金融危機對台灣ETF投資績效的影響：以歐債危機為例

Impact of Taiwan ETF by European Sovereign Debt Crisis

本文探討歐債危機對於台灣各類型ETF績效的影響性，透過報酬率、標準差、β係數、Sharpe值、風險值等財務指標進行檢視歐債危機發生前後對台灣ETF造成的影響，再根據ETF投資標的差異，比較一般型ETF、電子股型ETF、金融股型ETF、傳產型ETF何者受歐債危機影響較深。結果顯示，歐債危機前中後三期的平均月報酬率由1.90％下降到-1.60％再回到1.09％，Sharpe值也由0.34下降到-0.07再回到-0.04，雖然歐債危機發生時的報酬率是負值，影響整體績效表現，但是隨著危機逐漸解除，歷經一年之後的報酬率已明顯回升，顯示在歐盟、德法及各國努力之下，投資人的信心已逐漸恢復中。而根據ETF投資標的差異，結果發現，歐債危機前期與中期以傳產類股型表現佳，歐債危機後期則以金融類股型表現最好。

In this paper, eleven Taiwan ETF of 0050, 0051, 0052, 0053, 0054, 0055, 0056, 0057, 0058, 0059 and 0060, selected from XQ Database for their better performance and having been issued for a long period of time, are reviewed and further discussed. The average, the standard deviation, the β in the CAPM, and the Sharp Ratio are employed to compare the investment rates of return with the value at risk (VaR) for Taiwan ETF before/after the financial crisis. The results showed that before the Eurozone Debt Crisis, the average return rate is 1.9%, standard deviation is 6.77%, Sharp Ratio is 0.34, the VaR is 3.76%, during the Eurozone Debt Crisis, the average rate of return is -1.6% and standard deviation is 5.64%, Sharp Ratio is -0.071, the VaR is 3.54%, after the Eurozone Debt Crisis, the average return rate is 1.09%, standard deviation is 3.91%, Sharp Ratio is -0.036, the VaR is 2.31%. According to variety of investment target, the results showed that type of traditional industries is superior to other funds before/during the Eurozone Debt Crisis and type of finance is recommendable after the Eurozone Debt Crisis.