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中文論文名稱 台灣平衡型基金規模與股市、債市的非線性關係探討
英文論文名稱 A Study of Nonlinear Relationship between Open-end Balanced Mutual Funds, Equity and Bond Markets in Taiwan
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 95
學期 1
出版年 96
研究生中文姓名 黃文郁
研究生英文姓名 Wen-Yu Huang
學號 792490020
學位類別 碩士
語文別 中文
口試日期 2007-01-05
論文頁數 65頁
口試委員 指導教授-聶建中
指導教授-張倉耀
委員-許振明
委員-林建甫
委員-邱建良
中文關鍵字 非線性分析  共整合檢定  衝擊反應  因果關係  基金 
英文關鍵字 Nonlinear test  Cointegration test  Impulse response  Granger causality  fund 
學科別分類
中文摘要 自2000年以來,台灣平衡型基金已成為投資人的另一重要投資工具。本文主要探討投資國內之平衡型基金規模與股市及債市的關係。選取1996/12/31 至2006/8/31期間,平衡型基金的規模、單位數分別與股價指數、債券價格指數進行實證。研究方法利用傳統單根檢定及Breitung (2002)非線性單根檢定,測試變數是否為穩定序列;再以Johansen (1988,1990,1992,1994)最大概似估計法及Breitung (2002)非線性無母數共整檢定法,檢定變數間是否存在長期均衡關係;並運用一般化及非線性衝擊反應函數,檢定變數間的短期互動關係;變數間的領先落後關係亦分別以線性及非線性因果關係檢定來探討。實證結果發現,變數間不存在長期均衡關係,且由非線性因果關係檢定結果發現,基金規模與股價指數、債券指數間皆無因果關係,而基金單位數與股價指數、債券指數間具有雙向回饋關係。
從衝擊反應檢定結果顯示,投資人增加對平衡型基金的持有,並無推升債券價格的影響力;股市價格回跌時會使投資人短暫性增加對平衡型基金的持有,而隨著股價持續下跌,投資人反而會減少平衡基金的持有;顯示平衡基金僅是股市下跌初期時的暫時避風港。所以投信公司應在股市由高檔回跌時籌募平衡型基金,以做為投資人在股市下跌階段的另一個投資管道,並降低投信公司募集基金的難度。
英文摘要 With the fact that the fund size of Taiwan balanced funds has been increasing since 2000, balanced funds, for domestic investors, have become another important investment tool in addition to equity funds. The main investment concept of balanced funds is to dynamically adjust the investment proportion in both stocks and bonds while avoiding excessive risk in any single market. This study mainly explores the relationship between balanced funds’ size and domestic equity and bond markets. The relationship between domestic stock/bond price index and fund size and number of units of domestic open-end balanced funds respectively from 1996/12/31 to 2006/08/31 will be examined.
This study first measures the stationarity of variables with the traditional unit-root test method and non-linear unit-root test by Breitung (2002). Secondly, we examine the long-term equilibrium among variables via Maximum Likelihood Estimation by Johansen (1988,1990,1992,1994) and nonlinear nonparametric cointegration test by Breitung (2002). By exerting traditional and nonlinear impulse response function, this study also examines short-term interactive relationship among variables. The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. Our empirical results are as follow: (1) There is no a long-term equilibrium relationship among variables. (2)There is no a lead/lag relationship between fund size and stock or bond price indices in Granger Causality Test. (3) There is a two-way feedback relation between number of units of balanced funds and stock index or bond price index.
論文目次 目錄
第一章 緒論
第一節 研究動機……………………………………………………1
第二節 研究目的……………………………………………………3
第三節 研究架構……………………………………………………4
第二章 文獻探討
第一節 相關議題文獻………………………………………………7
第二節 相關研究方法文獻…………………………………………11
第三章 研究方法
第一節 單根檢定……………………………………………………13
第二節 共整合檢定…………………………………………………24
第三節 因果關係檢定………………………………………………31
第四節 衝擊反應分析………………………………………………34
第四章 實證結果與分析
第一節 資料來源與處理方法………………………………………40
第二節 原始資料概述………………………………………………42
第三節 實證結果分析………………………………………………44
第五章 結論與建議
第一節 結論…………………………………………………………57
第二節 建議…………………………………………………………58
參考文獻
國內部分 ……………………………………………………………60
國外部分 ……………………………………………………………61

表目錄
表1-1  基金數量、規模、受益人戶數與投信家數 ……………2
表4-1  樣本資料來源 ……………………………………………40
表4-2  變數敘述性統計資料 ……………………………………43
表4-3  線性單根檢定結果表 ……………………………………44
表4-4  LSIZE與LTAIEX、LBOND的Johansen共整合檢定結果表 45
表4-5  LUNITS與LTAIEX、LBOND的Johansen共整合檢定結果表 46
表4-6  變數間的線性因果關係表……………………………… 47
表4-7  非線性無母數單根檢定結果表 …………………………50
表4-8  LSIZE與LTAIEX、LBOND的Breitung共整合檢定結果表 51
表4-9  LUNITS與LTAIEX、BOND的Breitung共整合檢定結果表 51
表4-10 變數間的非線性因果關係表 ……………………………52
表4-11 各變數非線性雙向回饋因果關係表 ……………………52

圖目錄
圖1-1 實證分析流程圖……………………………………………5
圖1-2 研究流程圖…………………………………………………6
圖4-1 債券股票平衡型基金規模圖………………………………42
圖4-2 債券股票平衡型基金單位數圖……………………………42
圖4-3 加權股價指數圖……………………………………………42
圖4-4 大華公債價格指數圖………………………………………42
圖4-5 平衡基金規模與股價指數、公債指數間之一般化衝擊反應圖…48
圖4-6 平衡基金單位數與股價指數、公債指數間之一般化衝擊反應圖…49
圖4-7 基金規模對股價指數非結構化VAR衝擊反應圖 …………53
圖4-8 股價指數對基金規模非結構化VAR衝擊反應圖 …………53
圖4-9 基金規模對債券指數非結構化VAR衝擊反應圖 …………54
圖4-10 債券指數對基金規模非結構化VAR衝擊反應圖…………54
圖4-11 基金單位數對股價指數非結構化VAR衝擊反應圖………55
圖4-12 股價指數對基金單位數非結構化VAR衝擊反應圖………56
圖4-13 基金單位數對債券指數非結構化VAR衝擊反應圖………56
圖4-14 債券指數對基金單位數非結構化VAR衝擊反應圖………56
參考文獻 國內部分
1.林家榮(2004),股票型基金流量與債券型基金流量以及國內股票市場報酬三者之關聯,以TRI-GARCH模型分析,國立台北大學統計學系碩士論文
2.林穗君(2005),共同基金流量和績效關係之研究,逢甲大學財務金融學所碩士論文
3.邱顯比(1999),基金理財的六堂課,天下文化出版
4.徐毅豪(2004),共同基金流量、績效與股市報酬相關性之探討,朝陽科技大學,財務金融系碩士論文
5.郭智凱(2006),台灣股價與總體經濟變數間非線性關係探討,逢甲大學經濟學所碩士論文
6.劉議鍾(2005),國內共同基金投資人申購基金考量因素與股市報酬對基金流量影響之研究,長榮大學經營管理研究所碩士論文
7.蔡瑋哲(2005),股價與股利間的非線性探討,逢甲大學經濟學所碩士論文
8.蕭榮賢(2004),總額共同基金流量與股票報酬:群聚行為與正向操作策略之研究,雲林科技大學,財務金融系碩士論文
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