在全球資本市場快速演進下，交易所交易基金（ETF）已成為重要的資產配置工具，然其價格波動性不僅反映成分股基本面，更受持有人結構與市場流動性影響。本研究聚焦於臺灣ETF市場，運用Equity Fragility模型評估ETF價格於未來一年內發生中度回檔（跌幅≥10%）的風險，並建構二元變數frag_10作為依變數。樣本涵蓋2012年至2024年間十檔代表性台股ETF，結合本益比（P/E）、股價淨值比（P/B）、股利殖利率、Sharpe Ratio，以及四項總體經濟變數（CPI年增率、M2年增率、殖利率曲線斜率、銀行放款年增率）進行單變數與多變數邏輯斯迴歸分析。
本研究結果顯示：估值面中以本益比（P/E）預測效果最穩定且多為負向顯著，Sharpe Ratio 亦一致呈現負向，顯示過去風險調整後表現佳之 ETF 較具抗跌性；總體經濟變數中，以 M2 年增率為最穩健之預警指標。不同 ETF 標的對各變數反應具高度異質性，例如高股息型 ETF（如 0056）對估值與資金變數高度敏感，中型股 ETF（如 0051）則更依賴信貸與流動性訊號，顯示市場風格與資金結構對價格脆弱性預測效果具有關鍵影響。此外，部分估值指標（如股利殖利率）之實證方向與原先理論假設相反，反映臺灣市場的配息結構與投資人行為可能與成熟市場存在顯著差異，需於模型應用上謹慎詮釋。綜合而言，本研究發現，本益比與M2年增率為ETF中度回檔風險最穩健的預警因子，Sharpe Ratio具輔助價值。建議投資人優先關注估值與流動性指標並採動態因子組合；未來可導入高頻資料及非線性交互項，以提升跨市場預測效能。

As ETFs become increasingly central to global asset allocation, understanding their price fragility is vital. This study applies the Equity Fragility framework to Taiwan’s ETF market, defining medium-scale drawdowns as ≥10% price drops within one year. A binary indicator, frag_10, is constructed as the dependent variable. Ten major ETFs from 2012 to 2024 are analyzed using logistic regression, incorporating valuation metrics (P/E, P/B, dividend yield), the Sharpe ratio, and macroeconomic indicators (CPI, M2, yield curve slope, bank loan growth).
Results indicate that the P/E ratio and Sharpe ratio are consistently negative predictors of drawdown risk, while M2 growth emerges as the most reliable macroeconomic signal. Sensitivity varies by ETF type: high-dividend funds show stronger responses to valuation and liquidity factors, whereas mid-cap funds are more influenced by credit conditions and yield-curve dynamics. Notably, some metrics (e.g., dividend yield) behave contrary to theoretical expectations, reflecting unique structural characteristics of Taiwan’s ETF landscape. Overall, P/E, Sharpe ratio, and M2 growth stand out as core early-warning indicators; future work should integrate high-frequency data and nonlinear interaction models to enhance predictive accuracy.

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