DSpace collection: 博碩士論文

產業結構與供應鏈網絡對產業型ETF追蹤誤差之影響;The Impact of Industry Structure and Supply Chain Networks on Tracking Error of Sector ETFs

title: 產業結構與供應鏈網絡對產業型ETF追蹤誤差之影響;The Impact of Industry Structure and Supply Chain Networks on Tracking Error of Sector ETFs abstract: 近年來，產業型ETF因聚焦特定產業及其相關產業生態系而快速成長，其追蹤品質逐漸受到市場重視。然而，既有ETF追蹤誤差文獻多聚焦於ETF特性與市場因素，較少探討產業結構與供應鏈網絡特徵對追蹤誤差之影響。因此，本研究以2013年至2024年間臺灣掛牌之產業型ETF為研究對象，分別以水平產業集中度（Horizontal Industry Concentration， HIC）與垂直雙向供應鏈瓶頸（Vertical Two-sided Bottleneck， VTB）衡量產業配置結構及供應鏈依存風險，並進一步分析中美貿易衝突、COVID-19疫情及俄烏戰爭等外部衝擊之調節效果。研究採固定效果追蹤資料模型進行實證分析。研究結果顯示，HIC與ETF追蹤誤差呈顯著負向關係，而VTB則呈顯著正向關係，表示產業集中所帶來之流動性與交易效率優勢有助於降低追蹤誤差，而雙向供應鏈瓶頸則會提高ETF追蹤誤差。進一步分析發現，中美貿易衝突與COVID-19疫情會強化HIC與VTB對追蹤誤差之原有效果，而俄烏戰爭則削弱或抵銷其原有效果。此外，客戶集中度與供應商集中度於一般市場環境下未具顯著影響，但於外部衝擊期間則轉為顯著，顯示供應鏈依存關係對ETF追蹤誤差之影響具有情境依賴性。本研究將產業結構與供應鏈網絡觀點導入ETF追蹤誤差研究，補充既有文獻對ETF追蹤效率決定因素之理解，並提供評估產業型ETF追蹤品質與結構性風險之參考。;In recent years， sector exchange-traded funds (ETFs) have experienced rapid growth due to their focus on specific industries and industry ecosystems. While prior studies on ETF tracking error have primarily emphasized ETF characteristics and market factors， limited attention has been paid to the roles of industry structure and supply chain networks. Therefore， this study examines Taiwanese sector ETFs from 2013 to 2024 and investigates the effects of Horizontal Industry Concentration (HIC) and Vertical Two-sided Bottleneck (VTB) on tracking error. The moderating effects of the U.S.–China trade conflict， the COVID-19 pandemic， and the Russia–Ukraine war are also examined. Fixed-effects panel regression models are employed for the empirical analysis. The results indicate that HIC is negatively associated with ETF tracking error， whereas VTB is positively associated with ETF tracking error. This suggests that the liquidity and trading efficiency associated with industry concentration help reduce tracking error， while vertical two-sided supply chain bottlenecks increase ETF tracking error. Further analyses show that the U.S.–China trade conflict and the COVID-19 pandemic amplify the original effects of HIC and VTB， whereas the Russia–Ukraine war attenuates or offsets these effects. In addition， customer concentration and supplier concentration are insignificant under normal market conditions but become significant during periods of external shocks， indicating that the effect of supply chain dependence on ETF tracking error is context-dependent. This study extends the ETF tracking error literature by incorporating the perspectives of industry structure and supply chain networks. It also provides practical implications for evaluating tracking quality and structural risks in sector ETFs.

永續揭露品質、外部確信與投資效率之關聯性研究：以台灣上市上櫃電子業為例;The Relationship between Sustainability Disclosure Quality， External Assurance， and Investment Efficiency:Evidence from Taiwan’s Listed and OTC Electronics Industry

