Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/158506
|
| Title: | ETF調整對成份股股價波動性之影響
The Impact of ETF Rebalancing on the Price Volatility of Constituent Stocks |
| Authors: | 曾敬山
Tseng, Ching-Shan |
| Contributors: | 李志宏
曾敬山
Tseng, Ching-Shan |
| Keywords: | ETF
波動性
成份股
ETF
Volatility
Constituent Stocks |
| Date: | 2025 |
| Issue Date: | 2025-08-04 14:07:26 (UTC+8) |
| Abstract: | 鑑於現有國內外文獻對 ETF 事件效應的結論不同，而台灣市場又因產業結構、市場與制度特性，呈現與美國等成熟市場迥異的波動度行為，本研究遂以2014至2024年間台灣交易型開放式指數基金（ETF）成分股調整為樣本，運用事件研究法並結合三向差異中之差異模型，系統檢驗 ETF「納入」與「剔除」對個股風險的真實影響，並以小市值、低法人持股與主題型 ETF 標的構成「非穩定樣本」，模擬美國ETF市場情境。
實證結果顯示，納入事件會整體推升60日歷史波動度，且在非穩定樣本中幅度更大；高頻區間波動度（Garman-Klass 與 Rogers-Satchell）則因流動性迅速補充而呈現縮小。剔除事件對歷史波動度不具顯著影響，但在當日價格範圍內（gk、rs）引致顯著振幅擴大，且樣本結構差異不明顯。買盤流入的衝擊可延伸至中期波動，賣盤流出則主要集中於日內振幅，呈現明顯的時間尺度不對稱。
監理機關應同步監控申贖流量與成分股集中度，於調整窗口揭露即時持股與流動性；ETF發行人宜在追蹤誤差與市場衝擊間權衡，對高集中度標的主動提示流動性風險；長期投資人可維持定期配置但避免過度集中主題型ETF，短線交易者則應注意剔除日振幅擴大與滑價風險。研究結果證實台灣制度特性對ETF資金流風險外溢具有關鍵調節作用，並為監理、產品設計與投資策略提供實證依據。
Prior studies report mixed evidence on the impact of exchange-traded fund (ETF) events on underlying stocks, and Taiwan’s market—owing to its industry composition, regulatory setting, and trading mechanisms—exhibits volatility patterns that differ markedly from those observed in mature markets such as the United States. Using all ETF constituent adjustments in Taiwan from 2014 to 2024, this study applies an event-study framework combined with a three-way difference-in-differences (DiD) specification to quantify “inclusion” and “exclusion” effects on multiple layers of stock-level risk. Securities that are simultaneously small-cap, thinly held by institutional investors, and captured by thematic ETFs are classified as “non-stable samples” to approximate U.S.-style ETF conditions.
Empirical results show that ETF inclusions, on average, raise 60-day historical volatility, with a stronger effect among non-stable samples, whereas high-frequency range-based measures (Garman–Klass and Rogers–Satchell) contract as liquidity is rapidly replenished intraday. Exclusions do not meaningfully alter historical volatility but significantly widen intraday price ranges (gk, rs), and this widening does not differ across sample types. Consequently, buy-side flows generate medium-term volatility spillovers, while sell-side flows are largely confined to same-day price amplitudes, revealing a clear time-scale asymmetry.
Policy implications follow. Regulators should monitor ETF creation/redemption flows alongside constituent concentration ratios and provide real-time disclosures of holdings and liquidity during adjustment windows. ETF sponsors need to balance tracking precision against market-impact costs and issue proactive liquidity-risk alerts for stocks approaching concentration thresholds. Long-horizon investors can maintain regular allocations but should avoid excessive exposure to small-cap–heavy thematic ETFs, whereas short-term traders must be alert to intraday range expansion and potential slippage on deletion days. Overall, the findings underscore the pivotal role of Taiwan’s institutional framework in moderating ETF-induced risk spillovers and supply actionable insights for regulation, product design, and investment practice. |
| Reference: | Antoniou, C., Li, W., & Liu, X. (2023). Exchange-traded funds and real investment. The Review of Financial Studies, 36(3), 1043–1082.
Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73(6), 2471–2535.
Israeli, D., Lee, C. M. C., & Sridharan, S. A. (2017). Is there a dark side to exchange traded funds (ETFs)? An information perspective. Review of Accounting Studies, 22(3), 1048–1083.
Krause, T., Ehsani, S., & Lien, D. (2014). Exchange-traded funds, liquidity and volatility. Applied Financial Economics, 24(24), 1645–1658.
Lin, C. C., & Chiang, M. H. (2005). Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index. Applied Financial Economics, 15(18), 1315–1322.
Malamud, S. (2016). A dynamic equilibrium model of ETFs. SSRN Electronic Journal.
Wu, W., & Zhu, F. (2023). ETF ownership and informational efficiency of underlying stocks: Evidence from China. Pacific-Basin Finance Journal, 81, 102232. |
| Description: | 碩士
國立政治大學
財務管理學系
112357028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357028 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 702801.pdf | | 2064Kb | Adobe PDF | 0 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
