ETF是Exchange Traded Fund的英文縮寫，是融合股票、封閉型基金與開放型基金特色的一種追蹤指數表現的基金。每檔ETF均追蹤某一特定指數，如追蹤大盤指數，則買進該ETF就可以達到買入整個市場的效果。本研究擬探討ETF本身的價格與成交量，以及ETF與標的指數之價格與成交量之間的關係，利用Granger因果關係模型(Granger Causality Model )、誤差修正模型(Error Correction Model)與VAR模型進行分析，研究對象包括台灣50 ETF、iShares MSCI-Taiwan、SPDR、QQQ共4檔ETF及其標的指數，以瞭解是否有價影響量、量影響價的情形，或是兩者互相影響。 在同時性檢定方面，研究結果發現，價量之間多存在正向關係。而誤差修正模型與Granger因果關係的結果指出，在長期之下，ETF價量及ETF與標的指數之價量關係，皆為價格領先成交量居多，表示成交量受到前幾期價格影響，因此，有價先量行的現象。此外，衝擊反應分析與預測誤差變異數分解的結果顯示，變數的衝擊變動來自本身的衝擊最多，且各變數的預測誤差變異數皆來自本身的變異，即自身解釋能力最強，代表不易受外生變數影響。 因此，在實務應用上，若擬投資ETF市場，ETF及標的指數的價格是先行的觀察指標，當價格上漲時，若市場處於多頭走勢，可能會帶動交易量上漲，所以是進場的好時機。 ETF is the English abbreviation of Exchange Traded Fund ETF tracks the performance of its underlying index and blends characteristics of stock closed-end fund and open-end fund Every ETF follows a certain specific index If the underlying index of an ETF is the weighted price index of the whole market then buying this ETF can get the result of buying the whole market This research plans to explore the price-volume relationship for ETF itself and its underlying index Furthermore this paper uses Granger Causality Model Error Correction Model and VAR analyses to investigate price-volume relationships in four ETFs (Taiwan 50 ETF iShares MSCI-Taiwan SPDR and QQQ) and their underlying indices In simultaneous examination this article detects that there are positive relations between the price and volume mostly And the results of ECM model and Granger causality indicate that the price leads trading volume in the long run In addition impulse response function and forecast error variance decomposition demonstrate that the major change of the parameter comes from the impact by itself and the forecast error variance of each parameter also comes from itself In other words parameters are difficult to be influenced by external other parameters In practice the prices of ETF and its underlying index are observational indicators in ETF market In bull market when the prices of ETF or its underlying index rises it is a good opportunity to invest in ETF market Because it may drive the trading volume go up
