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| Title: | ETF申購贖回對成分股波動性與流動性的影響
The Impact of ETF Creation and Redemption on the Volatility and Liquidity of Constituent Stocks |
| Authors: | 劉昱辰
Liu, Yu-Chen |
| Contributors: | 李志宏
劉昱辰
Liu, Yu-Chen |
| Keywords: | ETF資金流
流動性
波動性
ETF Flow
Volatility
Liquidity |
| Date: | 2025 |
| Issue Date: | 2025-08-04 14:08:00 (UTC+8) |
| Abstract: | 本研究聚焦台灣ETF市場，實證分析初級市場申購與贖回行為對成分股短期波動性與流動性的影響。結果顯示，ETF申購贖回顯著緩解成分股波動性且ETF資金流驅動成分股波動性下降，同時，ETF申購贖回改善成分股流動性，惟資金流並非驅動價格衝擊與交易成本改善的原因。本研究以0050、0056、00692與00713四檔ETF，檢驗單一ETF資金流對高、低權重的成分股波動性與流動性是否存在異質性，並發現ETF資金流對高、低權重成分股波動性與流動性的異質關係，因不同ETF而有所不同，可能受ETF特性與成分股特性共同影響。整體而言，本研究補充ETF初級市場對成分股的實質影響，強調申購與贖回對價格波動與流動性具穩定效果，並以投資比率提出ETF資金流的異質性影響。
This study focuses on the Taiwan ETF market and empirically examines the impact of primary market creation and redemption activities on the short-term volatility and liquidity of constituent stocks. The results show that ETF creation and redemption significantly mitigate the volatility of constituent stocks, with ETF fund flows driving a reduction in stock price fluctuations. Furthermore, ETF activities improve the liquidity of constituent stocks, although fund flows are not found to be the direct cause of changes in price impact or trading costs. Using four ETFs—0050, 0056, 00692, and 00713—this study investigates whether fund flows from individual ETFs exhibit heterogeneous effects on the volatility and liquidity of high- and low-weighted constituent stocks. The findings reveal that the heterogeneity in the effects of ETF fund flows on constituent stock volatility and liquidity varies across ETFs, likely influenced by both ETF-specific characteristics and the attributes of their underlying holdings. Overall, this study contributes to the understanding of the substantive role of ETF primary market activities on constituent stocks, highlighting the stabilizing effect of creations and redemptions on price volatility and liquidity, and emphasizing the heterogeneous impact of ETF fund flows based on investment weights. |
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| Description: | 碩士
國立政治大學
財務管理學系
112357035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357035 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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