近年來，台灣 ETF 市場快速成長，ETF 已成為投資人資產配置的重要工具。隨著產品類型日益多元，市場規模變動除反映資產價格變化外，亦可能受到投資人情緒與資金配置行為影響。過去相關研究多聚焦於股票報酬、價格波動或交易行為，較少探討其與 ETF 市場規模變動之關聯。因此，本文檢驗投資人情緒是否影響台灣 ETF 市場規模變動，並分析不同類型 ETF 對情緒變化之敏感度差異。
本文採用 2016 年 1 月至 2025 年 12 月之月資料，選取消費者信心指數（CCI）、台灣波動率指標（VIXTW）、ETF 市場交易周轉率與融券資餘額比作為情緒代理變數，並透過主成分分析法建構投資人情緒指數。實證模型首先檢驗落後一期投資人情緒指數對整體 ETF 市場規模變動率之影響，其次依 ETF 類型區分為股票型、債券型與商品型 ETF，比較其情緒敏感度差異。
實證結果顯示，第一主成分可解釋 46.68% 之總變異，且權重方向大致符合本文對投資人情緒之設定。在不分組模型中，落後一期投資人情緒指數對 ETF 市場規模變動率呈現正向但不顯著之關係，表示其對整體 ETF 市場規模變動之影響未獲得明確統計支持；相較之下，市場報酬率具有顯著正向影響。在分組模型中，投資人情緒與債券型 ETF 虛擬變數之交乘項呈現顯著正向，表示債券型 ETF 相較於股票型 ETF 對投資人情緒變化具有較高敏感度；商品型 ETF 與股票型 ETF 之間的差異則不顯著。
整體而言，投資人情緒對 ETF 市場規模之影響未必直接反映於整體市場層級，而可能透過不同 ETF 類型間之資金配置差異呈現，尤其以債券型 ETF 之異質性效果較為明顯。本文從 ETF 市場規模變動角度補充投資人情緒相關文獻。

This study examines whether investor sentiment affects changes in Taiwan’s ETF market size and whether the effect differs across ETF types. Using monthly data from January 2016 to December 2025, this study constructs an investor sentiment index through principal component analysis based on the Consumer Confidence Index (CCI), Taiwan Volatility Index (VIXTW), ETF market turnover, and the margin balance ratio.
The empirical analysis first examines the effect of lagged investor sentiment on overall ETF market size and then compares the sensitivity of equity, bond, and commodity ETFs. The results show that lagged investor sentiment has a positive but statistically insignificant effect on overall ETF market size, while market return has a significantly positive effect. In the ETF type model, bond ETFs are more sensitive to investor sentiment than equity ETFs, whereas commodity ETFs do not show a significant difference.
Overall, the findings suggest that investor sentiment may be reflected more through capital allocation across ETF types than through the aggregate ETF market. This study highlights the role of ETF type heterogeneity in understanding ETF market development.

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