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研究生:林金隆
研究生(外文):LIN, JIN-LUNG
論文名稱:台灣股票型基金績效持續性之研究-馬可夫移轉機率矩陣之應用
論文名稱(外文):A Study on The Performance Persistent of Taiwan Equity Funds - The Application of A Markov Transition Probability Matrix
指導教授:蔡明憲蔡明憲引用關係
指導教授(外文):Ming-Shann Tsai
口試委員:吳致寧俞淑惠
口試委員(外文):WU,JHIH-NINGYU,SHU-HUEI
口試日期:2017-05-31
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:60
中文關鍵詞:基金績效持續性四因子模型移轉機率矩陣
外文關鍵詞:Performance PersistantFour-Factor ModelTransition Probability Matrix
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本文以馬可夫移轉機率矩陣方法來檢視台灣股票型基金是否具績效持續性,該方法在研究此議題上為文獻上首見。文中以四因子模型計算台灣股票型基金的超額報酬率,研究中發現台灣股票型基金大都具有負的超額報酬率,因而其績效表現不佳。而在進一步建構基金績效表現的移轉機率矩陣後發現,評估期間呈現正的績效持續性略高於負的績效持續性,整體而言台灣股票型基金的績效持續性檢定因期間不同呈現好壞各半的情況。使用移轉機率矩陣亦可估計出投資在不同績效等級之基金的超額報酬率與風險,研究結果發現,期初操作績效好的基金,其投資後之期望超額報酬率也會比較高,故建議投資人應投資在操作績效好的基金。
Our study uses markov transition probability matrix to test performance persistence of Taiwan equity funds. We are the first to use this method in this issue. In this paper, we use four-factor model to calculate the abnormal return of Taiwan equity funds and then examine the performance of equity funds. Our results suggest that Taiwan equity funds mostly have negative abnormal return. Therefore, they are poorly performance. Besides, using transition probability matrix, we find the period of positive performance is slightly more than that of negative performance. However, they are almost the same with each other. The application of a markov transition probability matrix also can be used to calculate the expected abnormal return and the risk of mutual funds, which investing in different performance rank. The empirical results suggest that the mutual funds, which have good operational performance in the beginning period, have the higher expected abnormal return. Therefore, we advise investor to invest the funds, with good operational performance.
目錄
壹、 緒論 1
一、 研究背景 1
二、 研究動機、目的與貢獻 5
三、 研究架構 7
貳、 文獻回顧與理論介紹 9
一、 基金績效衡量 9
二、 基金績效持續性 10
三、 馬可夫鏈理論 13
參、 研究方法 21
一、 四因子模型及變數定義 21
二、 基金績效持續性之檢驗方法 25
肆、 資料及實證結果 31
一、 資料 31
二、 基金績效衡量 34
三、 基金績效持續性 39
四、 基金期望報酬率及風險之穩健性測試 47
伍、 結論與建議 53
一、 結論 53
二、 未來研究方向 54
參考文獻 56
一、 國內文獻 56
二、 國外文獻 57



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