本論文以國內已發行超過5年以上之原型ETF做為樣本，使用迴歸分析，探討國內原ETF的淨流量及成交量對後續ETF報酬的解釋力。聰明錢效果，即基金的淨流量對於基金的報酬率有預測能力，前期淨流量高的基金，其本期的報酬率有明顯超額報酬，因此投資人可透過觀察基金淨流量來形成投資決策；過去探究聰明錢效果以共同基金為主，形成一連串的研究主題，本次研究探究ETF是否也具有聰明錢效果。實證結果顯示，無法證明國內發行之ETF具有聰明錢效果，即投資人無法透過觀察ETF之前期淨流量高低而認定本期績效，其原因可能與散戶不理性的反向操作有關；另外針對前期成交量對本期ETF報酬率的分析，有多檔ETF顯示前期成交量大時對本期ETF的報酬率有顯著負影響，可能原因為國內ETF為買方市場，投資人過度自信，當前期價格過高時，成交量增加，導致本期價格容易反轉。

This thesis takes prototype ETF that have been issued in Taiwan for more than 5 years as samples, and uses regression analysis to explore the explanatory power of ETF net flow and trading volume on ETF returns. Smart money effect, that is, the net flow of the fund has the ability to predict the rate of return of the fund. Funds with high net flow in the previous period have obvious excess return in the current period, so investors can make investment decisions by observing the net flow of the fund; In the past, mutual funds were the main prodoct focus of research on the smart money effect, forming a series of research themes. This study explores whether ETF also have the smart money effect. The empirical results show that it couldn’t prove that ETF issued in Taiwan have the smart money effects, that is, investors cannot determine the performance of the current period by observing the level of netflow of the ETF in the previous period. The reason may be related to the irrational reverse operation of retail investors; The analysis of the ETF rate of return shows that there are many ETFs that show that the previous high trading volume has a significant negative impact on the current ETF’s rate of return. The possible reason is that the domestic ETF is a buyer’s market, and investors are overconfident. When the current price is too high, the transaction The increase in volume makes the price easy to reverse in this period.

英文文獻

Gruber, Martin J, 1996, Another puzzle: The growth in actively managed mutual funds, The journal of finance 51, 783-810.

Keswani, Aneel, and David Stolin, 2008, Which money is smart? Mutual fund buys and sells of individual and institutional investors, The Journal of Finance 63, 85-118.

Ke, D., Ng, L., and Wang, Q.,2005, ”Smart Money? Evidence from the performance of Mutual fund Investors,” University of Wisconcin-Milwaukee Working paper.

Sapp, Travis, and Ashish Tiwari, 2004, Does stock return momentum explain the―smart money‖ effect?, The Journal of Finance 59, 2605-2622.

Zheng, Lu, 1999, Is money smart? A study of mutual fund investors' fund selection ability, The Journal of Finance 54, 901-933.

中文文獻
林煜恩，2005，「台灣共同基金聰明錢效果與動能投資策略」，國立東華大學碩士論文

池祥萱、林煜恩、周賓凰， 2007，「基金績效持續與聰明錢效果：台灣實證」，臺灣管理學報，第 24 卷，第 3 期，頁 307-330。

中央銀行金融穩定報告，2021/5,頁58

網站資訊

台灣證券交易所ETF專區 https://www.twse.com.tw/ETF

投信投顧公會 https://www.sitca.org.tw/index_pc.aspx