   0050元大台灣50近10年股利分派統計圖	12
圖3-1   0050元大台灣50基本資料	21
圖3-2   0050元大台灣50股票期貨權重	21












表目錄
表3-1	價差策略	23
表4-1	敘述統計量	25
表4-2	0050價差策略與長期持有的獲利性分析比較	27
表4-3   0056價差策略與長期持有的獲利性分析比較	29

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