本研究旨在探討台灣ETF市場的動態效率性，採用Lo and MacKinlay (1988) 及Wright (2000) 的變異數比率檢定，分析市場在全樣本期間、不同子樣本階段及重大事件前後的效率變化，驗證適應性市場假說 (AMH) 的適用性。實證結果顯示，台灣ETF市場整體具備一定的效率性，特別是追蹤大盤的ETF多符合隨機漫步假說；然而，高股息型、主題型及中小型ETF在特定時期易出現效率偏離，市場效率隨經濟環境、資金流向及市場事件動態變化，尤其在COVID-19疫情與市場波動加劇期間更為明顯，此現象與AMH所主張的市場效率動態調整機制一致。研究結果可作為投資人調整策略時的重要參考，並為監理機關掌握市場波動風險、強化監管機制提供實證依據。

This study investigates the dynamic efficiency of ETFs in the Taiwan stock market by employing the Variance Ratio tests developed by Lo and MacKinlay (1988) and Wright (2000). The analysis examines market efficiency over the full sample period, various sub-periods, and around major market events to assess the validity of the Adaptive Market Hypothesis (AMH). Empirical findings reveal that the Taiwan ETF market exhibits a moderate level of efficiency overall, with ETFs tracking broad market indices generally adhering to the random walk hypothesis. However, high-dividend, thematic, and small- to mid-cap ETFs are more susceptible to efficiency deviations in certain periods. Market efficiency fluctuates dynamically in response to changes in macroeconomic conditions, capital flow patterns, and significant events, with pronounced deviations observed during the COVID-19 pandemic and other periods of heightened volatility. These results are consistent with the AMH, which posits that market efficiency evolves over time in response to shifting market environments. The study provides practical insights for investors in adjusting their strategies and offers empirical evidence to assist regulators in monitoring market risks and enhancing regulatory frameworks.

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