title: 永續揭露品質、外部確信與投資效率之關聯性研究：以台灣上市上櫃電子業為例;The Relationship between Sustainability Disclosure Quality， External Assurance， and Investment Efficiency:Evidence from Taiwan’s Listed and OTC Electronics Industry abstract: 非效率投資—為管理層過度擴張所致之過度投資與受限於融資障礙之投資不足的總稱，學者們一致認為非效率投資對企業長期價值有害。若能了解如何透過提升資訊透明度與可信度來改善資源配置，可以幫助公司未來在制定決策時，有效克服代理問題與融資約束，以減少非效率投資發生的情況。本研究係探討永續揭露品質對投資效率之影響，並檢析外部確信以及確信提供者之調節作用。本研究以 2019 年至 2024 年為研究期間，使用臺灣經濟新報（TEJ）的上市上櫃電子業公司為研究對象，實證結果發現，提升永續揭露品質之公司，可以顯著抑制過度投資及改善投資不足之情況；於揭露中加入外部確信之公司，能顯著強化揭露品質並緩解投資不足發生之情形；然而，由四大會計師事務所提供確信，則無法對抑制過度投資或緩解投資不足產生更顯著之調節差異。;In recent years， sustainability disclosure has increasingly gained attention in capitalmarkets; however， in practice， disclosures lacking credibility are often susceptible togreenwashing. Inefficient investment—an umbrella term encompassing over-investment driven by managerial over-expansion and under-investment constrained byfinancing obstacles—is widely recognized by scholars as detrimental to a firm′s long-term value. Understanding how to improve resource allocation by enhancinginformation transparency and credibility can assist firms in effectively overcomingagency problems and financing constraints during decision-making， thereby reducingthe incidence of inefficient investment. This study investigates the impact ofsustainability disclosure quality on investment efficiency and examines the moderatingroles of external assurance and assurance providers. Based on a sample of listed andOTC electronics companies in Taiwan from the Taiwan Economic Journal (TEJ)database for the period 2019 to 2024， the empirical results reveal that improvingsustainability disclosure quality can significantly curb the occurrence of over-investment and under-investment. Furthermore， obtaining external assurancesignificantly strengthens the effect of disclosure quality in mitigating under-investment.However， the use of Big 4 accounting firms as assurance providers does not exhibit asignificantly different moderating effect on either curbing over-investment ormitigating under-investment.

全透明主動式ETF網站揭露品質對交易量與定價效率之影響;全透明主動式ETF網站揭露品質對交易量與定價效率之影響

title: 全透明主動式ETF網站揭露品質對交易量與定價效率之影響;全透明主動式ETF網站揭露品質對交易量與定價效率之影響 abstract: 本研究探討臺灣全透明主動式 ETF 官方網站揭露品質與 ETF 市場行為之關聯，並結合訊號理論、資訊過載與投資人有限注意力觀點加以分析。一方面，較高的網站揭露品質可作為發行機構針對 ETF品質與策略透明度之正向訊號，降低資訊不對稱；另一方面，過多或過於複雜的揭露內容亦可能提高資訊處理成本，使投資人注意力過度集中於部分醒目資訊或熱門標的，進而影響交易行為與定價效率。基於此，本研究以三種交易量指標衡量市場關注與交易活絡程度，以溢折價絕對值反映 ETF價格偏離程度，檢驗網站揭露品質各構面對市場效率的影響。研究樣本為 2025 年 9 月至 2026 年 3 月期間掛牌之 16 檔臺灣股票型全透明主動式 ETF，以週為觀察單位，共 295筆樣本。本研究手動蒐集各基金發行機構官方網站資訊，並從內容揭露、資訊可得性與資訊呈現方式三個構面建構網站揭露品質指標，進一步檢驗其對ETF交易量及溢折價絕對值之影響。實證結果顯示，網站揭露品質與交易量及市場效率之關係，在拆解為三個構面後效果相異。其中，資訊可得性構面與交易量指標皆呈顯著負向關係，且與溢折價絕對值呈顯著正向關係；相較之下，內容揭露與資訊呈現構面則未有顯著關聯。進一步之穩健性測試結果亦顯示，上述結果不因構面量尺調整而改變。整體而言，本研究結果顯示，在主動式ETF資訊高度透明之制度環境下，提升網站資訊可得性未必能改善市場效率，反而伴隨著投資人注意力集中與資訊處理負擔提高等現象，降低交易量並使定價偏離幅度變大。本研究除補充主動式 ETF 與網站揭露相關文獻外，亦提供主管機關與發行機構在網站資訊設計與揭露策略上之實務參考。;This study examines how the website disclosure quality of fully transparent active exchange-traded funds (ETFs) in Taiwan relates to ETF market behavior， drawing on signaling theory as well as information overload and limited investor attention perspectives. Higher website disclosure quality can signal better ETF quality and strategy transparency and thus reduce information asymmetry， but excessive or complex disclosure may raise investors’ information processing costs and concentrate limited attention on salient information or popular securities， potentially distorting trading behavior and pricing efficiency. Accordingly， this study employs three trading-volume indicators to measure market attention and trading activity， and uses the absolute value of the premium–discount deviation (AbsPD) to capture the extent of ETF price deviation. By doing so， this study examines the effects of different dimensions of website disclosure quality on market efficiency. The sample comprises 16 Taiwan equity fully transparent active ETFs listed between September 2025 and March 2026， yielding 295 weekly ETF observations. Using manually collected information from issuers’ official websites， the study constructs a website disclosure quality index along three dimensions—content disclosure， information accessibility， and information presentation—and examines their effects on ETF trading volume and the absolute premium–discount deviation(AbsPD). The empirical evidence shows that website disclosure quality， once decomposed into these dimensions， is not uniformly associated with higher trading volume or greater market efficiency. Information accessibility is significantly negatively related to trading volume and significantly positively related to the absolute premium–discount deviation(AbsPD)， whereas content disclosure and information presentation do not exhibit significant effects. Overall， the results suggest that， in a highly transparent environment for active ETFs， enhancing website information accessibility does not necessarily improve market efficiency and may instead coincide with increased investor attention concentration and heavier information processing burden， leading to lower trading volume and larger pricing deviations and offering implications for regulators and ETF issuers when designing website disclosure.

