臺灣博碩士論文加值系統

本研究搜集2005年至2017年5家不同基金公司投資美國股票為主動式投資樣本，被動式投資則以SPY為樣本，探討在不同VIX波動率下主動式投資與被動式投資的績效比較。在VIX波動率起伏時，主動式投資在績效表現上是否優於被動式投資，另外，除了VIX波動率之外，泰德利差是否也有相同的顯著影響。本研究以序列相關和異質性檢定以獲得最佳不偏估計式做迴歸分析。根據實證結果可歸納出以下幾個結果:
1. 經由資料統計分析，看到被動式投資ETF波動與基準指數走勢大致同步。其次以主動式投資基金與被動式投資ETF日、月報酬率比對分析看出，主動式投資的績效不比被動式投資差。
2. VIX指數對主、被動式基金報酬率差額的波動呈現負相關性。亦或反映市場恐慌帶給基金經理人操作時情緒的影響。
3. 泰德利差對主、被動式投資之報酬率差額則不存在相關性。

This study has collected 5 different fund companies investing in American stocks from 2005 to 2017 as active investing samples, while SPY used as passive investing samples. It explores the performance comparisons between active investing and passive investing under different VIX (Volatility Index). It explores whether the performance of passive investing is better than that of passive investing when the VIX (Volatility Index) fluctuates. Additionally, it explores whether the TED Spread has the same significant impact, aside from the VIX (Volatility Index) as well. In this study, the regression analysis is made by using serial correlation and detection of heterogeneity for obtaining the best unbiased estimator. According to the empirical results, the following results can be concluded:

1. Through the statistical analysis of data, it can be seen that the fluctuation of passive investing ETF (Exchange Traded Funds) roughly synchronizes with the trend of benchmark index. Secondly, it is shown that the performance of active investing is not worse than that of passive investing through the comparison and analysis of daily and monthly rate of return of active investing fund and passive investing ETF (Exchange Traded Funds);
2. There is a negative correlation between the VIX (Volatility Index) and the fluctuation of rate of return margin of the active and passive funds. It also reflects the emotional impact of panic market on fund managers’ operation.
3. There is no correlation between the TED Spread and the rate of return margin of the active and passive investing.

謝詞 I
中文摘要 II
英文摘要 III
目錄 IV
圖目錄 VI
表目錄 VII
第一章緒論 1
第一節背景與動機 1
第二節研究目的 4
第三節研究流程 5
第四節論文架構 6
第二章文獻探討 7
第一節主動式投資與被動式投資 7
第二節主動式投資、被動式投資(ETF)國內與國外相關之文獻探討 8
第三節 VIX波動率與泰德利差 12
第三章資料與研究方法 15
第一節研究資料 15
第二節偏態係數、峰態係數 20
第三節迴歸模型 20
第四節序列相關 25
第五節異質性檢定 32
第四章實證結果與分析 38
第一節敘述統計分析 38
第二節 VIX 對主、被動式投資報酬率差額之迴歸分析 42
第三節泰德利差對主、被動式投資報酬率差額之迴歸分析 45
第五章結論與建議 48
第一節結論 48
第二節後續研究之建議 49
參考文獻 52
中文部分: 52
英文部分: 53
網路部分: 55

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網路部分:
1.鉅亨網，https://www.cnyes.com/
2.谷歌，https://www.google.com.tw/
3.Bloomberg，https://www.bloomberg.com/asia
4.Stock Q，http://www.stockq.org/
5.經濟日報，https://money.udn.com/money/index
6.Fund DJ基智網-Money DJ理財網，https://www.moneydj.com/
7.嘉實資訊，https://www.sysjust.com.tw/Products/MoneyDJ.aspx