近年來指數股票型基金(ETF)在台灣蓬勃發展，提供投資人除了個股以外更多投資選擇。指數股票型基金的出現促使證券市場交易更加活絡，但近來卻有研究顯示，指數股票型基金可能對個股帶來一些負面影響，甚至造成個股流動性惡化和定價效率低落的問題。因此，本文將探討當指數股票型基金持有公司股票權重增加時，是否會衝擊個股的流動性及定價效率。
本研究採用2010年至2019年台灣指數股票型基金持股資料分別與流動性不足指標、股票報酬同步性以及未來盈餘反映係數進行迴歸分析，以探討個股流動性及定價效率受影響的程度。研究顯示，指數股票型基金所有權上升時，將會導致個股的流動性下降。然而，當指數股票型基金所有權上升，個股定價效率並沒有顯著下降的情形。由此表明，台灣證券市場的個別股票會因指數股票型基金所有權上升使交易成本增加，而定價效率則較不受影響。

In recent years, ETFs have developed vigorously in Taiwan stock market, providing investors with more investment options besides individual stocks. Although ETFs make the securities market more active, the recent studies have shown that ETFs may affect the liquidity and price efficiency of underlying securities, and cause the liquidity deterioration and price inefficiency.
Therefore, the article wants to explore whether the ETF ownership increases will impact the liquidity and price efficiency of underlying securities.
The study takes Taiwan ETF funds during 2010 to 2019 as sample. By analyzing through illiquidity ratio, stock return synchronicity, and future earnings response coefficients, it provides the empirical results of the Taiwan stock market. According to the research, it shows that when the ETF ownership increases, the liquidity of underlying securities will decrease. However, the increase of ETF ownership does not lead to significant price inefficiency on underlying securities. In conclusion, the rising of ETF ownership will increase transaction cost but do not have significant effect on price efficiency.

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