ESG揭露與股價對未來盈餘之反應：以家族企業為調節變數;ESG Disclosure and Stock Price Response to Future Earnings: The Moderating Effect of Family Firms

title: ESG揭露與股價對未來盈餘之反應：以家族企業為調節變數;ESG Disclosure and Stock Price Response to Future Earnings: The Moderating Effect of Family Firms abstract: 隨著永續發展趨勢，非財務資訊已逐漸成為評估企業長期價值之關鍵。本研究以2020年至2022年臺灣上市櫃公司為研究對象，共計1，726筆有效觀察值，探討ESG 揭露對「股價對未來盈餘之反應程度」之影響，並進一步檢驗家族企業之調節效果。研究採用Lundholm and Myers (2002)之未來盈餘反應係數(FERC)模型，並以自行建構之GRI揭露率作為衡量指標。實證結果顯示，不論ESG總體揭露，抑或環境(E)、社會(S)、公司治理(G)各構面之揭露，皆與未來盈餘反應係數呈顯著正向關係，顯示ESG資訊能降低資訊不對稱，改善企業資訊環境並提升盈餘資訊傳遞效率，進而強化股價對未來盈餘之反應程度，達成「將未來提前反映至當期」(bring the future forward)之效果。其中，公司治理資訊之提升效果最為顯著，顯示健全治理為投資人信賴非財務資訊之基礎。此外，家族與非家族企業之實證結果未呈現顯著差異，顯示ESG資訊之正面價值具備跨組織結構之穩定性。本研究之發現充實並深化了非財務資訊揭露於資本市場效率之相關文獻，亦可為臺灣永續發展政策提供在地化的實證參考。;With the growing emphasis on sustainable development， non-financial information has gradually become essential for evaluating firms’ long-term value. Using Taiwanese listed companies from 2020 to 2022 as the research sample， this study investigates the effect of ESG disclosure on the extent to which stock prices reflect future earnings information and further examines the moderating effect of family firms. A total of 1，726 firm-year observations are included. This study adopts the future earnings response coefficient (FERC) model proposed by Lundholm and Myers (2002) and employs a self-constructed GRI disclosure index as the measurement of ESG disclosure. The empirical results indicate that both overall ESG disclosure and its environmental， social， and governance dimensions are significantly positively associated with the future earnings response coefficient. The findings suggest that ESG disclosure reduces information asymmetry， improves firms’ information environment， thereby enhancing the transmission efficiency of earnings information and increasing the responsiveness of stock prices to future earnings， achieving the effect of "bringing the future forward." Among the three dimensions， governance disclosure exhibits the strongest effect， indicating that sound governance serves as a key foundation for investors’ trust in non-financial information. In addition， no significant differences are found between family and non-family firms， suggesting that the positive informational value of ESG disclosure remains stable across different organizational structures. Overall， the findings enrich and extend the literature on non-financial disclosure and capital market efficiency， while also providing localized empirical evidence to support sustainable development policies in Taiwan.