本研究探討台灣股票型交易所交易基金（Exchange-Traded Fund, ETF）市場之羊群效應，並區分其係表現在報酬層次或風險曝險結構層次。研究以 2019 年 1 月 1 日至 2025 年 12 月 31 日間 19 檔台灣股票型 ETF 為樣本，採用橫斷面絕對離差（cross-sectional absolute deviation, CSAD）模型檢驗報酬分散程度之非線性收斂，並依 ETF 商品屬性、市場方向、市場連動度與 VIX 市場壓力狀態進行分組分析。進一步地，本文採用 Hwang and Salmon（2004）之狀態空間模型，檢驗 ETF 對市場因子與 Fama-French 因子之 beta 曝險是否呈現橫斷面收斂。
實證結果顯示，台灣股票型 ETF 在極端市場條件下並未呈現報酬分散程度下降之現象；然而，CSAD 非線性模型顯示，ETF 報酬分散程度雖隨市場波動擴大而上升，但其增加幅度呈現遞減，表示整體樣本期間存在報酬層次之非線性收斂。分組結果顯示，此一現象主要集中於高股息 ETF、低市場連動度 ETF 與高 VIX 期間，反映 ETF 羊群行為具有商品屬性與市場狀態上的異質性。相較之下，狀態空間模型未支持台灣股票型 ETF 存在全面且穩健的風險曝險趨同。整體而言，台灣股票型 ETF 市場之羊群效應主要表現為特定市場條件下的報酬層次共同反應，而非風險曝險結構的全面收斂。

This study examines herding behavior in Taiwan’s equity exchange-traded fund (ETF) market and distinguishes between return-level convergence and risk-exposure convergence. Using 19 Taiwan-listed equity ETFs from January 1, 2019 to December 31, 2025, this study applies the cross-sectional absolute deviation (CSAD) model to test for nonlinear convergence in return dispersion, with further analyses across ETF categories, market directions, market-linkage groups, and VIX-based market stress states. In addition, the state-space model proposed by Hwang and Salmon (2004) is employed to examine whether ETFs’ beta exposures to the market factor and Fama-French factors exhibit cross-sectional convergence.
The empirical results show that Taiwan’s equity ETFs do not exhibit a decline in return dispersion under extreme market conditions. However, the nonlinear CSAD model indicates that ETF return dispersion increases with market volatility at a decreasing rate, suggesting nonlinear return-level convergence over the full sample period. This pattern is more pronounced among high-dividend ETFs, low market-linkage ETFs, and during high-VIX periods, indicating heterogeneity in ETF herding behavior across product characteristics and market states. In contrast, the state-space model does not provide robust evidence of comprehensive convergence in risk exposures. Overall, the findings suggest that herding behavior in Taiwan’s equity ETF market is primarily reflected in return-level co-movement under specific market conditions, rather than in systematic convergence of risk-exposure structures.

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