臺灣博碩士論文加值系統

論文名稱：國內基金擇時及選股能力績效評估 頁數：140
--時間數列分析TF,VARMA法之應用 校系(所)
組別：淡江大學 財務金融學系 金融碩士班 A組 畢業時
間及提要別：八十六 學年度 第二學期 碩士 學位論文提要 研究
生：陳漢洋 指導教授：林景春 博士 盧陽正 博士 論
文提要內容：

傳統以最小平方法處理Herriksson and Merton (1981)模型或類似
該模型的線性程評估模型,如Treynor and Mazuy(1966), Fabozzi and
Francis (1984), Chang and Lewellen(1984),皆會面臨殘差自我相關的
問 題,此缺失將會導致績效評估結果有所誤差,所以必須以轉換函數法改
進傳統最小平方法實證分析的缺失,以求取更正確結果.
此外,本文亦利用基金持股比率資訊,對共同基金擇時能力做績效
評估,探討持股比率變動率波動性與市場報酬波動性兩者之因果性,即
兩數列的領先與落後關係(lead/lag),若X數列為Y數列之因,表示X數
列有領先Y數列之關係存在(Granger;1969).基金持股比迕變動率波動
性若領先於市場報酬波動性,則表示基金經理人能先於市場反應而調
整持股比率,則基金具有擇時能力,反之,基金不具擇時能力.由實證結
果得到以下結論:

1. 轉換函數法對封閉型基金做的績效評估中發現,13個封閉型基金中
只有群益中小型基金具有顯著選股能力,在37個開放型基金中,計有
中華龍騰等8個基金具有顯著選股能力,其餘基金則皆不具選股能
力,在擇時能力方面計有建弘雙褔等11個基金具有顯著擇時能力.
1. 因果關係檢定法對封閉型基金所作的績效評估中發現,只有中信和
信基金具有擇時能力,其餘基金則無擇時能力.在開放型基金方面計
有中華龍騰等8個基金具有顯著之擇時能力.
2. 取樣的50個國內股票型基金中,以中華龍騰基金及元富金滿意基金
在兩種方法實證下均具有顯著選股與擇時能力.
3. 本研究資料顯示,國內開放型基績效比封閉型基金績效為佳,至於其
原因為何,並不在本研究探討範圍.

Title of Thesis：The Market-timing and Selectivity Total Page
：140 Performance of Mutual Fund-Time
Series Application of
Transfer Function and VARMA

Keyword：Mutual Fund Performance, Transfer Function

VARMA, Market timing

Name of Institute：Graduate Institute of Money, Banking and
Finance, Tamkang University

Graduate date：June/1998 Degree conferred：Master

Name of student：Han-Yang Chen Advisor：Dr. Gin-Chung Lin

Dr. Yang-Cheng Lu 陳漢洋
林景春 博士 盧陽正 博士

Abstract：

Traditionally, We used Ordinary Leasted Squared (OLS)to run
Herriksson and Merton (1981) model or similar models ,such as ,
Treynor and Mazuy(1966), Fabozzi and Francis (1979),Chang
and Lewellen (1984) etc., were up against
residual autocorrellation. It would led to muuual fund
performance evaluation incorrectly , so, we must use Transfer
Function to improve traditional method. In addition, the study
use holding- stock ratio of mutual fund to evaluate market-
timing performance . Taking advantage of Causality
(Granger;1969),if series X Granger cause series Y , I meant
that series X leading series Y. This study made use of two
serieses-mutual fund holding-stock ratio and market return to
evaluate market-timing performance of mutual fund . If ,
mutual fund holding-stock ratio series leading market return
, we firmly believed the mutual fund handing good market
timing performance, conversely, it would not . The
conclusions of the study listed below:

1. In Transfer Function, only Capital Small and Medium Cap Fund
have significant selectivity in 13 closed mutual funds, and 8
mutual funds had, too , in 37 opened mutual funds . In
market-timing performance , grand total 11
opened mutual funds significant. 2. In Causality
test , only Grand Pacific Fund , have significant
market-timing performance in 13 closed mutual funds , and 8
mutual funds had ,too, in 37 opened mutual funds.
3. In 50 stock mutual funds. Only 2 mutual funds have good
market- timing and selectivity performance under
Causality test and Transfer Function test.