隨著臺灣 ETF 市場規模與受益人數快速成長，ETF 已逐漸由過去較偏向特定投資族群之商品，發展為國人參與資本市場的主要方式之一。相較於傳統共同基金，ETF 兼具分散投資與集中市場即時交易之特性，投資人得以透過單一商品參與特定指數、產業或區域市場，亦使 ETF 在近年臺灣資本市場中扮演愈加重要之角色。
然而，ETF 雖具備申購買回與套利機制，其市場價格仍可能受到市場供需、流動性、交易成本、標的資產價格反映及投資人交易行為等因素影響，而與基金淨值產生偏離，形成折價或溢價現象。本研究旨在探討臺灣股市型 ETF 折溢價率與三大法人買賣超行為之關聯，並進一步分析不同法人類別、ETF 類型及市場階段下，其交易行為與 ETF 市價偏離淨值之關係是否存在差異。
實證結果顯示，三大法人合計買賣超在全體 ETF、國內型 ETF 與國外型 ETF 中，多數情況下與 ETF 折溢價率呈現顯著負向關係。若進一步觀察個別法人，外資與自營商買賣超之結果相對較為穩定，且多呈顯著負向，顯示其交易行為與 ETF 市價相對淨值之偏離具有較明確之關聯；相較之下，投信買賣超則未呈現穩定顯著之結果。此一結果意味，當 ETF 市價偏離淨值時，外資與自營商之交易方向可能具有調節價格偏離之效果，亦即其交易行為可能有助於 ETF 市價向淨值附近修正。

With the rapid growth of Taiwan’s ETF market and its number of beneficiaries, ETFs have become one of the major ways for the general public to participate in the capital market. Compared with traditional mutual funds, ETFs offer diversified investment and intraday trading, allowing investors to gain exposure to specific indices, industries, or regional markets through a single product.
Although ETFs have creation, redemption, and arbitrage mechanisms, their market prices may still deviate from net asset values due to market supply and demand, liquidity, transaction costs, underlying asset price reflection, and investor trading behavior. This study examines the relationship between the premium/discount of equity ETFs in Taiwan and the net buying/selling behavior of the three major institutional investors, and further analyzes whether such relationships differ across investor types, ETF categories, and market conditions.
The empirical results show that aggregate institutional net buying/selling is significantly negatively related to ETF premiums/discounts in most cases for the full sample, domestic ETFs, and foreign ETFs. Further analysis indicates that foreign investors and dealers show relatively stable and mostly significantly negative results, while investment trusts do not exhibit stable significant effects. These findings suggest that the trading behavior of foreign investors and dealers may help moderate ETF price deviations and facilitate price adjustment toward net asset values.

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