臺灣博碩士論文加值系統

隨著金融自由化，國際化之腳步加快，面對金融投資產品愈來愈多，加上共同基金成長快速，使國人投資共同基金已蔚為風潮。一支典型的基金在投資組合中會包含多檔股票，雖然增加持有股數會帶來風險分散的好處，但增加投資組合數目過多也會導致過度多角化問題而抵消了風險分散的利益，而產生監督成本、交易成本和人力成本等過度多角化問題，影響了基金的績效。因此，投資組合的規模不能過度分散也不能過度集中，本研究探討國內股票型基金「最適」持有股數為多少才可真正有效降低投資組合的風險，並利用多元迴歸模型一階微分求取績效極大化的持有股票數目。實證結果發現，國內股票型基金以夏普指標為應變數下最適持有股數為43支股票、以詹森指標為應變數下為46支股票、以崔諾指標為應變數下為38支股票；全球型股票基金以夏普指標為應變數下最適持有股數為26支股票、以詹森指標為應變數下為30支股票；跨區域股票型基金以夏普指標為應變數下最適持有股數為40支股票、以詹森指標為應變數下為36支股票；單一國家股票型基金以夏普指標為應變數下最適持有股數為48支股票、以詹森指標為應變數下為45支股票。
整體而言，以單一國家股票型基金最適持有股數最多，再來以國內股票型基金為次之，接下來為跨區域型股票型基金，最後，以全球型基金最適持有股數為最少。最適持有股數介於30支到48支股票之間，能形成基金績效極大化的最適投資組合。

With financial liberalization and internationalization of the pace and the face of an increasing number of financial investment products, coupled with rapid growth of mutual funds, so that people invest in mutual funds has become a trend. A typical fund in the portfolio will contain many file shares, an increase in the number of shares held will bring the benefits of risk diversification, but the increase in the number of portfolio diversification over the issue too much Yekuaidaozhi offset by the interests of risk diversification, resulting monitoring costs, transaction costs and human costs of such over-diversification problems affecting the performance of the Fund. Therefore, the size of the portfolio can not be spread too thin nor too concentrated, the study of the domestic equity fund "optimal" hold Chunghwa Express Corp how many can we really reduce the risk of the portfolio, and multiple regression is used to obtain first-order differential performance maximization of the number of shares held. Empirical results indicate that the domestic stock index for the contingency fund to Sharp, the optimal number of shares held by Chunghwa Express Corp 43 to Jensen index number for the strain under the 46 stocks in order to target the strain Enoch Choi number of shares under the 38 ; Global Equity Fund Sharpe Ratio as dependent variables, the optimal stock holding Chunghwa Express Corp 26 to Jensen index number for the strain under the 30 stocks; inter-regional equity funds to Sharpe Ratio as dependent variables, the optimal holding Chunghwa Express Corp 40 stocks, with Johnson as the dependent variable index of 36 stocks lower; single country equity indices for the contingency fund to Sharp, the optimal number of shares held by Chunghwa Express Corp 48 to Jensen index number for the strain under 45 stocks.
Generally speaking, the optimal single country equity funds hold shares up, come back to the domestic equity fund was the second highest, followed by cross-regional model for the stock funds, and finally, the optimal global funds held by Chunghwa Express Corp at least. The optimal number of shares held between 30-48 between stocks, funds can be formed to maximize the performance of the optimal portfolio.

目錄
第一章 緒 論.....................................................1
第一節 研究背景.................................................1
第二節 研究動機與目的...........................................4
第三節 研究架構.................................................5
第二章 文獻探討...................................................7
第一節 共同基金概述.............................................7
第二節 最適持有股數文獻........................................10
第三節 國際投資組合風險分散文獻................................13
第三章 研究方法
第一節 資料來源................................................17
第二節 變數說明................................................18
第三節 研究設計................................................24
第四章 實證結果分析..............................................27
第一節 敘述統計................................................27
第二節 相關性分析..............................................39
第三節 多元迴歸分析............................................41
第五章 結論與建議................................................52
第一節 研究結論................................................52
第二節 研究建議................................................53
參考文獻...........................................................54
附錄一.............................................................58
附錄二.............................................................59
附錄三.............................................................60
附錄四.............................................................60

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