本論文主要收集自台灣經濟新報資料庫(TEJ)中2015年1月1日至2017年12月31日，包括台灣發行ETF報酬率、機構投資人持股比率（涵蓋：外資、自營商、投信等）、融資與融券比率、當日沖銷比率等約資料為研究對象。本論文同時使用ARCH與GARCH模型作為研究方法，藉以探討ETF在投資人進行融資與融券活動下對風險的影響的影響。實證結果支持企業的貸款成本會因為產品市場愈不具競爭性而降低實證結果支持機構投資人持股比率愈高會顯著降低ETF波動性，其次，當融資與融券比率提高時，也會顯著的加劇ETF的波動性，特別是當日沖銷比率偏高時。 This paper is mainly collected from the Taiwan Economic Times Newspaper Database (TEJ) from January 1, 2015 to December 31, 2017, including the return rate of ETF issued by Taiwan, the shareholding ratio of institutional investors (covering: foreign investment, self-employed, Investment trust, etc.), the ratio of financing and margin financing, the same day offset ratio and other information as the research object. This thesis uses both ARCH and GARCH models as research methods to explore the impact of ETFs on risk under investor financing and margin financing. Empirical Results Support for Enterprise Loan Costs Will Decrease Empirical Results Because Less-Competitive Product Markets Support institutional investors' higher shareholdings will significantly reduce ETF volatility, and secondly, as the ratio of financing and margin raising increases Exacerbate the volatility of ETFs, especially when the write-off rate is high on the day
