Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?

This study focuses on the impact of COVID-19 pandemic investment performance and systematic risk ETFs. As a result early stages outbreak, in China was much greater than that Taiwan. Therefore, by two ETFs investing higher weighted stocks Shanghai Taiwan markets, are used to explore effect stock markets. Jensen’s alpha modified model Jensen (1968) coupled with GARCH(1,1) modify test ETF’s risk. The empirical results show ETF50 may be overestimated using alpha. According Jensen's alpha, there is no evidence abnormal returns significantly nonzero both values have not been changed event. After began, SSE50 increased, asset size funds decreased. supported significant ETF. There ETF affects events, this echoes more severe areas China.