本論文以元大台灣卓越50基金(證券代號0050)及元大台灣50單日反向1倍基金(證券代號TF00632R)二檔做為樣本，使用迴歸分析，探討融資、融券、借券餘額對後續ETF報酬的解釋能力。信用交易，也就是保證金交易，包括融資買進（買空）與融券賣出（賣空）兩種主要型態。信用交易活動隱含不同資訊內涵，對未來報酬是否有預測能力，是學術與實務上關注的重要議題。
台灣股市的賣空區分以自然人為主的融券以及以法人為主的借券，過去文獻指出機構法人一般為理性投資人，個別投資人則多屬雜訊交易者，常存在過度反應現象。研究結果發現持有台股正反二檔ETF之雜訊交易人以高融資反映投資人樂觀程度，會造成持有期間報酬下修相當顯著；雜訊交易者主導的融券賣空餘額則傳遞投資人過度悲觀，可能造成股價低估訊息，因而對後續股報酬有正向影響，正向0050ETF不管持有天期長短報酬率皆為顯著正相關，反向00632R ETF融券餘額 對1日及5日報酬率有正向影響，但當持有天期拉長至15或20日，其影響由正轉負。機構投資人不但較可能擁有私有訊息，且較有能力發現股票之真實價值，因此當賣空行為主要由法人主導時，基本上賣空者通常是在擁有私有負面訊息，或發現股價高估時，藉由賣空套利，股價也在賣空部位增加後下跌回歸均衡價位，高借券餘額與報酬率有負相關。研究結果顯示台股正反二檔ETF之借券餘額對持有1天報酬率有較顯著影響。

關鍵字：ETF、信用交易、融資、融券、借券、股票報酬

This thesis examines how margin trading affects the returns on two Taiwanese listed exchange-traded funds, namely the Yuanta/P-shares Taiwan Top 50 ETF (stock code 0050) and Yuanta Daily Taiwan 50 Bear -1X ETF50 (stock code TF00632R). The empirical results indicate that retail investors, normally treated as noise traders, overreact in the sense that their short-selling (long-buying) trading is positively (negatively) related to subsequent ETF returns. By contrast, institutional investors’ short-selling trading is negatively related to subsequent ETF returns, suggesting that institutional investors are rational, smart traders.

Keywords：ETF、margin trading、financing、short selling、securities lending、stock returns

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台灣證券交易所
ETF專區及元大投信ETF專區