The Market Liquidity of Taiwan Dividend+ ETF and its Underlying Stocks

組合證券的發行對其成分股流動性的影響一直是學術界及實務界關心的議題，先前學者提出的理論模型讓我們對流動性的改變有更深一層認識，但是實證分析的結果卻仍然莫衷一是。本研究藉由寶來高股息基金的發行來探討其成分股在發行前後的流動性變化，實證分析結果顯示，從交易活動構面來看，成分股的流動性在基金發行後顯著增加；若從流動性成本角度出發，則流動性的增加並不顯著。本研究並同時檢視基金本身與成分股的流動性比較，實證發現，寶來高股息基金在發行後較其成分股更具流動性。整體而言，本研究支持組合證券的發行對其成分股的流動性有正面影響。The effects of the introduction of composite security to their underlying portfolio have always been a principal issue among scholars and practitioners. While previous literatures have enhanced our understanding of how these financial products would change the market liquidity theoretically, the empirical works emerging from these studies are somewhat ambiguous. In this paper, we examine the liquidity changes of the underlying stocks before and after the commencement of Taiwan Dividend+ ETF. Our finding shows that the trading activities of the component securities increase significantly over the first fifty days of the advent of this ETF while changes in liquidity cost provide weak evidence of increased liquidity. We also compare the liquidity of the basket itself with that of its underlying portfolio and find that the Taiwan Dividend+ ETF is more liquid than its component stocks. Overall, the results of this study suggest that the listing of ETF have a beneficial impact on the market liquidity for the underlying stocks.I. INTRODUCTION 1.1 BACKGROUND 1.2 MOTIVATION 3.3 STRUCTURE OF THE STUDY 4I. TAIWAN DIVIDEND+ ETF 5.1 TAIWAN DIVIDEND+ INDEX 6.2 CHARACTERISTICS AND OPERATIONS OF ETF 6.3 COMPARISON BETWEEN ETF AND OTHER INVESTING INSTRUMENT 10.3.1 ETF vs. Individual Stock 10.3.2 ETF vs. Mutual Fund 11.3.3 ETF vs. Close-End Fund 12II. LITERATURE REVIEW 15.1 REVIEW OF MARKET LIQUIDITY 15.1.1 What is liquidity? 15.1.2 How to measure liquidity? 18.2 LIQUIDITY EFFECTS OF BASKET TRADING 20.3 RESEARCH METHOD 24V. EMPIRICAL STUDY 26.1 DATA 27.2 EMPIRICAL RESULTS – CHANGES IN TRADING ACTIVITY 27.3 EMPIRICAL RESULTS – CHANGES IN LIQUIDITY COST 32.4 COMPARING THE LIQUIDITY OF TAIWAN DIVIDEND+ ETF WITH THAT OF THE UNDERLYING PORTFOLIO 37. CONCLUSIONS 40EFERENCES 4