臺灣博碩士論文加值系統

本文探討共同基金在亞洲金融風暴中的角色。我們由馬來西亞、泰國、印尼、新加坡、菲律賓、韓國、香港等七個地區之資金流量資料與股匯市變化的分析中發現：（一）股價及外資流出多領先風暴發生之時點。（二）外資淨流量只佔當地股市成交量或市值的一小部份，不太可能是造成亞洲金融風暴的主因。（三）風暴後外資淨流量之幅度縮小，外資對亞洲投資變得十分謹慎。（四）外資淨流量與當地股市報酬率之相關正負不一，難以斷定在金融風暴前後到底是外資或本地人具資訊優勢。此外我們亦探討23支封閉型國家基金淨值與市價在金融風暴前後之交互作用。首先，在基金淨值與市價因果關係方面，我們發現半數基金美國的市價對於亞洲的基金淨值並不存在顯著的影響關係，但全部的亞洲基金淨值對於美國市價卻存在顯著的因果影響因素。在VAR模型分析方面，實證結果顯示在亞洲金融風暴前後，淨值報酬率的衝擊對於市價報酬率的影響，以第一期最大（正向）。市價報酬率數列的變異數，在第一期即被淨值報酬率解釋高達33.8%，之後所增加的解釋比率皆有限。

This paper explores the behavior of institutional investors during the Asian Financial Crisis. We examined the relations between foreign portfolio investment fund flows and movements in the foreign exchange and stock markets of host countries and found that foreign fund flows are hardly the decisive cause of the crisis. In addition, we utilized the Granger causality test for the NAVs and share prices of 23 closed-end country funds which invest in crisis-affected Asian countries and established a vector autoregressive (VAR) model to analyze the impulse-response effect. Based on our model, fund NAVs significantly influence the share prices in the U.S., but the opposite doesn''t hold. Besides, over 30% of the variance of share price returns is explained by NAV returns lagging one period.

目 錄
表 次 ix
圖 次 x
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 研究架構 5
第二章 文獻探討 7
第一節 基金市場效率性之研究 7
第二節 機構投資人對股匯市之影響 11
第三節 政府管制措施之探討 13
第三章 研究方法 15
第一節 資料來源 15
第二節 探索式研究 16
第三節 計量分析 16
第四章 實證結果分析 21
第一節 資金流量與股匯市關係之探索 21
第二節 計量分析結果 39
第五章 結論與建議 55
參考文獻 57
附 錄 61

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