指數股票型基金與股市波動：臺灣股票型ETF實證分析及申購買回機制轉變和市場動盪之研究

Exchange-Traded Funds and Stock Market Volatility: Analyzing Taiwan Equity ETFs, Creation-Redemption Changes, and Ma rket Turbulence

本研究以GARCH、GJR-GARCH與E-GARCH模型，探討指數股票型基金(ETF)對臺灣股票市場波動性的影響。研究結果顯示，ETF流動性增加會使股市波動性上升，意味ETF交易活動的增長會吸引噪音交易者投入，進而提升市場不確定性。同時，股票市場本身流動性的提高亦加劇市場波動。此外，實證結果也指出市場對負面訊息的衝擊反應較為強烈，呈現負向不對稱性。
本文亦發現現金申購/買回機制的導入以及在市場動盪時期，均會擴大ETF對市場波動的影響。是以，ETF流動性不僅加劇股票報酬的波動，亦影響風險溢酬的變動，投資人應密切關注ETF交易活動的變化，而管理當局也需在市場動盪時期採取適當措施，以穩定金融市場。

This study explores the impact of exchange-traded funds (ETFs) on stock market volatility, employing GARCH, GJR-GARCH, and E-GARCH models to analyze stock returns on the Taiwan Stock Exchange. The findings show that elevated ETF turnover heightens market volatility, fueled by increased trading activity and noise trader involvement. Greater market liquidity further amplifies this volatility. Moreover, the analysis uncovers a negative asymmetry in market response, with stock returns exhibiting a stronger reaction to negative information shocks than to positive ones.
Furthermore, both the transition in the creation and redemption mechanism and periods of market turbulence intensify the influence of ETFs on stock market volatility. These findings stress the importance for investors to closely monitor ETF trading activity, given its substantial effect on stock return volatility and risk premiums. Regulators should consider adopting appropriate policies to ensure market stability as ETFs play an increasingly prominent role in financial markets.