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研究生:李俊浩
研究生(外文):LI, JUN-HAO
論文名稱:共同基金擇時能力分析
論文名稱(外文):Analysis of Mutual Funds' Timing Abilities
指導教授:黃金生黃金生引用關係游清芳游清芳引用關係
指導教授(外文):HUANG, CHIN-SHENGYOU, CHUN-FAN
口試委員:林信宏胥愛琦王元章郭蘇文
口試委員(外文):LIN, SHIN-HUNGHSU, AI-CHIWANG, YUNG-JANGKUO, SU-WEN
口試日期:2020-07-22
學位類別:博士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
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:中文
論文頁數:53
中文關鍵詞:市場擇時波動性擇時流動性擇時情緒擇時共同基金
外文關鍵詞:Market TimingVolatility TimingLiquidity TimingSentiment TimingMutual Fund
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本文探討了共同基金的市場、波動性及流動性擇時能力,並擴展了共同基金的情緒擇時能力研究的新維度。本文在對市場、波動性及流動性擇時能力的研究中使用了2015-2019年的日數據,發現部分共同基金具有擇時能力。以不同投資風格來看,積極型基金具有較好的市場和流動性擇時能力,而穩健型基金具有較好的波動性擇時能力。且在下跌期間具有擇時能力的基金比例比在上漲期間具有擇時能力的基金比例更高。本文在對情緒擇時能力的研究中使用了2010-2019年的月數據,發現共同基金具有情緒擇時能力。此外,具有正向情緒擇時能力的基金比不具有情緒擇時能力的基金收益每年高2.20%,且存續時間越長的基金越容易具有情緒擇時能力。我們控制了2015年中國A股牛市和熊市的衝擊,市場、波動性及流動性擇時影響,並使用北向資金買入淨額、融資買入淨額及漲停淨量比例三種新型情緒指標進行驗證,研究結果是穩健的。
This paper examines Chinese mutual funds’ market, volatility, and liquidity timing abilities and expands a new direction for mutual funds’ sentiment timing study. Using a daily sample from 2015 to 2019 of Chinese stock markets, we find evidence that mutual funds can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. There are more funds with timing ability in the fall period than in the rise period. Using a monthly sample from 2010 to 2019 for the study of sentiment timing ability, we find strong evidence that mutual funds have sentiment ability. In addition, the funds with positive sentiment timing ability outperforms those without such by 2.20% per year, and the longer the funds survive, the more likely for them to have sentiment timing ability. Our findings remain robust even after controlling the impact of bull and bear market on China’s A-share market in 2015, market timing, volatility timing and liquidity timing, and after using three new sentiment indicators to verify the finding, the three indicators being the net buying amount of northward capital, the net buying amount of financing, and the net ratio of limit up.
摘要 i
ABSTRACT ii
目錄 iii
表目錄 v
圖目錄 vi
第壹章 緒論 1
第一節 研究背景 1
第二節 研究架構與貢獻 2
第貳章 文獻探討 4
第一節 傳統擇時能力 4
第二節 情緒擇時能力 5
第參章 數據及方法 7
第一節 中國共同基金 7
(一)市場、波動性及流動性擇時 7
(二)情緒擇時 8
第二節 研究方法 9
(一)市場、波動性及流動性擇時 9
(1)市場擇時模型 9
(2)波動性擇時模型 9
(3)流動性擇時模型 10
(二)情緒擇時 11
第肆章 實證結果 12
第一節 市場、波動性及流動性擇時 12
(一)市場、波動性及流動性擇時檢驗 12
(二)市場擇時T-M模型檢驗 13
(三)市場擇時H-M模型檢驗 15
(四)波動性擇時檢驗 16
(五)流動性擇時檢驗 18
(六)具有擇股和擇時能力基金 19
第二節 情緒擇時 20
(一) 情緒擇時檢驗 20
(二) 2015年中國A股牛市和熊市衝擊 21
(三) 市場擇時,波動性擇時及流動性擇時 22
(四) 存續時間對比 22
第伍章 進一步測試 24
第一節 市場、波動性及流動性擇時 24
第二節 情緒擇時 27
第陸章 結論與建議 30
第一節 研究結論 30
第二節 研究建議 31
參考文獻 33
附錄 37
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