投資人情緒對台灣股票型ETF 規模變化的影響

Abstract

在ETF市場蓬勃發展的背景下，投資人情緒成為影響資金流動與資產配置的重要因子。本文以行為財務理論為基礎，探討投資人情緒如何影響台灣股票型ETF規模變化，並進一步分析市場條件對此影響的調節效果。研究選取2019年1月至2024年6月臺灣股票型ETF之月度資料為樣本，採用三項情緒代理變數──消費者信心指數（CCI）、台灣波動率指數（VIXTW）與折溢價率（Premium），同時納入年化殖利率(Yield)、美元指數(DXY)與市場日均成交金額(ADTV)作為交乘項調節變數。本文運用固定效果迴歸模型進行實證分析，控制投資報酬、追蹤誤差、市場風險指標與總體經濟變數等干擾因素。結果顯示，CCI與Premium對ETF規模具有顯著正向影響，VIXTW則呈負向關係，顯示市場樂觀情緒推升ETF資金規模，反之在恐慌情緒下則導致資金流出。此外，CCI與殖利率、VIXTW與美元指數、Premium與交易活躍度的交乘效果皆達統計顯著水準，說明市場條件確實會調節情緒變數對ETF規模的影響強度。 本研究不僅驗證了台灣市場中情緒對ETF資金變動之影響邏輯，亦提供情緒與市場條件交互作用的實證支持。理論上補足既有文獻對ETF市場行為的非線性觀察，實務上則對投資機構、資產管理者與政策制定者提供預測投資人行為與設計資金策略的參考依據。

Amid the rapid development of the exchange-traded fund (ETF) market, investor sentiment has become a key factor influencing capital flows and asset allocation decisions. Grounded in behavioral finance theory, this study investigates the relationship between investor sentiment and the scale changes of equity ETFs in Taiwan. It further explores how market conditions moderate this relationship. Utilizing monthly panel data of Taiwan’s equity ETFs from January 2019 - June 2024 , this research employs three sentiment proxies—Consumer Confidence Index (CCI), Taiwan Volatility Index (VIXTW), and ETF Premium—while incorporating annualized dividend yield (Yield), U.S. Dollar Index (DXY), and average daily trading value (ADTV) as moderating variables in interaction terms.A fixed-effects regression model is applied to perform the empirical analysis, controlling for investment return, tracking error, market risk indicators, and macroeconomic variables. The results show that CCI and Premium have significant positive effects on ETF scale, whereas VIXTW exhibits a significant negative relationship. This suggests that optimistic sentiment is associated with capital inflows and ETF expansion, while fear-driven sentiment corresponds with capital withdrawals. Moreover, the interaction terms—CCI × Yield, VIXTW × DXY, and Premium × ADTV—are statistically significant, indicating that market conditions play a moderating role in the impact of sentiment on ETF size dynamics.This study contributes to the existing literature by empirically validating the effect of investor sentiment on ETF capital movements in the Taiwanese market and by identifying nonlinear interactions between sentiment and market conditions. The findings offer theoretical insights into behavioral mechanisms in financial markets and provide practical implications for institutional investors, fund managers, and policymakers seeking to anticipate investor behavior and formulate effective capital management strategies.