本文尋找出影響ETF追蹤誤差的關鍵獨立變數，並以台灣ETF為主要樣本。本文包含了19檔ETF共1399個樣本數，由於遺漏值的緣故刪除觀察值。本文使用迴歸分析進行實證研究，並將自變數平方後，檢測自變數與應變數間是否有顯著非線性關係。最後將所有自變數與投資人情緒的交乘項放入迴歸模型當中，檢測是否有調節效果。研究結果顯示，我們發現了總費用率、以交易量衡量之ETF流動性、ETF波動性、ETF現金持有比率、ETF申購／贖回淨變化與ETF追蹤誤差呈正相關；ETF發放現金股利、以間接法衡量之投資人情緒及ETF組成成分股調整與ETF追蹤誤差呈負相關。另一方面，本文發現大部分的獨立變數與ETF追蹤誤差呈現非線性的顯著關係，呈負相關的分別為：總費用率、ETF波動性、ETF申購／贖回淨變化；呈正相關的分別為：以交易量衡量之ETF流動性、基金發放股息、基金成分股發放股息、以直接法衡量之投資人情緒。而在本文當中，我們也發現了以直接法衡量之投資人情緒會增強以交易量衡量之流動性與ETF組成成分股調整對於ETF追蹤誤差之影響；同時也會減少指數複製策略對於ETF追蹤誤差之影響。本文也發現了以間接法衡量之投資人情緒會增強指數複製策略對於ETF追蹤誤差之影響；同時也會減少ETF申購／贖回淨變化對於ETF追蹤誤差之影響。 This paper explores the determinants of ETF tracking error. Our sample comprises of 19 Taiwan ETFs during 2013 July to 2016 December. We use the regression analysis to perform empirical research. Empirical results indicates that total expense ratio, liquidity of ETF by trade volume, volatility of ETF, ETFcash holding ratio and net change of ETF creation/redemption, are positively related with ETF tracking error and dividends by ETF, dividends by ETF portfolio and investor sentiment by indirect method are negatively related with ETF tracking error. Otherwise, there are non-linear related between ETF tracking error with above factors. Empirical of non-linear results indicates that total expense ratio, volatility of ETF and net change of ETF creation/redemption are positively related with ETF tracking error, and liquidity of ETF by trade volume, dividends by ETF, dividends by ETF portfolio and investor sentiment by direct method. We also found that investor sentiment which measured by direct method would increase the impact of ETF tracking error with the liquidity of ETF and the adjustment of ETF portfolio. In the other hand, it would decrease the impact of ETF tracking error with the index replicated strategy of ETF.We also found that investor sentiment which measured by indirect method would increase the impact of ETF tracking error with the index replicated strategy of ETF. In the other hand, it would decrease the impact of ETF tracking error with the net change of ETF creation/redemption.
