近十年ETF規模以及成交量快速增長，越來越多投資人參與投資ETF股票市場交易。過去許多人探討市場情緒對股票報酬表現分析，而本文旨在探討台灣市場投資人情緒對台灣指數股票型基金（Exchange Traded Funds, ETF）折溢價之現象探討，採用證交所2014年至2022年掛牌之ETF做為研究樣本，共227檔ETF，總計14512筆觀察值。市場情緒主要採用Baker and Wurgler（2006）研究方法並參考Chang et al.（2015）台灣市場的投資人解釋變數，結果顯示溢價越高的ETF在未來報酬表現較差。進一步分析情緒解釋變數是否對債券型、股票型、槓反型ETF有差異性，發現市場情緒對ETF折溢價有顯著性影響，另外對債券型的ETF有比較明顯的顯著效果，股票型則是法人情緒有較顯著的表現，槓反ETF則與市場情緒較無關聯。

In the past decade, the size and trading volume of ETFs（Exchange Traded Funds）have experienced rapid growth, attracting an increasing number of investors to participate in the ETF stock market. While many studies have explored the impact of market sentiment on stock returns, this article aims to examine the influence of investor sentiment in the Taiwanese market on the premium/discount of Taiwan index ETFs. The study uses a sample of 227 ETFs listed on the Taiwan Stock Exchange from 2014 to 2022, totaling 14,512 observations. Market sentiment is primarily measured using a principal component analysis based on Baker and Wurgler's（2006）approach, with additional investor-specific variables specific to the Taiwanese market selected based on Chang et al.'s （2015） research. The results show that ETFs with higher premiums exhibit poorer future performance. Further analysis investigates whether sentiment variables have differential effects on bond, equity, and leveraged/inverse ETFs. It is found that market sentiment significantly impacts the premium/discount of ETFs, with a more pronounced effect observed in bond ETFs. For equity ETFs, institutional sentiment demonstrates a more significant influence, while leveraged/inverse ETFs show less correlation with market sentiment.

目錄
論文審定 i
摘要 ii
ABSTRACT iii
目錄 iv
圖次 vi
表次 vii
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機 3
第二章 文獻回顧 4
2.1 ETF的折溢價 4
2.2 槓桿型ETF 5
2.3投資人情緒對市場影響 6
2.4 研究假設 6
第三章 研究設計與變數 7
3.1 資料來源 7
3.2 投資人情緒定義與建構 7
3.2.1 變數定義 7
3.2.2情緒指標建構 10
3.3 ETF折溢價 11
3.3.1模型設計 11
3.3.2 ETF折溢價定義 11
3.3.3 折溢價現象之衡量方法 12
3.4 變數定義 14
第四章 實證結果 15
4.1 敘述性統計 15
4.1.1 ETF折溢價 15
4.1.2 投資人情緒 16
4.2 相關性檢定 17
4.3 高溢價ETF事件研究 18
4.4 BW8投資人情緒建構 21
4.5 實證回歸分析結果 21
第五章 結論與建議 27
參考文獻 29

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