本研究旨在探討投資人情緒對臺灣高股息ETF報酬之影響，並依據行為財務學理論建立假說模型，從市場整體、機構投資者與散戶三層面切入，檢視不同情緒來源是否對ETF報酬具有解釋力。研究資料涵蓋2017年8月至2025年4月，共24檔於臺灣上市之高股息ETF，使用多元迴歸模型進行實證分析。情緒代理變數包括市場週轉率、臺指選擇權Put/Call未平倉比、三大法人買賣股數比、三大法人週轉率、券資餘額比與零股交易量等。實證結果顯示：
一、市場情緒越高時，高股息ETF後續報酬反而下降，呈現反向關係。
二、機構投資者情緒具顯著正向預測力，反映其資訊優勢與主導能力。
三、散戶情緒則多為反向指標，情緒過度樂觀時，高股息ETF報酬往往下滑。
此結果不僅驗證投資人情緒對高股息ETF報酬之影響，也呼應行為財務學中「非理性投資行為導致資產偏離基本面」的理論預期。
本研究之發現對投資人、資產管理機構與政策制定者皆具參考價值，提供將情緒變數納入ETF選擇與資產配置策略之實務依據，亦可作為後續探討跨市場或其他ETF類型報酬之基礎。

This study examines the relationship between investor sentiment and the returns of high-dividend yield ETFs in Taiwan, grounded in behavioral finance theories. Sentiment is analyzed from three perspectives: the overall market, institutional investors, and retail investors. Using a sample of 24 high-dividend yield ETFs listed in Taiwan from August 2017 to April 2025, the study employs multiple regression analysis. Sentiment proxies include turnover rate, put/call open interest ratio, net institutional buying/calling activity, institutional investors’ turnover rate, borrowing/financing ratio, and odd-lot trading volume. The results reveal three main findings: (1) overall market sentiment is significantly negatively correlated with ETF returns; (2) institutional sentiment has strong positive predictive power; and (3) retail sentiment tends to act as a contrarian indicator. These findings support the notion that irrational investor behavior can lead to asset mispricing, consistent with behavioral finance theory. This study provides practical implications for investors, asset managers, and policymakers by demonstrating the value of incorporating sentiment variables into ETF selection and portfolio allocation strategies.

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