本研究主要探討新興市場與成熟市場中，其ETF在各國當地的證券交易所交易，以及在美國的證券交易所交易時，其價格發現與訊息傳遞的過程。南非、墨西哥、中國、台灣這4個國家作為新興市場的代表，另外選取加拿大、日本、英國及瑞典這4個國家作為成熟市場的代表。研究方法包含單根檢定、向量自我迴歸模型檢定(VAR)、Granger 因果關係檢定、衝擊反應分析、共整合檢定以及向量誤差修正模型檢定(VECM)。實證期間從2008年7月1日到2012年12月31日。
在向量自我迴歸模型下，發現短期關係中，不論是成熟市場國家或是新興市場國家，在美國交易的各國ETF都較各國在國內交易的ETF訊息傳遞速度快。在Granger因果關係檢定中發現南非、日本、中國與英國呈現單向領先的關係，在美國交易的ETF會Granger影響在當地交易的ETF，加拿大、墨西哥、瑞典及台灣呈現雙向領先的因果關係。在衝擊反應分析中，日本、瑞典、台灣不管衝擊反應來自當地或美國，在美國交易的ETF與在當地交易的ETF訊息傳遞的速度一樣快；加拿大、墨西哥不管衝擊反應來自當地或美國，在美國交易的ETF較在當地交易的ETF訊息傳遞速度快；而南非、中國、英國則是衝擊反應來自不同市場時，兩邊的ETF訊息傳遞的速度不一樣。
在向量誤差修正模型下，發現長期關係中，在新興市場國家，當地交易的ETF價格會領先在美國交易的ETF價格；在成熟市場國家，在美國交易的ETF價格會領先當地交易的ETF價格。

This study investigates price discovery and information transformation of ETFs between emerging markets and mature markets. South Africa, Mexico, China and Taiwan are representative of emerging markets. Canada, Japan, United Kingdom and Sweden are representative of mature markets. We use unit root test, vector autoregression modal (VAR), Granger causality test, impulse response function, cointegration test and vector error correction modal (VECM) as methodology. The study period covers four and half year form July 1st 2008 to December 31 2012.
Under VAR modal, ETFs which is traded in US leads ETFs which is traded in domestic country in the short run. By applying to Granger causality test, the interrelationship between ETFs which is traded in US and which is traded in domestic country is bi-directional in Canada, Mexico, Sweden and Taiwan. However the interrelationship between ETFs which is traded in US and which is traded in domestic country is unidirectional in South Africa, Japan, China and United Kingdom.
No matter where the impulse response come from, the information transformation is the same in Japan, Sweden and Taiwan. However, no matter where the impulse response come from, the information transformation is better in US than in domestic country in the case of South Mexico and Canada.
In emerging (mature) market, the tendency to correct disequilibrium situation depends on ETFs which is traded in domestic country (US).

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