臺灣博碩士論文加值系統

During the last 20 years, China fund management firms have become one of the fastest-growing forces in Asia which turn to the second-largest asset management market globally. To meet the practice, this research aims to study the competitiveness of China fund management firms in the perspectives of production and financial efficiencies. Due to the main operation of these fund management firms is trading stocks in their portfolios, their competitiveness largely depends on defining the potential stocks to hold. Fund managers normally employ fundamental or technical analysis approach to evaluate the profitability of stock before choosing it into their fund’s portfolio. Reviewing the complementary applications in creating the insight of listed stocks, this paper employs meta-frontier and group frontier of two-stage network directional distance function to measure the production and financial efficiency scores. Next, the categories of stocks for investing in priority are identified. Later then, these efficiency scores and categories that are considered as references to the fund management firms’ investment decisions could have an impact on firms’ performances. 1. The quarterly data of investment portfolio and performance of China fund management firms; 2. The quarterly data of listed firms in China stock markets extracted from the financial statements and stock market indicators. The empirical findings prove that the fundamental and technical analysis and their integration are suitable in identifying the promised future return stocks with a proposed stock selection strategy classified into Star, Cash Cow, Risky, and Dumpling categories. Furthermore, China fund management firms approve higher competitiveness if their investment portfolio contains relatively high-efficiency score stocks. In conclusion, this study has two main contributions. In terms of methodology contribution, this research first takes advantage of the meta-frontier and group frontiers of the two-stage network directional distance function in the area of the financial market to explore the integration of fundamental and technical analysis. In terms of application contribution, the proposed stock selection strategy that composes multiple preferences of stock characteristics into funds’ portfolio is firms’ competitiveness that is expected to support or orient fund managers to select stocks and to improve their performance.

ABSTRACT iii
ACKNOWLEDGEMENT v
LIST OF FIGURES viii
LIST OF TABLES ix
CHAPTER ONE INTRODUCTION - 1 -
1.1 Research Background and Motivations - 1 -
1.1.1. China Fund Management Firms - 1 -
1.1.2. China Stock Market - 2 -
1.1.3. Stock Selection - 4 -
1.2. Research Objectives and Contributions - 6 -
1.3. Research Process and Structure - 8 -
CHAPTER TWO LITERATURE REVIEW - 10 -
2.1. Theoretical foundation - 10 -
2.2. Fundamental and Technical Analysis in Stock Selection - 11 -
2.3. Researches on China Stock Market - 13 -
2.4. Data Envelopment Analysis and Stock Selection - 15 -
2.5. Hypotheses Development - 17 -
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY - 21 -
3.1. Research Design - 21 -
3.1.1. Research Framework - 21 -
3.1.2. Measures of Production Process and Financial Production Process - 21 -
3.1.3. Measures of Returns - 24 -
3.1.4. Regression models - 25 -
3.1.5. Data Collection - 27 -
3.2. The Meta-frontier and Group-frontier of Two-stage Network Directional Distance Function - 29 -
CHAPTER FOUR RESEARCH RESULTS - 34 -
4.1. Descriptive Statistics - 34 -
4.2. Performance Analysis - 45 -
4.4. Proposed Stock Selection Strategy - 48 -
4.3. Hypothesis Tests - 54 -
CHAPTER FIVE DISCUSSION AND CONCLUSION - 58 -
5.1. Conclusions and Contributions - 58 -
5.2. Discussions and Implications - 59 -
5.3. Limitations and Future Research - 59 -
REFERENCES - 61 -
APPENDICES - 74 -
A1. Data Envelopment Analysis - 74 -
A1.1 Traditional DEA - 74 -
A1.2. Network Data Envelopment Analysis - 75 -
A2. Directional Function Distance - 76 -

 

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