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| 研究生： |
張晉邦 Chang, Chin-Pang |
|---|---|
| 論文名稱： |
ETF分割與投資人行為偏誤：以元大台灣50為例 ETF Splits and Investor Behavioral Biases: Evidence from the Yuanta Taiwan Top 50 |
| 指導教授： | 周冠男 |
| 口試委員: |
周冠男
盧建霖 邱健嘉 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2026 |
| 畢業學年度： | 114 |
| 語文別： | 英文 |
| 論文頁數： | 44 |
| 中文關鍵詞： | 股票分割 、ETF 、事件研究 、投資人注意力 、名目價格偏誤 |
| 外文關鍵詞： | Stock Split, ETF, Event Study, Investor Attention, Nominal Price Illusion |
| 相關次數： | 點閱：121 下載：3 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究探討台灣ETF市場中，ETF分割期間及其前後是否存在顯著之異常報酬，並進一步分析投資人注意力是否能有效解釋分割期間之異常報酬現象。本文以台灣市場中具代表性的市值型指數ETF元大台灣50（0050）作為研究對象。實證結果顯示，在ETF分割執行日前後約一個月期間，市場存在顯著之負異常報酬，且該現象可由投資人注意力加以解釋。此外，研究進一步發現，在分割期間內，個人投資人傾向因注意力驅動而買入ETF，而機構投資人則相對呈現注意力下的淨賣出行為。最後，本文亦檢驗名目價格偏誤是否存在於台灣ETF市場。實證結果顯示，於0050分割之案例中，並未發現投資人存在名目價格偏誤行為之證據。
This study examines whether abnormal returns exist around ETF split events in the Taiwanese market and whether investor attention can explain such patterns. Focusing on the Yuanta Taiwan 50 ETF (0050), the results show significantly negative abnormal returns in the month before and after the split execution date, which can be explained by investor attention. Further evidence shows that individual investors increase their ETF purchases when investor attention rises, while institutional investors exhibit net selling in response to increased investor attention. This study further examines whether nominal price bias exists in the Taiwanese ETF market, and finds no supporting evidence.
1. Introduction 1
2. Literature Review 6
2.1 Stock Split 6
2.2 Mutual Fund and Exchange Traded Fund (ETF) Splits 10
2.3 Investor Attention and Security Selection Behavior 12
2.4 Nominal Price Illusion 14
2.5 Hypotheses 16
3. Data and Methodology 18
3.1 Data and Sample Selection 18
3.2 Event Study Framework 20
3.3 Variables 21
3.4 Model Design 24
4. Empirical Result 27
4.1 Summary Statistic 27
4.2 ETF Split, Abnormal Return and Investor Attention 29
4.3 ETF Splits, Investor Attention and ETF Flow 34
4.4 Nominal Price Illusion and ETF Price Volatility 36
5. Conclusion 39
References 42
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