近年來，隨著全球供應鏈受到COVID-19疫情、地緣政治衝突及國際貿易環境變化等因素影響，使供應鏈中斷的問題受到廣泛關注。另一方面，ETF已成為資本市場中重要的投資工具，其追蹤效率攸關投資人所能獲得的投資報酬。然而，過去有關ETF追蹤誤差之研究多聚焦於基金特性、市場環境及成分股流動性等因素，較少探討ETF成分股所處之供應鏈環境對於追蹤誤差的影響。因此，本研究以臺灣國內一般股票型ETF作為研究對象，探討供應鏈韌性與結構風險對ETF追蹤誤差之影響，並進一步檢驗上游曝險之調節效果。研究樣本涵蓋2013年至2024年期間之國內一般股票型ETF，實證結果顯示，供應鏈韌性與ETF追蹤誤差呈顯著負向關係，表示當ETF成分股企業具備較高之供應鏈韌性時，較能降低外部衝擊所造成之營運不確定性與股價波動，有助於ETF經理人進行投資組合調整與複製基準指數，進而降低ETF追蹤誤差。其次，供應鏈結構風險與ETF追蹤誤差亦呈顯著負向關係，顯示供應鏈網路中較高度的連結關係可能提高上下游節點的股價同步性，並降低成分股橫截面報酬分散程度，進而減少ETF追蹤誤差。此外，上游曝險對供應鏈結構風險與ETF追蹤誤差之關係具有顯著正向調節效果，表示當ETF成分股具有較高之上游曝險時，股價容易受到上游節點波動之影響，進而削弱供應鏈結構風險所形成之股價同步效果，並提高ETF追蹤誤差。本研究將供應鏈韌性、供應鏈結構風險及上游曝險納入ETF追蹤誤差之分析架構，證實供應鏈特性亦為影響ETF追蹤誤差的重要因素，補充過去ETF文獻上較少關注之供應鏈觀點，並提供ETF經理人及投資人於投資決策與風險管理上之參考依據。;In recent years， supply chain disruptions have attracted considerable attention due to the impacts of the COVID-19 pandemic， geopolitical conflicts， and changes in the global trade environment. Meanwhile， Exchange-Traded Funds (ETFs) have become an important investment vehicle in capital markets， and their tracking efficiency is closely related to the investment returns that investors can achieve. However， prior studies on ETF tracking error have primarily focused on fund characteristics， market conditions， and constituent stock liquidity， while relatively little attention has been paid to the influence of the supply chain environment of ETF constituent firms on tracking error. Accordingly， this study examines the effects of supply chain resilience and supply chain structural risk on ETF tracking error using Taiwanese domestic equity ETFs as the research sample. In addition， the moderating effect of upstream exposure is investigated. The sample consists of domestic equity ETFs during the period from 2013 to 2024. The empirical results indicate that supply chain resilience is significantly and negatively associated with ETF tracking error， suggesting that constituent firms with stronger supply chain resilience are better able to mitigate operational uncertainty and stock price volatility caused by external shocks， thereby reducing ETF tracking error. Furthermore， supply chain structural risk is also found to be negatively related to ETF tracking error. This finding suggests that stronger connections within supply chain networks may increase stock price synchronicity among upstream and downstream firms， reduce the cross-sectional dispersion of constituent stock returns， and consequently lower ETF tracking error. In addition， upstream exposure exhibits a significant positive moderating effect on the relationship between supply chain structural risk and ETF tracking error. Specifically， higher upstream exposure weakens the stock price synchronicity effect generated by supply chain structural risk， thereby increasing ETF tracking error. By incorporating supply chain resilience， supply chain structural risk， and upstream exposure into the analytical framework of ETF tracking error， this study demonstrates that supply chain factors are important determinants of ETF tracking efficiency. The findings extend the ETF literature by introducing a supply chain perspective that has received limited attention in prior research and provide practical implications for ETF managers and investors in investment decision-making and risk management.
