指數股票型基金持股比例及其波動度與公司信用風險關聯性

ETF Ownership Level, ETF Ownership Volatility, and Corporate Credit Risk

本研究旨在探討指數股票型基金持股比例與其波動度對公司信用風險的影響，其中信用風險分別以會計基礎信用風險指標(A_CR)及市場基礎信用風險指標(M_CR)來衡量。本研究利用2003 年6 月至2020 年9 月的臺灣市場指數股票型基金資料來進行分析，並分別以TCRI 信用評等(TCRI)及違約間距(Distance to Default, DD)作為A_CR 及M_CR 的代理變數。實證結果顯示：在控制其他公司特徵下，指數股票型基金持股比例與公司信用風險呈顯著負相關；然持股比例波動度在保留極端波動下則與公司信用風險呈顯著正相關。本研究進一步發現：指數股票型基金持股比例與資訊揭露品質呈顯著正相關，但與股票報酬波動率呈現顯著負相關，顯示臺灣市場支持價格發現假說。此外，本研究亦發現若公司有入選公司治理相關的基金，則將顯著減弱指數股票型基金持股比例對會計基礎信用風險指標的負向影響。最後，上述研究結論在考量內生性問題下仍然成立。

This study aims to explore whether ETF ownership level and its volatility affect corporate credit risk using Taiwanese firm data from June 2003 to September 2020. The credit risk proxies used in this study include accounting-based and market-based credit risk variables, which are measured by TCRI rating and Distance to Default (DD), respectively. We find that ETF ownership level is significantly and negatively related to firm credit risk while (unwinsorized) ETF ownership volatility has an opposite effect. This study further finds that ETF ownership level is significantly and positively related to corporate disclosure quality and yet an opposite effect on equity return volatility did exist, revealing that the price discovery hypothesis is empirically supported in Taiwanese ETF market. In addition, the negative association between ETF ownership level and firm accounting-based credit risk becomes significantly weaker for firms listed in the governance-ETF components. Finally, our conclusions are still robust when considering the endogeneity problems.