臺灣博碩士論文加值系統

本文使用美股恐慌指數與台股恐慌指數，探討市場上下震盪之時，對於台股基金流量之影響。研究發現，美股恐慌指數對於台股基金流量具有負向影響。此外，基金報酬率對於基金流量與流量比率幾乎都具正向影響，進一步研究發現，基金報酬率與基金流量不具非線性關係，然而，若將基金依照報酬高低分成兩組，報酬較高之組基金申購金額與贖回金額，則是顯著異於報酬較低之組。此外，我們發現基金報酬率對於基金非預期流量、非預期流量比率與非預期申購金額顯著具有正向影響，對於預期贖回金額則是具有負向影響。

CBOE’s Market Volatility Index or “VIX”, for short, which is used to measure the expected future stock market volatility, is often referred to as the “fear index.” The VIX will typically rise when the S&P500 index drops and fall when the market rises. In this paper, we study the impact of stock market volatility expectations (including VIX and TVIX) on flows of Taiwan’s Stock mutual funds. We find that aggregate net equity fund flows are negatively correlated with the volatility (VIX). Also, we find that aggregate net equity fund flows and the fund flow ratio are almost positively correlated with the fund returns. Furthermore, we find that the aggregate net flows and the fund returns do not have the nonlinear performance-flow relationship. However, we find that the purchase and the redemption both increase when the fund returns are in the upper half group. Besides, we find that the unexpected concurrent flow, flow ratio and purchase are all positively correlated with the concurrent fund returns while the expected concurrent redemption is negatively correlated with the concurrent fund returns.

中文摘要 I
Abstract II
誌謝 III
圖 目 錄 V
表 目 錄 V
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第三節 論文結構 3
第貳章 文獻探討 5
第一節 恐慌(波動率)指數介紹及編制方法 5
第二節 台股恐慌指數(TVIX) 9
第三節 美股恐慌指數與市場關係 10
第四節 恐慌指數與基金流量 10
第五節 基金流量與基金報酬率 11
第參章 研究方法 13
第一節 研究假說 13
第二節 變數定義、模型設定 15
第三節 模型檢定方法 16
第四節 樣本與資料來源 21
第肆章 實證結果與分析 23
第一節 基本敘述統計量分析 23
第二節 實證分析 25
第伍章 結論與建議 32
參考文獻 33

一、中文部分
石馥瑄，2006，台指選擇權波動率與加權股價指數報酬率之關係，國立中興大學應用數學所未出版碩士論文。
胡僑芸，2003，臺指選擇權VIX指數之編制與交易策略分析，國立中山大學財富管理研究所未出版碩士論文。
楊奕農，2009，時間序列分析：經濟與財務上之應用，雙葉書廊發行。

二、英文部分
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fund flows ? ” , Journal of Financial Economics, vol.63(3), pp.381-414.
Cashman, G., Deli, D., Nardari, F. and Villupuram, S., 2007, “Understanding the non-linear relationship between mutual fund performance and flows” , Available at SSRN 1108667.
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Ederington, L. H. and Guan W., 2010, “How asymmetric is US stock market volatility ?” , Journal of Financial Markets, vol.13(2), pp.225-248.
Ederington, L., and Golubeva E., 2011, “The Impact of Stock Market Volatility Expectations on Investor Behavior: Evidence From Aggregate Mutual Fund Flows” , Available at SSRN 1782009.
Fant, L. Franklin, 1999, “Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows” , Journal of Financial Markets, vol.2, pp.391-410.
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Sirri, E.R. and P. Tufano, 1998, “Costly search and mutual fund flows” , Journal of Finance, vol.53, pp.1589-1622.
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Whaley, R., 2008, “Understanding VIX” , Available at SSRN 1296743.
三、網路文獻
臺灣期貨交易所(Taiwan Futures Exchange, TAIFEX): http://goo.gl/usGyD
Chicago Board Options Exchange, CBOE: http://www.cboe.com/