近年來，台灣高股息ETF規模快速成長，市場上常將其與防禦性或低波動特性連結，認為在市場波動升高時，投資人可能更傾向配置此類商品。因此，本研究旨在探討市場波動與高股息偏好之間的關係，檢驗當市場波動升高時，高股息ETF之資金流量反應是否與其他股票型ETF存在顯著差異。本研究以2016年至2025年台灣上市之國內股票型ETF為研究對象，採用月資料進行多元迴歸分析，並以ETF資金流量為應變數，納入市場波動度、高股息ETF虛擬變數及其交乘項作為主要解釋變數。
實證結果顯示，當市場波動升高時，高股息ETF並未相較其他股票型ETF出現顯著不同之資金流量反應，未能支持市場於高波動期間會提升投資人對高股息ETF偏好之推論。進一步將市場波動度區分為不同波動程度後，未納入時間固定效果之模型顯示，高股息ETF在低波動環境下具有較高資金流量，且此優勢隨波動度上升而減弱。然而，在納入時間固定效果後，高股息ETF在低波動基準組下仍呈現相對較高之資金流量，但其與較高波動區間之交乘項未達統計顯著，表示此資金流量優勢並未隨市場波動升高而進一步增強。
此外，在資金流扣除三大法人後流通在外受益權單位數之模型中，ETF週轉率與費用率皆未達顯著，然而，在以總流通在外受益權單位數衡量資金流量之模型中，前述變數之影響則較為明顯。相較之下，除息期間與前一期報酬率在不同模型下皆呈顯著正向影響，顯示台灣投資人之資金流向仍與領息偏好及追逐績效行為密切相關。惟整體而言，本研究仍未能找到足夠證據支持市場波動升高會顯著強化投資人對高股息ETF之偏好。

In recent years, the size of high-dividend ETFs in Taiwan has grown rapidly. These products are often associated with defensive or low-volatility characteristics, and the market generally expects investors to allocate more capital to them when market volatility increases. Therefore, this study aims to examine the relationship between market volatility and high-dividend preference, and to test whether high-dividend ETFs and other equity ETFs exhibit differential flow responses when market volatility increases. This study uses monthly data on domestic equity ETFs listed in Taiwan from 2016 to 2025 and conducts a multiple regression analysis. ETF fund flow is used as the dependent variable, while market volatility, the high-dividend ETF dummy variable, and their interaction term are included as the main explanatory variables.
The empirical results show that when market volatility increases, high-dividend ETFs do not exhibit differential flow responses compared with other equity ETFs. This finding does not support the argument that investors’ preference for high-dividend ETFs increases during high-volatility periods. After market volatility is further divided into different volatility regimes, the model without time fixed effects shows that high-dividend ETFs have higher fund flows under low-volatility conditions, and that this advantage weakens as volatility increases. However, after time fixed effects are included, high-dividend ETFs still show relatively higher fund flows in the low-volatility reference group, but their interaction terms with the higher-volatility regimes are not statistically significant. This indicates that the fund flow advantage does not further increase as market volatility rises.
In addition, in the model where fund flows are measured by shares outstanding after excluding the holdings of the three major institutional investor groups, ETF share turnover and expense ratio are not statistically significant. However, their effects become more evident in the model where fund flows are measured by total shares outstanding. By contrast, the ex-dividend period and the lagged return show significantly positive effects across different model specifications, suggesting that fund flows in Taiwan are closely related to dividend preference and return-chasing behavior. Overall, this study does not find sufficient evidence to support that higher market volatility significantly strengthens investors’ preference for high-dividend ETFs.

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