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系統識別號 U0002-2006200814403600
中文論文名稱 基金週轉率及基金規模對基金績效之關聯性分析 -縱橫平滑移轉模型之應用
英文論文名稱 The Dynamic Interactive Relationship between Turnover Rates、Fund size and Mutual Fund Performance - Approach by Panel Smooth Transition Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 2
出版年 97
研究生中文姓名 詹雅貽
研究生英文姓名 Ya-Yi Chan
學號 695530070
學位類別 碩士
語文別 中文
口試日期 2008-06-16
論文頁數 64頁
口試委員 指導教授-聶建中
共同指導教授-唐代彪
委員-林建甫
委員-張倉耀
委員-盧陽正
中文關鍵字 基金週轉率  基金規模  基金績效  平滑移轉回歸模型  非線性 
英文關鍵字 Turnover Rate  fund size  Mutual Fund Performance  Panel Smooth Transition Regression Model  Non-linear 
學科別分類 學科別社會科學商學
中文摘要 本研究探討我國國內開放型基金基金週轉率與基金規模對基金績效之縱橫平滑移轉效果,運用Gorzaíez,Teräsvirta and Dijk (2004,2005)之縱橫平滑移轉迴歸模型,臆測基金規模與基金週轉率對基金績效是否存在縱橫平滑移轉效果。並進一步對基金績效受解釋變數之影響進行評估與衡量。實證結果發現,基金規模對基金績效間之縱橫平滑移轉模型,在基金規模為4億7千萬和4億7千6百萬元時發生結構性變化,轉換速度為7.0579及167.1998,使得模型在轉換門檻值附近形成平滑與跳躍的轉換過程。此外,基金週轉率率和基金績效間之縱橫平滑移轉模型,在資金週轉率率為15.9642%時發生結構性變化,但因轉換速度高達50.1666,使得模型在轉換門檻值附近形 成一結構性改變的跳躍式模型。解釋變數對基金績效之影響方面,無論基金週轉率的高低或是在大規模基金下(基金規模大於4億7千萬元以上),提升基金淨值或降低基金費用率,可創造較佳的基金績效表現。本研究建議,當民生痛苦指數高漲時,投資大規模基金,可獲得較佳之基金績效。
英文摘要 In this paper, we examine the asymmetrical nonlinear relationships, this paper employs the Panel Smooth Transition Regression Model (PSTR) technique developed by Gorzaíez,Teräsvirta and Dijk (2004,2005).We assume fund turnover rate and fund size for transition variable in this model to investigate the smooth transition threshold effect between fund turnover rate、fund size and fund performance.
The results as follow: First, panel smooth transition regression model between fund turnover rate and fund performance jumps abruptly at 15.9642%, because the transition speed is up to 50.1666, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between fund size and fund performance produces a smooth transition at (thousands), because the transition speeds are 7.0579and 167.19981 that make the model form smooth transfer and jump process close to transition threshold value. Third, no matter fund turnover rate is high or low or fund with large size, decreasing fund fee ratio and increasing net fund value are better influences of fund performance. Forth, This research suggests that when misery index is high to invest large fund size will get better fund performance.
論文目次 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 6
第四節 研究架構與流程 7
第二章 文獻探討 9
第一節 共同基金績效評估指標 9
第二節 基金週轉率與基金績效之文獻探討 13
第三節 基金規模與基金績效之文獻探討 16
第四節 解釋變數相關文獻探討 17
第三章 研究方法 19
第一節 研究資料 19
第二節 縱橫單根檢定 20
第三節 縱橫平滑移轉迴歸模型 22
第四節 縱橫平滑移轉迴歸模型之設定 26
第四章 資料來源與變數定義 31
第一節 樣本選取及資料期間 31
第二節 資料來源及樣本出處 33
第三節 變數定義 33
第五章 實證結果 38
第一節 各變數之基本統計分析 38
第二節 縱橫單根檢定之實證結果 39
第三節 縱橫平滑移轉模型之實證結果 40
第六章 結論與建議 55
第一節 研究結論 55
第二節 研究限制與建議 56
參考文獻 58

表 次
表5-1-1 各變數之基本統計量 39
表5-2-1 基金之縱橫單根檢定 40
表5-3-1 基金規模對基金績效之同質性檢定 41
表5-3-2 基金規模對基金績效之模型檢定 42
表5-3-3 基金規模對基金績效之轉換區間個數檢定 42
表5-3-4 基金規模對基金績效模型估計結果 43
表5-3-5 基金規模對基金績效模型中解釋變數之影響 43
表5-3-6 基金週轉率對基金績效之同質性檢定 47
表5-3-7 基金週轉率對基金績效之模型檢定 47
表5-3-8 基金週轉率對基金績效之轉換區間個數檢定 47
表5-3-9 基金週轉率對基金績效模型估計結果 48
表5-3-10 基金週轉率對基金績效模型中解釋變數之影響 48
表5-4-1 移轉變數對基金績效之影響 51

圖 次
圖1-1  本研究之研究流程圖 8
圖3-3-1 M=1之轉換模型 25
圖3-3-2 M=2之轉換模型 26
圖5-3-1 基金規模對基金績效之轉換函數 45
圖5-3-2 基金週轉率對基金績效之轉換函數 50
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