根據台灣證交所統計，2015上半年ETF交易金額佔集中市場5.85%，高於2014全年的1.88%，各面向來看ETF市場已不在像以往僅法人獨享，已成全台投資人眼中的新亮點。說明新型ETF世代即將來臨，將為市場帶來全新的投資管道。本研究以台灣目前八檔槓桿及反向型ETF為例，探討其ETF單日報酬率與期貨價格波動間的非線性關係，本研究採用Gonza′lez, Teräsvirta and van Dijk (2004, 2005) 所發展的縱橫平滑移轉迴歸模型（Panel Smooth Transition Regression Model, PSTR），以期貨價格波動率作為模型的轉換變數，觀察期貨價格間的波動對槓桿及反向型ETF單日報酬是否存在平滑移轉效果，並進一步分析期貨價格波動對槓桿及反向型ETF單日報酬之平滑移轉效果下，基金交易量、追蹤標的指數、對應期貨交易量對槓桿及反向型ETF單日報酬之影響變化。 實證結果發現，期貨價格的波動對台灣大部分的槓桿及反向型ETF之單日報酬都存在顯著的平滑移轉效果，且基金交易量、追蹤標的指數、對應期貨交易量與期貨價格波動率在各門檻間都能顯著的對ETF單日報酬有著不同的影響。 This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the future price volatility variable. This research uses regression model to analyze the nonlinear impact of future price volatility on leveraged and inverse ETFs daily return in Taiwan. And we make the underlying index price, ETFs volume and future volume as independent variable. Empirical results show that future price volatility on most of leveraged and inverse ETFs of Taiwan''s market as significant smooth transition effects, and most of the ETFs whose underlying index price, ETFs volume and future volume significantly affects in leveraged and inverse ETFs daily return between any threshold.
