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研究生:李思遠
研究生(外文):Lee, SzuYuan
論文名稱:共同基金流量的周期性效果:以台灣開放式股票型基金為例
論文名稱(外文):The seasonality of mutual fund cash flows: Evidence from Taiwan open-end equity funds
指導教授:陳達新陳達新引用關係
指導教授(外文):Chen, DarHsin
口試委員:周恆志、黃宜侯、陳達新、林建榮
口試日期:2012-05-27
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:58
中文關鍵詞:基金流量、周期性效果、元月效應、春節效應、稅賦損失假說
外文關鍵詞:mutual fund、cash flows、taxes、EGARCH、asymmetry
相關次數:
  • 被引用被引用:1
  • 點閱點閱:397
  • 評分評分:
  • 下載下載:24
  • 收藏至我的研究室書目清單書目收藏:1
本文主要內容為找尋一年之中有哪些月份會發生異常基金交易流量,並且研究是否這些異常流量具有周期性,即這些情形是否普遍存在每個年度裡,並探討可能造成此情形之原因
The purpose of this article is to find out in which month the seasonality of mutual funds may be exist, and whether it happens every single year. This study examines the seasonal pattern in net flows to Taiwan equity funds over ten-year period, beginning in January 2002 through December 2011, and the sample is based on mutual fund database compiled by Taiwan Economic Journal.
目 錄
中文論文提要 I
英文論文摘要 II
目 錄 III
圖 次 VI
表 次 VII
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究流程 5
第二章 相關文獻探討 6
第一節 基金績效的持續性 6
第二節 基金績效與流量之關係 7
第三節 稅務對於基金流量的影響 9
第四節 規模效應 12
第五節 元月效應 13
第三章 資料與研究方法 15
第一節 資料來源 15
第二節 研究架構 16
第三節 研究假說 17
第四章 實證結果與分析 21
第一節 資料分析 21
第二節 年轉換與季節轉換分析 26
第三節 ARCH效果檢定 28
第四節 EGARCH模型之估計與分析 31
第五章 結論與建議 36
第一節 結論 36
第二節 研究建議 37
參考文獻 38
一、 中文文獻 38
二、 英文文獻 41
附錄:境內基金統計資料 47

參考文獻
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