本研究探討投資人情緒對台灣國內上市ETF資金流與受益人數變化的影響，並進一步檢視此影響是否因ETF類型（市值型、高股息型、主題型）而異。樣本涵蓋2015年至2024年間於台灣證交所掛牌的48檔國內股票型ETF。本研究利用主成分分析法（PCA）建構了包含市場週轉率、資券比及上市新股發行量的台灣市場投資人情緒指數。實證發現，投資人情緒對所有ETF的資金流量或受益人數並無一致的顯著影響。然而，區分ETF類型後，發現情緒的影響具有異質性：投資人情緒對市值型ETF的資金流量與受益人數變化呈現顯著正向影響。在報酬追逐行為方面，控制時間固定效果的模型中，過去三個月平均報酬對受益人數變化有顯著正向影響，部分支持台灣ETF投資人存在報酬追逐行為。並且，投資人情緒會放大報酬追逐對市值型ETF受益人數的影響；但對於高股息型ETF的資金流量，以及主題型ETF的受益人數，情緒則可能減弱其投資人追逐報酬的現象。

This study investigates the impact of investor sentiment on fund flows and changes in beneficiary numbers for domestic ETFs in Taiwan, and further examines whether this impact varies across different ETF types (market-cap, high-dividend, and thematic). The sample covers 48 domestic equity ETFs listed on TWSE from 2015 to 2024. A Taiwan-specific investor sentiment index is constructed using principal component analysis (PCA), incorporating market turnover ratio, margin-to-short balance, and equity issuance volume. Empirical results reveal that investor sentiment does not exert a uniform or statistically significant influence on ETF flows or beneficiary numbers across the entire sample. However, once ETF types are distinguished, sentiment effects exhibit considerable heterogeneity. In particular, sentiment has a significantly positive effect on both ETF flows and beneficiary participation for market-cap ETFs. Regarding return-chasing behavior, models controlling for time fixed effects show that three-month average returns are positively associated with beneficiary growth, providing partial support for performance-chasing behavior among Taiwanese ETF investors. Moreover, investor sentiment amplifies return-chasing effects for market-cap ETFs but appears to dampen such behavior for high-dividend ETFs in terms of flows and for thematic ETFs in terms of beneficiary participation.

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