ETF指數股票型基金交易制度之研究

A Study on ETF Transaction System

ETF英文原文為「Exchange Traded Funds」，正式名稱為「指數股票型證券投資信託基金」。ETF被認為是近幾十年來最重要及受歡迎的金融創新之一，ETF因具有許多吸引散戶和機構投資人的特點，如交易管道便捷、成本低廉及投資績效優於主動型基金等優勢，故深受專業機構法人及散戶投資人歡迎，隨著ETF規模快速增長，除了被動投入之外，亦放大了槓桿倍數，對金融市場穩定逐漸造成影響，幾次金融市場震盪事件，如2010年及2015年美股閃崩、VIX指數暴漲，及2020年原油負油價等事件，皆與ETF相關。 本文欲藉由發展ETF具代表性國家及市場之發展概況，了解ETF發展緣由及其特殊交易制度。透過國內外市場發生與ETF相關之金融市場實際案例，分析ETF對金融市場穩定所產生負面影響的層面，進而藉由各國監理機關對ETF示警內容，探究ETF可能會影響金融市場穩定的風險因素為何，並分析該等因素在市場上實務運作方式，嘗試歸納出何種ETF商品類型抑或交易制度環節（申購／贖回套利制度）可能存在隱憂。最後，比較發展ETF具代表性國家，對於前述ETF商品類型及交易制度，之於市場監理及法規範面之異同，以及是否已提出相對應之監理措施。 全文共分六章，除於第一章，說明本文之研究動機與目的、研究範圍與內容外，分別就ETF商品介紹及全球發展概況、案例分析及國際監理機構示警借鑑、ETF實務運作問題分析、各國對於期貨、槓桿／反向ETF之發行與申贖規範比較，為第二章至第五章之內容，最後於第六章提出結論及建議，俾期望對我國目前ETF交易之監管法規提出建議，及作為投資人投資ETF商品之投資參考，以促進金融市場發展及穩定，創造金融產業與投資人雙贏之局面。

The original English name of ETF is "Exchange Traded Funds", and the official name is "Index Equity Securities Investment Trust Fund". ETFs are considered to be one of the most important and popular financial innovations in recent decades. ETFs have many features that attract retail and institutional investors, such as convenient trading channels, low costs, and better investment performance than active funds. Therefore, it is very popular among professional institutional legal persons and retail investors. With the rapid growth of the scale of ETFs, in addition to passive investment, the leverage ratio has also been enlarged, which has gradually affected the stability of the financial market. Several financial market shock events, such as 2010 and Events such as the flash crash of U.S. stocks in 2015, the surge in the VIX index, and the negative oil price of crude oil in 2020 are all related to ETFs.
This article aims to understand the reasons for the development of ETFs and their special trading systems through the development overview of representative countries and markets in the development of ETFs. Through the actual cases of ETF-related financial markets in domestic and foreign markets, analyze the level of ETF’s negative impact on financial market stability, and then use the content of ETF warnings by national supervisory authorities to explore the risk factors that ETF may affect financial market stability. , and analyze the practical operation mode of these factors in the market, and try to conclude which ETF commodity type or transaction system link (subscription/redemption arbitrage system) may have hidden concerns. Finally, compare the similarities and differences in market supervision and legal regulations regarding the aforementioned ETF commodity types and trading systems in representative countries that develop ETFs, and whether corresponding supervision measures have been proposed.
The full text is divided into six chapters. In addition to the first chapter, which explains the research motivation and purpose, research scope and content of this paper, the introduction of ETF commodities and the general situation of global development, case analysis, warning and reference from international supervisory institutions, and analysis of ETF practical operation problems. The comparison of the issuance and redemption regulations of futures, leveraged/inverse ETFs in various countries is the content of Chapters 2 to 5. Finally, Chapter 6 puts forward conclusions and suggestions, so as to hope to put forward the current supervision and regulation of ETF trading in my country. It is recommended and used as an investment reference for investors to invest in ETF commodities, in order to promote the development and stability of the financial market, and create a win-win situation for the financial industry and investors.
Key Words:ETF fire-sale、ETF cash redemption mechanism、systemic risk、ETF Suspends Creation Orders／redeem、ETF redemption uncertainty、ETF Liquidity Risk.