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研究生:楊凱婷
研究生(外文):Yang Kai Tin
論文名稱:共同基金流量與證券市場報酬率關聯性之研究
指導教授:劉美纓劉美纓引用關係
學位類別:碩士
校院名稱:東吳大學
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:2002
畢業學年度:90
語文別:中文
論文頁數:76
中文關鍵詞:基金流量Granger因果關係工具變數法證券市場
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傳統觀點認為股價指數的漲跌是根據對資產未來報酬的預期而起伏,對於資產的評價及資產報酬的風險結構隱含著市場報酬影響基金流量的單向關係,即基金流入股市乃是因為對資產的未來價值看好,基金流出股市則是因為對資產的未來價值看壞,因此分析師只需關心評估資產所依據的基本因素。然而到了1990年代,傳統的觀點卻無法解釋股票市場的飆漲,在此同時發現基金規模不斷地成長,流入共同基金的現金流量伴隨股價攀升的現象,令人開始懷疑基金規模快速成長,是造成證券價格攀升的主要原因,對國內股票市場與債券市場必然有所的衝擊。
  本研究旨在採用Edwards & Zhang (1998)所採用的方法─Granger因果關係法(Granger Causality)及工具變數法(Instrumental Variables Analysis)探討共同基金流量與證券市場報酬率間的雙向互動關係。以國內股票型、債券型基金為樣本,來驗證Warther (1995)所提出的兩個假說:1.回饋交易者假說-即市場報酬會影響共同基金流量。2.價格壓力假說-即共同基金流量會影響市場報酬。實證結果發現:只有共同基金流量會受市場報酬率影響,而市場報酬率並不受共同基金流量所影響;總體經濟變數的加入也不會影響共同基金流量與整體市場報酬間的關聯性。
Traditional view proposes that what cause stock price rises and falls depands on the future expectance of asset returns. The evaluation of assets and the risk structure of asset returns imply that market returns have one-way effect on mutual fund flows. That is flows of mutual funds into equity mutual funds are because of positive point of future value of assets and that a withdrawal of those funds is because of negative point of future value of assets. Therefore analysists only care about basic factors used to estimate assets. Traditional view can’t explain the unprecedented growth of mutual funds during 1990 and the scale of mutual funds continues growing. This has raised questions about the impact of mutual fund flows on domestic stock and bond prices.
This article investigates the interrelationship between aggregate mutual fund flows and security market returns utilizing Granger causality and instrumental variables analysis adopted by Edwards & Zhang (1998) to verify the two hypotheses: 1.feedback-trader hypothesis 2. price pressures hypothesis proposed by Wather (1995). Our empirical results evidence that flows into stock and bond funds have not affected either stock and bond returns. In contrast, returns have affected flows into stock and bond funds partially. We can’t change the interrelationship between mutual fund flows and aggregate market return even joining the aggreagte economic variables.
摘 要 I
Abstract II
目 錄 III
表 目 錄 IV
圖 目 錄 V
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究流程 7
第貳章 文獻探討 9
第參章 研究方法 19
第一節 研究對象與範圍 20
第二節 研究假說 29
第三節 Granger因果關係法 30
第四節 兩階段最小平方法 38
第四章 實證結果與分析 47
第一節 變數基本統計分析 47
第二節 Granger因果關係法實證結果 49
第三節 兩階段最小平方法實證結果 59
第五章 結論與建議 69
第一節 研究結論 69
第二節 研究限制 71
第三節 研究建議 72
參考文獻 74
一、中文部分
1.李莉(1989), “我國共同基金之發展與現況”,台灣經濟金融月刊,25 (9),頁17-27。
2.李柏毅 (2001),以個別和整體的觀點探討共同基金流量之決定因素, 高雄第一科技大學金融營運研究所未出版碩士論文。
3.林炳聰(2000),基金流量、基金績效與市場報酬之探討,高雄第一科技大學金融營運研究所未出版碩士論文。
4.林意真(1999),共同基金流量與股票市場關係之研究,高雄第一科技大學金融營運研究所未出版碩士論文。
5.Damodar Gujarati著,葉秋南譯(1988),簡易計量經濟學,臺灣銀行經濟研究室編印。
二、英文部分
1.Adler, M. and A. C. Yi (1998), “Has There Been a Fundamental Change in the Stock Market,” The Journal of Investing, 7 (1), pp. 71-76.
2.Edelen, R. M. and J. B. Warner (2001), “Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns,” Journal of Financial Economics, 59, pp. 195-220.
3.Edwards, F. R. and X. Zhang (1998), “Mutual Funds and Stock and Bond Market Stability,” Journal of Financial Service Research, 13 (3), pp. 257-282.
4.Enders, W. (1995), Applied Econometric Time Series.
5.Fleming, M. J. and E. M. Remolona (1997), “What Moves the Bond Market,” Federal Reserve Bank of New York Economic Policy Review, 3 (4), pp. 31-50.
6.Fortune, P. (1998), “Mutual Funds, Part II : Fund Flows and Security Returns,” New England Economic Review, 20, pp. 3-22.
7.Granger, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Method,” Econometrica, 37, pp. 424-438.
8.Hendricks, D., J. Patel and R. Zeckhauser (1990), “Investment Flows and Performance: Evidence from Mutual Funds, Cross-border Investments, and New Issues”.
9.Ippolito, R. A. (1992), “Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry,” Journal of Law and Economics, 35 (1), pp. 45-70.
10.Kaufman, H. (1994), “Structural Changes in the Financial Markets: Economic and Policy Significance,” Federal Reserve Bank of Kansas City Economic Review, 79 (2), pp. 5-16.
11.Leamer, E. (1986), “A Bayesian Analysis of the Determinants of Inflation,” P. A. Belsey and E. Kuh, eds., Model Reliability. Cambridge, Mass.: MIT Press, pp. 62-89.
12.Lettau, M. (1997), “Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows,” Journal of Economic Dynamic and Control, 21(7), pp. 1117-1147.
13.MacKinnon, J. G. (1991) “Critical Values for Cointegration Tests,” Chapter 13 in Long-run Economic Relationships: Readings in Cointegration, edited by R. F. Engle and C. W. J. Granger, Oxford University Press.
14.Mosebach, M and M. Najand (1999), “Are the Structural Changes in Mutual Funds Investing Driving the U.S. Stock Market to it’s Current Levels,” The Jouranl of Financial Research, 22 (3), pp. 317-329.
15.Potter, M. E. (2000), “Determinants of Aggregate Mutual Fund Flows,” The Journal of Business and Economic Studies, 6 (2), pp. 55-74.
16.Remolina, E. M., P. Kleiman, and D. Gruenstein (1997), “Market Returns and Mutual Fund Flows,” Federal Reserve Bank of New York Economic Policy Review, 3 (2), pp. 33-43.
17.Santini D. L. and J. W. Aber (1998), “Determinants of Net New Money Flows to the Equity Mutual Fund Industry,” Journal of Economics and Business, 50 (5), pp. 419-429.
18.Sirri, E. R. and P. Tufano (1993), “Buying and Selling Mutual Funds: Flows, Performance, Fees, and Services,” Working paper (Harvard Business School, Cambridge, MA).
19.Warther, V. A. (1995), “Aggregate Mutual Fund Flows and Security Returns,” Journal of Financial Economics, 39 (2), pp. 209-235.
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