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系統識別號 U0002-1106201216543500
中文論文名稱 基金特性對基金績效在不同股市波動下之非線性探討
英文論文名稱 The Nonlinear Effect of Fund Characteristics on Mutual Fund Performance under Different Stock Volatility
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 鄭伊真
研究生英文姓名 I-Chen Cheng
學號 699530050
學位類別 碩士
語文別 中文
口試日期 2012-05-07
論文頁數 67頁
口試委員 指導教授-聶建中
共同指導教授-沈中華
委員-楊敏華
委員-陳光榮
委員-林建志
中文關鍵字 基金績效  基金特性  股市波動  非線  縱橫平滑移轉迴歸模型 
英文關鍵字 Mutual Fund Performance  Fund Characteristics  Stock Volatility  Nonlinear  Panel Smooth Transition Regression Model 
學科別分類 學科別社會科學商學
中文摘要 本研究運用Gonza′lez, Teräsvirta and van Dijk(2004, 2005)發展的縱橫平滑移轉迴歸模型進行實證分析,探究基金規模、基金週轉率、基金費用率等基金特性以及股市波動幅度是否在不同的股市波動幅度下對於基金績效的影響性產生變化。
研究發現當股市跌幅超過8.1461%時,基金規模與基金績效呈現顯著正向關係,基金費用率及股市波動幅度與基金績效為顯著負相關,但基金週轉率與基金績效之間並無相關性。當股票市場跌幅小於8.1461%或是出現漲幅時,只有基金規模與基金績效呈現顯著的正向關係,基金週轉率、基金費用率及股市波動幅度皆與基金績效為顯著負相關。因此歸納出的投資策略為,無論投資大眾預期股票市場的波動幅度為何,應挑選基金規模較大且基金週轉率與基金費用率皆較低的基金作為投資標的,以增進基金績效的表現。
英文摘要 This study is to investigate the panel smooth transition effect associated with fund characteristics and mutual fund performance. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk(2004, 2005)to figure out that fund size, turnover rate, fund expense ratio and stock volatility may affect mutual fund performance under different stock volatility.
The result shows that when stock volatility falls above 8.1461 percent, there is a significant positive effect between fund size and fund performance, also fund expense ratio and stock volatility exist significant negative effect to fund performance, but fund expense ratio has no significant relationship with fund performance. When stock volatility falls below 8.1461 percent or climbs, only fund size has significant positive effect with fund performance, the others exist significant negative effect to fund performance. Consequently, investors could make decisions according to the result. No matter stock volatility climbs or falls, investors should choose funds with large size, lower turnover rate and lower fund expense ratio to increase fund performance.
論文目次 目錄

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構與流程 7
第二章 文獻探討 9
第一節 共同基金績效衡量 9
第二節 股市與基金績效相關文獻探討 15
第三節 基金規模與績效相關文獻探討 19
第四節 基金週轉率與績效相關文獻探討 22
第五節 基金費用率與績效相關文獻探討 23
第三章 研究方法 25
第一節 研究資料 25
第二節 縱橫單根檢定 34
第三節 縱橫平滑移轉迴歸模型 37
第四節 縱橫平滑移轉迴歸模型的設定 42
第四章 實證結果與分析 48
第一節 各變數之基本敘述統計分析 48
第二節 縱橫單根檢定之實證結果 49
第三節 縱橫平滑移轉迴歸模型之實證結果 50
第五章 結論與建議 56
第一節 研究結論 56
第二節 研究限制與建議 58
參考文獻 60

表目錄

表1-1-1 國內基金統計資料 2
表3-1-1 選取基金明細表 26
表3-1-2 資訊比率(Information Ratio)分類示意表 31
表4-1-1 各變數基本敘述統計量 48
表4-2-1 各變數縱橫單根檢定結果 49
表4-3-1 股市波動對基金績效之同質性檢定 50
表4-3-2 股市波動對基金績效之轉換區間個數檢定 50
表4-3-3 股市波動對基金績效之模型估計數據 51
表4-3-4 股市波動幅度對基金績效模型之影響 52

圖目錄

圖1-1-1 2000年至2011年國內股市與股票型基金績效走勢 4
圖1-3-1 研究流程圖 8
圖3-3-1 m=1的轉換模型 40
圖3-3-2 m=2的轉換模型 41
圖4-3-1 股市波動幅度對基金績效之轉換函數 55

參考文獻 一、中文文獻
王怡文,(2010),「總體經濟指標對股市及共同基金相關性之研究-以台灣股市為例」,國立高雄應用科技大學商務經營研究所碩士論文
范相鈞,(2005),「應用多重比較方法評估台灣股票市場開放式共同基金績效」,國立成功大學統計研究所碩士論文
林潔霞,(2011),「影響共同基金績效因素之研究」,國立高雄應用科技大學商務經營研究所碩士論文
洪鈞逸,(2010),「三因子及四因子資本資產定價模型之分析-台灣股票型基金之應用」,國立成功大學財務金融研究所碩士論文
郭怡青,(2011),「共同基金績效評估-擇時能力之探討」,國立高雄應用科技大學金融資訊研究所碩士論文
唐群雅,(2011),「台灣開放型股票基金績效與特性分析」,國立中正大學財務金融研究所碩士論文
陳姿縈,(2011),「共同基金績效研究 -以台灣開放式股票型基金為例」,長庚大學工商管理學研究所碩士論文
張儷馨,(2011),「基金績效實證研究及其相關特性因素之探討」,雲林科技大學財務金融研究所碩士論文
蔡幸芬,(2004),「共同基金類型與大盤指數長期關係之研究及衝擊反應」,東吳大學經濟研究所碩士論文
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