在2020年由於疫情(COVID-19)的爆發，導致與波動率指數(Volatility Index, VIX)相關的金融商品備受投資人的青睞，VIX ETF便是其中之一。由於ETF此金融商品具有市價與淨值兩個價格，所以當ETF市價與淨值產生偏離時，將出現溢價或折價的可能，並進而影響到ETF商品原本該有的表現，因此ETF具有申購贖回的機制為有效的控制折溢價的問題。本文所探討的VIX ETF是採用現金申贖的機制並且以期貨作為標的資產的金融商品。本文根據富邦VIX ETF的歷史資料結果得出，富邦VIX ETF具有頻繁且大幅的折溢價問題，因此本文針對三個不同市場(分別為美國、加拿大以及台灣)對VIX ETF折溢價的影響因素進行分析並對所得出結果探討其原因。研究結果發現以下幾點。首先，富邦VIX ETF相較於另外兩檔VIX ETF較高機率發生出現折溢價並且折溢價因素更多。其次，美國VIXY ETF與加拿大HUV ETF折溢價的發生與市價、S&P500指數與SPVXSP指數較有影響，與VIX期貨較無影響。而富邦VIX ETF則是都會影響。最後，研究發現 VIX期貨報酬率與VIX期貨基差變動率對VIX ETF折溢率呈現負向關係。
Due to the outbreak of the COVID-19 in 2020, financial products related to the Volatility Index (VIX) have been favored by investors, VIX ETF is one of them. ETF has two prices: market price and net asset value. When the market price of ETF deviates from the net asset value, there will be a possibility of premium or discount, which will affect the original performance of ETF commodities. Therefore, ETF has a crea-tion/redemption mechanism to effectively control the problem of discount and premium. The VIX ETF discussed in this paper is a financial product that uses a cash crea-tion/redemption and uses futures as the underlying asset. Based on the historical data of Fubon VIX ETF, this paper concludes that Fubon VIX ETF has frequent and large dis-counts and premiums. Therefore, this article focuses on the impact of three different markets (the United States, Canada, and Taiwan) on the VIX ETF discounts and premi-ums. The results of the study found the following points. First of all, Fubon VIX ETF is more frequency to have a discount and premium and more discount and premium factors than the other two VIX ETFs. Secondly, the occurrence of discounts and premiums be-tween the VIXY ETF and the HUV ETF is related to the market price, the S&P500 in-dex, and the SPVXSP index nothing to do with the net asset value. The occurrence of Fubon VIX ETF discount and premium will be affected by market price and net asset value. Finally, the study found that the VIX futures return rate and the VIX futures basis change rate have a negative relationship with the VIX ETF discount and premium rate.
