本研究探討指數股票型基金（ETF）是否以及如何影響台灣企業的績效。我們使用2009年至2024年的台灣上市公司季度面板資料，建構出一個公司層級的加權平均ETF持股集中度指標，該指標同時反映ETF的持股比例與其投資組合的集中程度。研究結果顯示，ETF集中度與企業績效（以資產報酬率ROA與股東權益報酬率ROE衡量）之間存在顯著的正向關係。
為處理內生性問題，我們採用兩階段最小平方法（2SLS）並使用工具變數，以建立ETF集中度對企業績效的因果關係。我們進一步探討三種潛在的影響機制：（1）公司治理、（2）退出機制、以及（3）股價資訊性。研究發現，公司治理機制最具說服力，ETF集中度較高的公司，其TESG治理品質得分顯著較高；而退出機制則未顯示出顯著效果。至於股價資訊性方面，ETF集中度與報酬非同步性及Amihud流動性指標呈正向關聯，但其經濟影響相對有限，顯示該機制可能為輔助性但具補充性的傳導途徑。
整體而言，本研究指出，在新興市場中，當被動型機構投資人的持股達到一定集中程度時，確實會對企業經營成果產生實質影響。

This study examines whether and how Exchange Traded Funds (ETFs) influence firm performance in Taiwan. Using quarterly panel data from 2009 to 2024 on Taiwanese listed firms, we construct a firm-level measure of weighted-average ETF concentration that captures both the ownership stake and the portfolio focus of ETFs. Our results show a significant positive relationship between ETF concentration and firm performance, measured by return on assets (ROA) and return on equity (ROE). We address the endogeneity concerns by using 2SLS with instrumental variables to link ETF concentration causally to firm performance . We explore three mechanisms: (1) corporate governance, (2) exit behavior, and (3) price informativeness. We find strong support for the governance channel, as firms with higher ETF concentration exhibit better governance quality, measured by TESG scores. There is no significant evidence supporting the exit mechanism. As for price informativeness, ETF concentration is positively associated with nonsynchronicity and Amihud illiquidity, though the economic effect is modest. This suggests a secondary but complementary transmission channel.
Overall, this study highlights that passive institutional investors exert real influence on firm outcomes in emerging markets when their ownership is sufficiently concentrated.

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