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研究生:邱明慧
研究生(外文):Chiou, Ming-Hwei
論文名稱:民國八十四年版基金改型方案實施後,封閉型基金與開放型基金之績效評估
論文名稱(外文):The evaluation of the performance of close-end and open-end mutual funds, after the implementation of close-end mutual fund opening plan of 1995 edition
指導教授:李又剛李又剛引用關係
指導教授(外文):Lee You-Kong
學位類別:碩士
校院名稱:淡江大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:1997
畢業學年度:85
語文別:中文
論文頁數:91
中文關鍵詞:共同基金績效評估
外文關鍵詞:mutual fundevaluate the performance
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本篇論文主要在探究民國八十四年版基金改型方案實施後,封閉型基
金因改型門檻降低,較之前更易面臨改型的危機,因而使得各家投信壓低淨
值的動作更為頻繁,故預期其與開放型基金,兩者皆利用每股淨值所評估的
績效可能會有所差異. 本研究使用期間報酬率,Sharpe指數,Treynor指
數及Jensen指數,以民國84年4月1日至85 年12月31日為研究期間,針對16
支股票封閉型基金與16支股票開放型基金進行績效評估. 根據本研究
的實證結果,可以歸納出下列五點結論:1.各段研究期間封閉型基金績效與
開放型基金績效均無顯著差異,顯示封閉型基金雖有改型的 危機,但開放
型基金亦有贖回的壓力,且在同一投信集團的運作之下,其期下的股票型基
金 選股方向大致相同.2.如以整體績效來作評鑑,於整體研究期間不論採
用期間報酬率,Treynor指數,甚或Jensen指 數來作比較,均發現:封閉型
基金的績效優於開放型基金.3.在整體研究期間裡,發現祇有富邦與元富兩
家投信,不論是在操作封閉型甚或開放型基金, 其期下基金績效始終會優
於大盤.4.本研究在使用Sharpe指數,Treynor指數及Jensen指數三項績效
指標評估基金績效時,發現 其實各項指標在不同的研究期間裡,皆存在著
緊密的相似性.5.在股市呈現空頭走勢時,封閉型基金與開放型基金之績效
皆遠落後於大盤;而在股市呈現 多頭行情時,開放型基金與封閉型基金之
績效超越大盤之支數,會明顯地增加.此外,在涵 蓋空頭與多頭行情裡,大
盤績效最優,而整體封閉型基金會優於開放型基金之績效.
After the implementation of close-end mutual fund opening
plan of 1995 edition, it is much easier for close-end mutual to
open than before. Therefore the investment trust companies
lower the net asset value of close-end mutual funds more
frequently. So we expect that if we use per share net asset
value of funds to evaluate the result, the performance between
close-end funds and open-end funds may be significantly
different. In our paper, we utilize period rate of
return, Sharpe index, Treynor index, and Jensen index to
evaluate the performance of 16 close-end mutual funds and 16
open-end mutual funds. The researching period begins from April
1, 1995 till December 31, 1996. The conclusions of this
paper are shown as follows: 1.There is no significant
differences between the performance of close-end mutual funds
and open-end ones during each time of period.2.During whole
study period, no matter we use period rate of return, Treynor
index, or Jensen index to compare with two types of mutual
funds, the performance of close-end mutual funds is better
than open-end mutual funds. 3.During whole study period, the
performance of close-end and open-end funds issued by Fubon
Investment Trust Corporation and Master Link Investment
Corporation is superior to the performance of the stock market.
4.We discovered that Sharpe index, Treynor index, and Jensen
index exit similarity in the emperical study. 5.In the bearish
market, the performance of close-end and open-end mutual funds
falls behind the stock market. In the bullish market, the
performance of close-end and open-end mutual funds is
gradually superior to the stock market. Besides, during the
period of the total period, the performance of the stock market
is the best, the performance of close-end mutual funds comes
second, and the performance of open-end mutual funds is the
worst.
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