ETF 在台灣股票市場的影響力隨資金規模擴張而逐步提高，成分股調整所引發的集中交易，已成為影響短期價格變動的重要來源。相較於過去多以單一指數為分析對象之研究，台灣市場因權值股集中與可投資標的有限，而隨著 ETF 規模持續擴張，不同 ETF 在成分股調整時點上出現重疊調整的情形愈發常見，使同一檔股票在調整期間可能同時受到多股資金力量影響，進而改變價格反應的表現。 本研究以元大台灣 50（0050）與元大高股息（0056）為研究對象，採用事件研究法，並以成分股調整生效日為事件日，觀察事件窗內之異常報酬變化。研究依事件型態區分為同時納入、同時剔除，以及一買一賣三類情境，透過比較不同資金組合下的市場反應，分析多重 ETF 交互作用對股價行為之影響。 實證結果顯示在同時納入的情況下，股價多於事件日前即出現正向異常報酬，生效日後報酬動能趨緩，並未呈現明顯延續，在一買一賣事件中，價格變動未完全相互抵銷，市場反應多由資金規模或影響力較大之 ETF 所主導；而在同時剔除的情境下，個股於事件日前後呈現顯著波動，其價格反應則具備事後修正之特徵。 多重 ETF 在成分股重疊調整情境下同步調整，將透過疊加或抵銷的方式改變原有之價格壓力表現，使市場反應不再僅由單一資金流所決定。本文自多重資金來源的角度，補充過去以單一指數為主之研究架構，並顯示在 ETF 成分股調整重疊日益常見的市場環境中，短期價格形成機制具有更高之複雜性，投資人於相關期間之交易判斷，須同時考量不同 ETF 之交互影響。;As assets under management in exchange-traded funds (ETFs) continue to expand， ETFs have become an increasingly important institutional force in the Taiwanese stock market. Concentrated trading induced by index reconstitutions has emerged as a major source of short-term price fluctuations. Compared with prior studies that predominantly focus on a single index， the Taiwanese market is characterized by a high concentration of large-cap stocks and a limited universe of investable securities. As ETF scale continues to grow， overlapping index reconstitutions across different ETFs have become increasingly common. As a result， individual stocks may be simultaneously affected by multiple ETF-driven trading flows during rebalancing periods， thereby altering price reactions. This study examines the Yuanta Taiwan 50 ETF (0050) and the Yuanta Taiwan High Dividend ETF (0056) using an event study methodology. The effective date of index reconstitution is defined as the event date， and abnormal returns are analyzed within a specified event window. Reconstitution events are classified into three categories: simultaneous inclusion， simultaneous exclusion， and offsetting changes in which a stock is included in one ETF while excluded from the other. By comparing market reactions under different combinations of ETF trading flows， this study investigates how interactions among multiple ETFs influence stock price behavior. The empirical results indicate that in simultaneous inclusion events， stocks tend to exhibit positive abnormal returns prior to the event date， while return momentum weakens after implementation and does not persist. In offsetting change events， price movements are not fully neutralized; instead， market reactions are largely dominated by the ETF with greater scale or market influence. Stocks subject to simultaneous exclusion display pronounced price fluctuations around the event date， with price responses exhibiting subsequent correction. Overall， when multiple ETFs undergo overlapping index reconstitutions， price pressure effects are modified through either amplification or offsetting mechanisms， such that market reactions are no longer driven by a single source of capital flow. By incorporating multiple sources of ETF demand， this study extends the existing literature that primarily focuses on individual indices and demonstrates that short-term price formation during index reconstitution becomes more complex in environments where overlapping rebalancing events are increasingly prevalent. Investors making trading decisions during such periods should therefore account for the interactive effects among different ETFs.
