本研究旨在探討台灣交易所交易基金（Exchange-Traded Funds, ETFs）市場中，ETF 持股集中度變化對基金報酬之潛在影響。隨著 ETF 規模迅速擴張及市值型 ETF 產品日趨主流，市場結構高度依賴特定權值股，尤以台積電為例，導致多數 ETF 呈現報酬趨同與結構脆弱等現象。本研究聚焦於 ETF 成分股配置的集中風險，探討集中度是否會加劇系統性波動，並評估其對短期與中期報酬表現之預測能力與風險意涵。

研究採用台灣 19 檔成立滿 5 年之股票型 ETF 為樣本，涵蓋 2016 年 2 月至2025 年 2 月之月度資料。資料來源包含 TEJ 資料庫之成分權重與基金規模數據，建構三項集中度指標：Herfindahl-Hirschman Index（HHI）、Gini Coefficient（Gini 係數）與 Entropy（熵），再搭配基金報酬波動度與基金規模變動率作為控制變數，透過多期滯後迴歸模型檢驗集中度對 ETF 報酬的動態關係，並以 COVID-19 疫情為斷點進行分期分析。

實證結果顯示，三種集中度指標普遍對基金報酬具有統計顯著性，且展現出「當期正向、次期反向」的動態結構，尤以 Gini 係數解釋力最佳。研究亦發現疫情後集中度變數對報酬的敏感度顯著提升，資金流與波動性成為影響報酬之主要因子。本研究建議投資人應關注集中度快速上升所帶來的短期超額報酬與潛在回撤風險，並鼓勵資產管理人與監理機關將集中度指標納入 ETF 產品篩選與市場監理架構，以提升台灣 ETF 市場之結構韌性與長期穩定性。

This study investigates the impact of portfolio concentration on the return performance of exchange-traded funds (ETFs) in Taiwan. As the ETF market expands rapidly and market-cap-weighted ETFs dominate, Taiwan’s ETF structure has become increasingly reliant on a few mega-cap stocks—most notably TSMC—leading to return convergence and potential structural fragility. This research focuses on the risks associated with concentrated ETF holdings and evaluates the predictive power of concentration measures on short- and medium-term returns.

Using monthly data from 19 Taiwan-listed equity ETFs with over ten years of trading history, spanning February 2016 to February 2025, the study constructs three concentration metrics—Herfindahl-Hirschman Index (HHI), Gini Coefficient, and Entropy—and incorporates fund return volatility and fund size variation as control variables. A series of lagged regression models is employed to examine the dynamic relationship between concentration levels and fund returns. The COVID-19 outbreak is used as a structural breakpoint to compare pre- and post-pandemic patterns.

Empirical results show that all three concentration metrics exhibit statistically significant relationships with ETF returns, typically featuring a "positive contemporaneous effect and negative lagged correction." The Gini coefficient demonstrates the strongest and most stable explanatory power. The impact of concentration increased notably after the pandemic, with capital flows and volatility becoming key return drivers. The findings suggest that rising concentration may boost short-term returns but also elevate the risk of drawdowns. Investors, asset managers, and regulators are advised to integrate concentration measures into ETF selection, product design, and market oversight to improve structural resilience and long-term market stability in Taiwan’s ETF ecosystem.

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