本研究以台灣 ETF 市場為對象，探討不同總體經濟指標對不同類別 ETF 報酬之影響。資料分為兩套：季資料自 2018Q1 至 2025Q1，涵蓋五類 ETF；月資料自 2022 年 9 月至 2025 年 9 月，細分為九類 ETF。總經變數涵蓋通膨、利率與殖利率、匯率與美元指數、貨幣供給、景氣與勞動市場等指標。研究方法先對總經變數進行主成分分析，季資料萃取出三個因子、月資料則萃取出四個，最後再以因子分數作為自變數，對各類 ETF 報酬建立多元線性迴歸模型。
　　實證結果顯示，一般股票型及被動式成分股 ETF、債券及固定收益 ETF 之報酬，對利率／美元、流動性／外貿與景氣相關因子具有中度且具統計顯著之解釋力；惟槓桿型及反向型 ETF、原型期貨與槓桿期貨 ETF 的迴歸模型解釋力極低，顯示其報酬主要反映短期價格波動與交易行為，而非月／季總經因子。本研究據此區分出「總經敏感型」與「交易工具型」ETF，並說明在資產配置與商品選擇上，應依 ETF 類別與投資目的調整對總經因子的依賴程度。

This study investigates the impact of various macroeconomic indicators on the returns of different categories of Exchange-Traded Funds (ETFs) in the Taiwan market. The data is divided into two sets: quarterly data from the first quarter of 2018 to the first quarter of 2025, covering five ETF categories; and monthly data from September 2022 to September 2025, detailed into nine categories. The macroeconomic variables include inflation, interest rates and yields, exchange rates and the US dollar index, money supply, and business cycle and labor market indicators. The research methodology first applies Principal Component Analysis (PCA) to the macroeconomic variables, extracting three factors for the quarterly data and four for the monthly data. These factor scores are then used as independent variables to establish multiple linear regression models for the returns of each ETF category.
The empirical results show that the returns of general equity ETFs, passive constituent ETFs, and bond and fixed-income ETFs are moderately and significantly explained by factors related to interest rates/USD, liquidity/foreign trade, and the business cycle. However, the regression models for leveraged and inverse ETFs, as well as futures ETFs, exhibit extremely low explanatory power, suggesting that their returns primarily reflect short-term price fluctuations and trading behaviors rather than monthly or quarterly macroeconomic factors. Based on these findings, this study distinguishes between "macro-sensitive" and "trading tool" ETFs, suggesting that investors should adjust their reliance on macroeconomic factors according to the ETF category and investment purpose for asset allocation and product selection.

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