臺灣博碩士論文加值系統

國內近十年來的資本市場不斷地蓬勃發展，以一般投資大眾耳熟能詳的投資理財工具---股票來說，84年的年總成交值為10.15兆元，到了86年的總成交值更高達37.24兆元，顯而得知，股票乃國人最喜愛的投資工具之一，但現階段的股票是易賠難賺，資金便漸漸地轉向其他較安全的理財工具。國內債券型基金的發展比其他型式之共同基金較晚，然而在投資人對投資工具的認識及稅負上的考量，再加上股市近年來不穩定的表現，使得投資人轉而注意到債券型基金的重要性；而各投信機構為增進其基金之總規模，亦不斷地推出債券型基金，使得債券型基金在近年來能夠快速的成長,而日漸成為國內重要的投資工具之一。
國內目前探討共同基金的相關論文很多，但大多侷限於「股票型基金」，以債券型基金為主體對象的研究相當缺乏。而近幾年來債券型基金在國內快速的成長，但其規模與所佔的比例相較於國際資本市場上(如美國、日本、歐洲)均少了許多，因此推論債券型基金在國內仍有很大的成長空間。債券型基金是由受過專業訓練的基金經理人，針對總體的金融環境、產業以及公司進行分析，在兼顧預期報酬率及風險的前題下，將所管理的資產用適當的投資組合配置於各種不同收益率、不同到期日的各式債券，因此債券型基金應該是具有專業管理與分散風險的特點。
本研究針對國內債券型基金做整體的績效評估，並且提出三項假說，採用月報酬率及Sharpe指標做評估，以tD檢定債券型基金投資報酬率是否優於市場投資組合報酬率，以Spearman相關係數檢定債券型基金的投資績效其前後期是否具有持續性，以t檢定有買回期限限制與無買回期限限制之債券型基金績效是否具有差異性。
經由實證結果發現：
1. 債券型基金的投資報酬率與市場投資組合報酬率無差異。
2. 債券型基金的績效其前後期不具有持續性。
3. 有買回期限限制與無買回期限限制的債券型基金之投資績效有差異。

The capital market of Taiwan is continuously and prosperously growing. Let us talk about the stock, the well-known investment portfolio by the public, for example; the total amount of stock exchange is 10.15 trillion NT dollars in 1995, 37.24 trillion NT dollars in 1997. Apparently, stock is one of the most favorable investment tools by our people. Whereas, it is easy to lose than to win when dabble in stock. Thus capital is gradually transferring to the other safer investment portfolios. The development of domestic bond fund comes later than the other mutual funds. Nevertheless, after the acknowledge of investment portfolios and evaluation of taxes, plus the instability of stock market these years, investors turn their attention to the importance of bond fund. In the meanwhile, every investment and trust organization constantly promotes bond fund in order to increase the total scale of its own fund. Both factors make the bond fund increase rapidly and become one of the domestic important investment tools.
There are many domestic related probing into mutual funds. However, most of them are focusing on the research of stock fund, scarcely on the subject of bond fund. The scale of local bond fund is increasing these years, but it is still relatively small comparing to that of the global capital market, such as U.S.A., Japan and Europe. We can therefore conclude that there are still many large rooms for the bond fund to grow here in Taiwan. Bond fund is running and conducting by special trained fund manager, who appropriates the assets under his management to different kinds of invest return ratio and different matured bonds with proper investment portfolio, by analyzing macro financial environment, industries and companies under the prerequisites of taking care of both estimated investment return ratio and risk. So, the bond fund has the features of expertise management and diversified risk.
This research pinpoints domestic bond fund for a total performance evaluation, presents three hypotheses with monthly investment return ratio and Sharpe guidepost, evaluates bond fund investment return ratio with tD to see whether it is better than that of market investment portfolio, uses Spearman relative coefficient to judge whether the bond fund has continuation in performance comparing its performance between previous and later period, uses t to evaluate the differences between the bond fund with and without redemption restrictions.
After actual field tests, we find out the following result:
1.There is no difference between the investment return ratio of bond fund and that of market investment portfolio.
2.The performance of previous period and later period of bond fund does not have a nature of consistency.
3.There are some difference in investment performance between the bond fund with and without redemption period restriction.

