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研究生:高佩佩
研究生(外文):Arthariya Korsakul
論文名稱:Active Trading and Fund Performance in Bear and Bull Markets
論文名稱(外文):Active Trading and Fund Performance in Bear and Bull Markets
指導教授:陳俊男陳俊男引用關係
指導教授(外文):Chun-Nan Chen
口試委員:陳俊男謝劍平林軒竹李竹芬
口試委員(外文):Chun-Nan ChenJoseph C.P.-Shiehhsuanchu-LinChufen-Li
口試日期:2020-01-03
學位類別:碩士
校院名稱:國立臺灣科技大學
系所名稱:財務金融研究所
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:2020
畢業學年度:108
語文別:英文
論文頁數:45
中文關鍵詞:fund performanceturnover rateactive tradingmarket state
外文關鍵詞:fund performanceturnover rateactive tradingmarket state
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In this study, I investigate the relationship between active trading of Taiwan domestic mutual funds, as measured by buy (sell) turnover rates and fund performances under bull and bear market states. The endogeneity issue has been taken into consideration and therefore, the study employs 2SLS regression model using manager tenure as an instrumental variable. The results suggest no evidence between buy (sell) turnover rates and fund performances, implying that turnover rate is not a good determinant in explaining the effect of fund performance for Taiwan funds. The results also show the negative and significant relationship between bear market and fund performance. Thus, Taiwan funds tend to perform better during the bull market, regardless of the level of fund active trading.
In this study, I investigate the relationship between active trading of Taiwan domestic mutual funds, as measured by buy (sell) turnover rates and fund performances under bull and bear market states. The endogeneity issue has been taken into consideration and therefore, the study employs 2SLS regression model using manager tenure as an instrumental variable. The results suggest no evidence between buy (sell) turnover rates and fund performances, implying that turnover rate is not a good determinant in explaining the effect of fund performance for Taiwan funds. The results also show the negative and significant relationship between bear market and fund performance. Thus, Taiwan funds tend to perform better during the bull market, regardless of the level of fund active trading.
Table of Contents

Abstract……………………………………………………………I
Acknowledgement…………………………………………………II
Table of Contents………………………………………………III
List of Tables……………………………………………………V
List of Figures…………………………………………………VI
Chapter 1: Introduction
1.1 Background of the study……………………………………1
1.2 Taiwan mutual fund market…………………………………3
1.3 Significant of the study……………………………………7
1.4 Structure of research………………………………………7
Chapter 2: Literature Review
2.1 Active trading…………………………………………………9
2.2 Fund turnover ratio and fund performance…………………11
2.3 Fund performance and market states…………………………12
Chapter 3: Data and Methodology
3.1 Data and sources…………………………………………………15
3.2 Variables…………………………………………………………15
iv
3.3 Descriptive Statistics…………………………………………18
3.4 Classification market states…………………………………19
3.5 Method………………………………………………………………21
Chapter 4: Empirical Results
4.1 Fund Performances by Buy Turnover Rates…………………24
4.2 Fund Performances by Sell Turnover Rates…………………25
4.3 Fund performance and buy turnover rate in bear market……26
4.4 Fund performance and sell turnover rate in bear market…29
Chapter 5: Conclusion…………………………………………………32
References………………………………………………………………34
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