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系統識別號 U0002-1301200916474500
中文論文名稱 通貨膨脹對基金報酬率之關聯研究-縱橫平滑移轉門檻模型之應用
英文論文名稱 The dynamic interactive relationship between inflation and mutual fund return - approach by panel smooth transition model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 1
出版年 98
研究生中文姓名 劉蓓珊
研究生英文姓名 Pei-Shan Liu
學號 795530103
學位類別 碩士
語文別 中文
口試日期 2008-12-22
論文頁數 52頁
口試委員 指導教授-聶建中
共同指導教授-盧陽正
委員-沈中華
委員-簡明哲
委員-張志宏
中文關鍵字 縱橫平滑移轉門檻模型  基金報酬  通貨膨脹 
英文關鍵字 panel smooth transition model  mutual fund return  inflation 
學科別分類
中文摘要 本研究是運用縱橫平滑移轉門檻模型來探討通貨膨脹對於台灣市場共同基金報酬的影響。以選擇股票型基金與債券型基金兩大類型基金作為主要的研究對象,研究期間為1998年8月至2008年6月,研究方法是將消費者物價指數增長率設定為狀態變數,以縱橫平滑移轉門檻模型探討在不同的狀態下基金的報酬率與其他解釋變數(台灣股價加權指數,利率)之間的關係。
本研究實証結果顯示當消費者物價指數增長率在轉換區間內(-0.1618%∼1.616%)時,股票型基金報酬率會與消費者物價指數增長率呈現正相關,當消費者物價指數增長率超過此一區間時,股票型基金報酬率與消費者物價指數增長率所產生的連動性有減弱之情形,此時股票報酬率會與通貨膨脹率呈現負相關,但此一現象在模型中並不顯著。至於債券型基金的相關研究發現,不論消費者物價增長率為如何,利率與債券型基金報酬率都會有正相關的現象。
英文摘要 In this study, we investigate the impact of inflation to mutual fund return in Taiwan market by using panel smooth transition model. We choose two major types of mutual fund, equity fund and bond fund to be the research targets. The monthly data for the observation period are from 1998 August to 2008 June. We regard Taiwan CPI(Consumer Price Index) as the state variable and use panel smooth transition model to research the relationships of equity fund and bond fund return with the other explanatory variables (the return of Taiwan Weighted Stock Index and interest rate) within different inflation state.
The results of study show that it reveals positive correlation on the return of equity fund and CPI growth rate when CPI growth rate locates in the transition area (-0.1618%∼1.616%). The relationship will become weak gradually and change to negative correlation while CPI growth rate is higher than the transition point 1.616 but it is not very obviously in this model. Regard the relative study of bond fund, no matter what CPI growth rate is, it always shows positive correlation on bond fund return and interest rate.
論文目次 目 錄

圖目錄 II
表目錄 III
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 6
第四節 研究流程 7
第二章 文獻探討 8
第一節 資產報酬與通貨膨脹的關係 8
第二節 資產報酬與利率的關係 12
第三節 共同基金與股票報酬的關係 14
第三章 資料與研究方法 17
第一節 研究資料 17
第二節 模型設定 24
第三節 縱橫門檻平滑移轉模型 24
第四章 實證結果 32
第一節 股票型基金之實證結果 32
第二節 債券型基金-利率模型之實證結果 37
第三節 債券型基金-通貨膨脹模型之實證結果 40
第五章 結論與建議 45
第一節 結論 45
第二節 建議 47
參考文獻 48
壹、國外文獻 48
貳、國內文獻 52


圖目錄

圖3-1 m=1之轉換模型……………………………………………………………...26
圖3-2 m=2之轉換模型……………………………………………………………...27
圖4-1股票型基金報酬率模型轉換函數- 消費者物價指數增長率 ………….…34
圖4-2債券型基金報酬率(利率模型)轉換函數-消費者物價指數增長率 …….…39
圖4-3債券型基金報酬率(通膨模型)轉換函數- 消費者物價指數增長率……….43


表目錄
表3-1 各變數之敘述統計量…………………………………………………………17
表3-2股票型基金報酬率之敘述統計量…….………………………………………18
表3-3債券型基金報酬率之敘述統計量…………………………………….………22
表4-1股票型基金報酬率對消費者物價指數增長率之同質性檢定…………...…..32
表4-2股票型基金報酬率對消費者物價指數增長率之轉換區間個數檢定….……32
表4-3股票型基金報酬率模型估計結果……………………………….………...…..33
表4-4固定效果(截距項) ……………………………….………...…………………35
表4-5續股票型基金報酬率之異常報酬……………………………….………...…..36
表4-6債券型基金報酬率(利率模型)對消費者物價指數增長率之同質性檢定…...37
表4-7債券型基金報酬率(利率模型)對消費者物價指數增長率之轉換區間個
數檢定…………………………………………………………………..…..….37
表4-8債券型基金報酬率(利率模型)估計結果………………………..…..………...38
表4-9債券型基金報酬率(利率模型)之截距項………………………..…..………...40
表4-10債券型基金報酬率(通膨模型)對消費者物價指數增長率之同質性檢定.....41
表4-11債券型基金報酬率(通膨模型)對消費者物價指數增長率之轉換區間個
數檢定………………………………………………………………………….41
表4-12債券型基金報酬率(通膨模型)模型估計結果…………………..…..………..42
表4-13債券型基金報酬率(通膨模型)之截距項……….……………..…..………...44



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貳、國內文獻
王啟山(1999),「利率、匯率與股價指數之因果關係—狀態空間模型之應用」,國立中興大學企業管理學系
王瑪如(1994),「股票、債券、外匯、黃金報酬率互動關係之研究與經濟變數關係之研究」,台灣大學財務金融研究所碩士論文
徐培(1994),台灣股票報酬率與通貨膨脹的關係-代理效果假說與名目契約假說之檢定,中正大學財務金融研究所之碩士論文
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