一、緒論
1.1 研究背景  1
1.2 研究動機  3
1.3 研究目的  5
1.4 研究範圍  6
1.4.1 研究對象 6
1.4.2研究期間 6
1.5 研究架構  7
二、基本理論與文獻
2.1 債券型基金簡介 10
2.1.1債券型基金的特性  11
2.1.2債券型基金與其他投資工具之比較  12
2.1.3 共同基金之類型  14
2.2 台灣債券市場的沿革  16
2.2.1債券的特性 18
2.2.2我國債券市場的現況 18
2.3 國內實證研究  20
2.4 國外實證研究  28
三、研究設計
3.1 資料蒐集及處理  35
3.1.3 資料蒐集  35
3.1.2 研究樣本  35
3.2 變數操作性定義  39
3.2.1 報酬率的操作性定義 39
3.2.2風險的操作性定義  42
3.3 研究假說  43
3.4 研究方法  45
3.4.1 債券型績效評估  45
3.4.2 檢定統計方法  46
四、實證結果
4.1 債券型基金整體績效評估  48
4.1.1債券型基金月報酬率平均值  48
4.1.2 債券型基金Sharpe 績效指標  52
4.2 債券型基金分期績效評估  57
4.2.1 前期債券型基金月報酬率平均值  57
4.2.2 前期債券型基金Sharpe指標  58
4.2.3 後期債券型基金月報酬率平均值  59
4.2.4 後期債券型基金Sharpe指標 60
4.3 債券型基金相關假說檢定  62
4.3.1 假說一：債券型基金的投資報酬率與的市場投資
組合報酬率無差異  62
4.3.2 假說二：債券型基金的投資績效前後期不具有持續性現象  65
4.3.3 假說三：有買回期限限制與無買回期限限制的
債券型基金之投資績效無差異  67
五、結論與建議
5.1 結論  71
5.1.1 債券型基金之整體績效評估  71
5.1.2 債券型基金之分期績效評估  73
5.2 債券型基金相關假說檢定  76
5.3 稅負政策之變數對債券型基金的影響  79
5.4 對後續研究者的建議  80
附錄一 國內基金績效評估－共同基金評比表  89
參考文獻
表 目 錄
頁次
表1-1國內債券型基金類別表  4
表2-1 債券型基金與其他投資工具之比較表 13
表2-2 共同基金分類表 15
表2-3 債券課徵稅賦表 17
表2-4 我國歷年來資本市場債券證券成交量統計表 19
表2-5 國內共同基金績效實證結果研究彙總表 23
表2-6 國外共同基金實證研究彙總表 33
表3-1 債券型基金樣本資料表 37
表3-2 台灣地區86年6月至87年11月資本市場債券與股票成
交量統計表 41
表4-1 債券型基金月報酬率平均值績效排名表 51
表4-2 債券型基金Sharpe績效排名表 55
表4-3 前期債券型基金月報酬率平均值績效表 58
表4-4 前期債券型基金Sharpe指標績效表 59
表4-5 後期債券型基金月報酬率平均值績效表 60
表4-6 後期債券型基金Sharpe指標績效表 61
表4-7 債券型基金與風險調整後市場投資組合報酬率（月報酬率）
tD值及P值表  63
表4-8 前後期債券型基金月報酬率平均值排名表 65
表4-9 前後期債券型基金月報酬率平均值Spearman相關係數表 66
表4-10 前後期債券型基金Sharpe指標績效排名表  66
表4-11 前後期債券型基金Sharpe指標Spearman相關係數表 67
表4-12 無買回期限限制債券型基金階層分群法分類表 69
表4-13 有買回期限限制債券型基金與「優良」群基金的
月報酬率t檢定表 70
表5-1 債券型基金月報酬率平均值與Sharp績效指標排名彙整表 72
表5-2 前後期債券型基金月報酬率平均值排名表74
表5-3 前後期債券型Sharpe指標績效排名表 75
圖 目 錄
頁次
圖1-1 研究架構圖  8
圖1-2 不同類型證券的風險與預期報酬率關係圖 10
圖2-1 台灣地區歷年資本市場結構圖 19
圖2-2 Treynor績效指標圖 28
圖2-3 Sharpe績效指標圖 29
圖4-1 債券型基金月報酬率平均值績效圖 49
圖4-2 債券型基金Sharpe績效指標圖 53
圖4-3 前期債券型基金月報酬率平均值績效圖 57
圖4-4 前期債券型基金Sharpe指標績效圖 58
圖4-5 後期債券型基金月報酬率平均值績效圖 59
圖4-6 前期債券型基金Sharpe指標績效圖 60
圖4-7 階層分群法冰柱圖 70
圖5-1 86年6月至87年11月國內股價指數走勢圖76
圖5-2 近年來債券附買回交易金額統計圖  79
圖Ⅰ-1 共同基金評比表下載檔案圖 82

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