ETF所有權對台灣股票市場品質之影響

本研究探討ETF所有權對台灣股票市場品質之影響，分別採用股票流動性、波動性以及定價效率作為市場品質之衡量。流動性之衡量變數為Amihud的流動性不足比率，波動性以報酬率之標準差作為衡量，並以股票報酬同步性來衡量定價效率。本研究實證結果發現，ETF所有權增加會使得流動性不足上升，代表股票市場流動性下降，投資人交易成本增加。也會使得報酬率標準差上升，意旨股票市場波動性上升。另外，亦會導致股票報酬同步性上升，表示股票市場定價效率下降。綜上所述，本研究發現增加ETF所有權會導致流動性下降，波動性上升及定價效率變差，說明被ETF大量持有之股票其市場品質為差。

關鍵字

指數股票型基金；流動性不足；波動性；股票報酬同步性；定價效率

並列摘要

This study examines the impact of ETF ownership on the Taiwan stock market’s Quality. We measure the market quality of stocks by liquidity, volatility, and pricing efficiency. The measurement variable of liquidity is Amihud's iliquidity ratio, volatility is measured by the standard deviation of return, and the pricing efficiency is measured by the synchrony of stock returns. The findings are as follows. This increase in ETF ownership is associated with an increase in iliquidity, and it represents a decrease in the liquidity of stock, and increase in the transaction costs of investors. Second,we find that is increase the standard deviation of returns, and it means an increase in the volatility of stock. Third, we posit that is increase the synchrony of stock returns, and it means a decrease in the pricing efficiency of stock. Collectively, our study support the view that increased ETF ownership can lead to decrease in the liquidity, increase in the volatility and decrease in the pricing efficiency. This indicates that higher ownership by ETFs holding the stock display worse market quality.