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研究生:黃玲誼
研究生(外文):Huang, Lin Yi
論文名稱:共同基金流量、績效與股價指數報酬之關聯性
論文名稱(外文):A study of the relationship between mutual fund flows, performance and stock index returns
指導教授:陳達新陳達新引用關係
指導教授(外文):Chen, Da Xin
口試委員:陳達新王祝三李沃牆林建榮段昌文
口試委員(外文):Chen, Da XinWang, Zhu SanLi, Wo QiangLin, Jian RongDuan, Chang Wen
口試日期:2011-06-10
學位類別:碩士
校院名稱:國立臺北大學
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:2011
畢業學年度:99
語文別:中文
論文頁數:63
中文關鍵詞:共同基金流量回饋交易者價格壓力衝擊反應預測誤差變異數分解
外文關鍵詞:Mutual fund flowsfeedback traderprice pressureimpulse response analysisvariance decomposition
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在共同基金市場,投資人能否藉由預測未來報酬或流量之趨勢而理性選擇可獲得超額報酬的基金。Ippolito(1992)、Gruber(1996)、Goetzmann and Peles(1997)與Shu, Yeh and Yamada(2002)等文獻陸續以基金的流量作為指標來探討投資人的投資決策,故本研究以基金流量為主軸,衡量投資者之決策與基金績效、股市報酬的關係。
本研究之研究對象為國內之科技類股票型共同基金以及平衡型基金。先以單根檢定與共整合檢定決定時間序列的恆定性及長期均衡關係,再以誤差修正模型與向量自我迴歸模型(VAR)進行實證分析,最後輔以Granger因果關係增加嚴謹性。實證結果歸納如下:
(1) 科技類股股價指數報酬與科技類股基金流量之衝擊反應函數分析呈現長期正向關係,且隨著期數增加而升高,基金流量對於科技類股價指數產生衝擊時;以平衡型基金為樣本時,有一半以上的基金具有長期正向跳動效果,但趨近於0。兩類之基金績效對流量皆有正向影響但在短期內反應完畢。
(2) 在預測誤差分解中科技類股之股市報酬對於基金流量具有解釋力,支持回饋交易者假說,此結果與Fortune(1998)之研究結果相同;但平衡型基金的效果並不顯著並在短期間收斂為零。
(3) 以Granger 因果分析時發現科技類股基金之股市報酬對於基金流量具有單向關係;在平衡型基金的部分群益真善美與復華傳家兩檔基金呈現顯著單向關係,支持回饋交易者假說,另外復華傳家的基金流量對於績效有顯著單向關係。
綜合上述可發現科技類股的基金流量較平衡型基金容易受到股市報酬的影響,而正向的效果說明國內高科技類股的投資者大多為進行動能交易而非逆向操作。而共同基金的整體基金流量對於股市報酬沒有顯著影響,表示國內基金市場的法人持股比例較低,與邱顯比(2006)認為台灣基金市場還未法人化、效率化的說法一致。

In the mutual fund market, it has been widely discussed that if investors can rationally select funds of excess return by predicting future trends of returns and flows. Previous studies, Ippolito(1992),Gruber(1996),Goetzmann and Peles(1997)and Shu, Yeh and Yamada(2002), have used the fund flows to evaluate investors’ decision-making. Consequently, this study also applies the funds flows to examine the relevance among the investors’ decisions, fund performances and stock market returns.
this research targeted Open-end High-tech Funds and balance funds in Taiwan, and used Unit Root test and Co-integration to decide stationary and long-term equilibrium of the time series. Vector Autoregressive Model (VAR) and Vector Error Correlation Model(VECM) were applied to empirical analysis subsequently. Granger Causality test was also conducted to acquire robust results.
The findings of this article are concluded as follows:
1. The results of impulse response analysis show that the impact of stock market returns on High-tech fund flows has a positive relationship in long term and is rising gradually with the progressing of the time. A positive effect can be also found among fund flows and both types of funds, but it approaches to zero in the short-term
2. The result of variance decomposition shows that stock market returns have the explanatory power on fund flows variation, which supports the feedback-trader hypothesis and is consistent with Fortune (1998). But the effect of the balance funds is not positive and converges to zero in the short-term.
3. Through Granger Causality Test, there have the positive one-way relationship between Electronics index and funds flow. In terms of balance fund, Capital Balance and Fuh-Hwa Heirloom Balance Fund demonstrate the positive one-way relationship, which supports the feedback-trader hypothesis. In addition, the funds flow of Fuh-Hwa Heirloom Balance Fund has the positive one-way relationship to fund performance.
To conclude, the fund flows which impact by stock market return of Open-end High-tech Funds is more easily affected than balance funds. The positive effect indicates that the investors of Open-end High-tech Funds conduct the momentum strategy. There is no the positive effect between fund flows to stock market return of mutual funds, which shows that the domestic funds market is not efficient and stays incorporation.

中文論文提要 III
Abstract IV
目 錄 V
圖目錄 VII
表目錄 VIII
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究範圍與目的 2
第三節 論文架構 3
第二章 文獻探討 5
第一節 時間序列模型 5
第二節 基金流量與股價指數之關聯性 5
第三節 共同基金流量與績效之關係 7
第三章 研究方法 11
第一節 研究流程 11
第二節 研究對象與資料來源 12
第三節 變數定義 13
第四節 研究方法 13
第四章 實證結果與分析 21
第一節 樣本基本統計描述 21
第二節 恆定性檢定 22
第三節 最適落遲期數選取 29
第四節 共整合檢定 32
第五節 誤差修正模型之實證結果 36
第六節 衝擊反應函數分析 40
第七節 預測誤差之變異分解 45
第八節 Granger因果關係檢定 53
第五章 結論與建議 57
第一節 結論 57
第二節 研究限制與建議 58
參考文獻 59


一、中文部分
1.陳森松、黃憲章、王南喻、張華然(2007),檢視債券型基金績效與流量之動態關連-應用多元隨機波動模式,企業管理學報,74卷2期,41-65。
2.菅瑞昌、林意真(2001),共同基金流量與股票市場報酬之研究,中華管理評論,4卷2期,頁13-24。
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