本研究以台灣資本市場為研究對象，探討股票型共同基金與交易所交易基金（Exchange Traded Fund，ETF）之投資行為及其對市場績效與風險的影響。研究聚焦於投資人的擇時能力、行為偏誤兩項關鍵因素，並分析其對基金績效之影響。全文由三篇實證研究構成，分別檢驗共同基金與ETF投資人之擇時能力， ETF市場中的擁擠交易現象與基金績效之關聯，期以補足台灣基金市場在此領域之文獻空缺。
第一篇研究檢驗台灣共同基金投資人之擇時能力，採用資金加權報酬與幾何平均報酬之差距作為衡量指標，並引入後見之明效果（Hindsight effect）對績效進行修正。研究以2000年1月至2024年12月期間台灣股票型共同基金之月報酬率與資產管理規模為基礎，分析基金投資之人績效表現。我們發現在控制後見之明效果前，投資人因錯誤時點進出造成的平均損失為每月0.24%，在納入後見之明調整後，損失幅度下降至0.18%，顯示後見之名效果對投資人績效評估具有顯著影響，且上述結果在控制基金特徵後仍具穩健性。
第二篇研究進一步將擇時能力之分析範疇擴展至ETF市場，並區分不同投資人類型（如外資與本國個人投資人）以比較其表現差異。我們使用2003年6月至2023年12月間ETF之月報酬率與市值計算各檔ETF的績效差距，結果顯示月均績效差距為每月平均0.16%，代表ETF投資者因為進出場時機不當造成的損失為每月0.16%，并且在ETF市場中，後見之明效果並不顯著。在控制投資人類別的情況下，我們發現外資投資人相較於本國散戶具備更佳之擇時能力，且此差異在控制後見之明效果依然存在，顯示不同投資人群在行為決策與績效表現上存在顯著差異。
第三篇論文聚焦於ETF市場的擁擠交易現象，通過建構ETF持股重疊度指標，以衡量市場中不同ETF間之資產配置相似性，進而分析擁擠程度與基金報酬、風險之關聯性。實證結果顯示，高擁擠度ETF雖具備較高之績效表現，但同時伴隨顯著較高之波動度與下行風險，反映出當市場資金過度集中於少數標的時，市場穩定性將面臨潛在挑戰。
整體而言，本文從個體投資行為出發，延伸至市場結構層面，從共同基金拓展至ETF市場，系統性建構了一套適用於台灣基金市場之研究架構。本研究不僅補足現有文獻在投資人擇時能力與ETF擁擠交易等議題上的實證缺口，亦對不同類型投資人之資產配置策略、基金經理人之產品設計及主管機關之政策擬定提供實務建議與監理啟示。

This dissertation focuses on Taiwan’s capital market, with particular emphasis on the investor behavior and market implications of equity mutual funds and exchange-traded funds (ETFs). It aims to explore how the timing ability of investors, behavioral biases, and market structure influence fund performance and risk. The dissertation comprises three empirical studies, which investigates the market timing ability of mutual fund and ETF investors and analyzes the impact of crowding in the ETF market on fund performance and risk exposure, thereby addressing critical gaps in the literature related to Taiwan’s fund industry.
The first essay examines the market timing ability of mutual fund investors in Taiwan by comparing geometric mean returns with dollar-weighted returns, serving as a performance metric that reflects the impact of investor cash flow timing. To address potential bias from ex-post evaluation, the study incorporates an adjustment for the hindsight effect. Based on monthly return and asset under management (AUM) data for domestic equity mutual funds from January 2000 to December 2024, the analysis reveals that, prior to adjusted for the hindsight effect, investors experience an average monthly loss of 0.24 percent due to poor timing. After adjusted for the hindsight effect, the estimated loss declines to 0.18 percent, highlighting its significant influence on investor performance assessment. The findings remain robust after controlling for fund characteristics such as size, age, expense ratio, liquidity and volatility, and they offer insights into investor behavior and inefficiencies in emerging markets.
Building on the findings of the first essay, the second essay extends the analysis to Taiwan’s ETF market, with an emphasis on cross-sectional differences in timing ability across investor types. Specifically, the study contrasts the performance of foreign institutional investors with that of domestic individual investors to test the “smart money” hypothesis. The empirical evidence reveals that foreign investors consistently exhibit superior timing ability, achieving dollar-weighted returns that more closely approximate or even exceed geometric mean returns, whereas retail investors tend to underperform significantly. These findings lend support to the notion that more sophisticated investors are better positioned to exploit timing opportunities, possibly due to superior information access, greater discipline, or more advanced trading infrastructure. Additionally, the study shows that the average investor in ETFs earns returns lower than the fund’s own performance metrics, calling into question the reliability of headline returns when used to infer investor success.
The third essay investigates the phenomenon of portfolio crowding in Taiwan’s ETF market, a topic of increasing relevance amid the rapid growth of passive investment vehicles and their substantial capital inflows. The study introduces a novel crowding index based on the degree of portfolio overlap across ETFs, capturing how concentrated investor flows may lead to excessive exposure to specific underlying securities. Empirical analyses reveal that ETFs with higher crowding scores tend to deliver higher net and gross alpha. However, these same ETFs also exhibit greater return volatility and more pronounced downside risk, suggesting that crowding may amplify market fragility. The findings have meaningful implications for asset managers, regulators, and investors alike, particularly in the context of managing systemic risk and maintaining diversification within passive investment frameworks.
Together, the three essays establish a cohesive and multifaceted research agenda that bridges micro-level investor behavior and macro-level market implications. By leveraging high-frequency fund-level data and addressing both traditional and modern investment vehicles, the dissertation contributes novel insights into the performance attribution and risk dynamics of fund investing in Taiwan. Importantly, it fills significant regional and topical gaps in the empirical literature and offers actionable implications for portfolio management, financial regulation, and policy design. These contributions are particularly salient for emerging markets where retail dominance, ETF expansion, and behavioral inefficiencies coexist, shaping a unique investment landscape ripe for academic inquiry and practical reform.

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