交易型开放式指数基金（Exchange Traded Fund，ETF）在近几年因其具备的低成本、高流动性、投资风险分散等优势，逐渐成为资本市场中主流的投资工具之一。在中国台湾地区的资本市场中，截至2023年12月31日指数型基金ETF占整体基金规模已达60%，其中股票型ETF基金更是占到整体基金规模的25%。然而，从数据上发现虽然ETF基金的市场规模不断增加，但多数资金仍然流入少部分最知名的ETF中。且近29万条的日度数据显示，台湾地区中超过40%的ETF基金跟踪偏离度绝对值大于0.2%，而多数股票型ETF基金设立时的目标为跟踪误差的绝对值要小于0.2%。此外，在中国台湾地区的ETF交易市场中，以非台湾地区指数作为跟踪标的的跨市场型股票型ETF基金占比约为30%。因此进一步将样本区分为全样本以及跨市场型样本进行回归分析。本研究为深入研究在股票型ETF基金中，流动性因子和其跟踪误差之间的关系，以中国台湾地区股票型ETF基金作为研究标的，采用多元线性回归模型对2014年至2023年间的月度数据进行分析，并通过内生性检验和稳健性分析以强化模型准确性。经实证分析证实，本研究验证以下假设。首先，流动性较低的股票型ETF基金具有较高的跟踪误差，亦即流动性因子会对跟踪误差造成负向影响。其次，跨市场交易的股票型ETF基金流动性较差，且其跟踪误差受流动性影响更大。其中，ETF基金总费用率、基金资产规模、交易市场经济自由指数、跟踪标的指数波动率以及标的指数复制方式都是影响股票型ETF基金跟踪误差的潜在因素之一。此研究结果对于投资者在选择投资目标时具有参考价值，同时为监管机构提供管理ETF基金流动性的理论依据，并丰富了相关学术研究领域的理论框架。

In recent years, Exchange Traded Funds (ETFs) have become one of the mainstream investment tools in the capital market due to their advantages of low cost, high liquidity, and risk diversification. In the capital market of Taiwan, as of December 31, 2023, index-based ETFs accounted for 60% of the total fund size, with ETFs making up 25% of the total fund size. However, data reveals that although the market size of ETFs is continuously increasing, most of the capital still flows into a few of the most well-known ETFs, which may lead to a liquidity crisis for ETFs. Furthermore, analysis of nearly 290,000 daily observations shows that more than 40% of ETFs in Taiwan have an absolute tracking deviation greater than 0.2%, whereas most equity ETFs are set up with a target of an absolute tracking error less than 0.2%. In Taiwan‘s ETF market, about 30% of cross-market equity ETFs track non-Taiwanese indices. Therefore, this study further divides the sample into a full sample and a cross-market sample for regression analysis.This paper aims to study the relationship between the liquidity factor and tracking error in equity ETFs, using Taiwanese equity ETFs as the research subject. A multiple linear regression model is employed to analyze the impact of liquidity on tracking error, with the goal of providing theoretical reference for investors when selecting investment targets.Through empirical analysis, the following hypotheses have been confirmed. First, equity ETFs with lower liquidity exhibit higher tracking errors, indicating that the liquidity factor negatively impacts tracking error. Second, equity ETFs involved in cross-market trading have poorer liquidity, and their tracking errors are more significantly affected by liquidity. Potential factors influencing the tracking error of equity ETFs include the total expense ratio of the ETF, the size of the fund’s assets, the economic freedom index of the trading market, the volatility of the tracked index, and the method of index replication.