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系統識別號 U0002-2406201115395600
中文論文名稱 海外基金淨值受匯率波動影響之非線性影響探討—股票型 vs. 債券型
英文論文名稱 Study on the Nonlinear Effect of Exchange Rate Volatility on the NAV of Oversea Investment Funds – Stock Fund vs. Bond Fund
校院名稱 淡江大學
系所名稱(中) 全球華商經營管理數位學習碩士在職專班
系所名稱(英) E-Learning Executive Master's Program of Business Administration (EMBA) in Global Chinese Management
學年度 99
學期 2
出版年 100
研究生中文姓名 張美琪
研究生英文姓名 Mei-Chi Chang
學號 798670633
學位類別 碩士
語文別 中文
口試日期 2011-05-23
論文頁數 42頁
口試委員 指導教授-聶建中
共同指導教授-謝劍平
委員-謝邦昌
委員-盧信昌
委員-林景春
中文關鍵字 海外基金  淨值  匯率波動  縱橫平滑移轉 
英文關鍵字 Oversea Investment Funds  NAV  Exchange Rate Volatility  Panel Smooth Transition 
學科別分類
中文摘要 本研究運用縱橫平滑移轉迴歸模型,分別針對海外股票型基金及海外債券型基金,自非線性角度出發,探討各類型海外基金淨值受匯率波動之影響。研究變數除了被解釋變數的海外基金淨值及作為平滑移轉變數的匯率波動外,另包括基金淨值、基金規模、受益人數、申購金額、買回金額等研究變數,作為影響海外基金淨值之可能影響因素的解釋變數,來進行本研究之實證及分析。
先自單根實證結果推論,本研究所考量的所有研究變數(基金淨值、基金規模、受益人數、申購金額、買回金額與匯率)均為屬於I(0)的時間數列資料。線性檢定之結果,發現匯率對股票型基金淨值的影響存在一個結構性變化,而模型設定為m=1且r=1之縱橫平滑移轉模型;至於匯率對債券型基金影響之模型設定則為m=2且r=1之縱橫平滑移轉模型。
縱橫平滑移轉模型之參數估計研究顯示,匯率對股票型基金淨值的影響檢定,當匯率小於門檻值時,股票型基金規模越大、受益人數越少、申購金額越多與買回金額越多會使基金淨值提高,但是當匯率大於門檻值時,股票型基金規模越大、受益人數越少、申購金額越少與買回金額越小會使基金淨值提高。此研究結果意涵當匯率小於門檻值時,投資人選取基金時,應選擇基金規模大、受益人數少及基金流動率高的股票型基金為投資標的,當匯率大於門檻值時,投資人選取基金時,應選擇基金規模大、受益人數少、基金流動率低的股票型基金為投資標的。另外,在匯率對債券型基金淨值的影響測試結果發現,當匯率小於門檻值時,債券型基金規模越大、受益人數越多、申購金額越少與買回金額越多會使基金淨值提高,但是當匯率大於門檻值時,債券型基金規模越大、受益人數越多、申購金額越少與買回金額越小會使基金淨值提高。此研究結果意涵當匯率處於門檻值附近時,投資人選取基金時,應選擇基金規模大、受益人數多的債券型基金為投資標的,當匯率遠離門檻值時,投資人選取基金時,應選擇基金規模大、受益人數多、基金流動率低的債券型基金為投資標的。
本研究結果,可供作日後投資人基金選取與操作策略的一個參考依據。
英文摘要 This study applies panel smooth transition regression model to investigate the effect of exchange rate variation on the net asset values (NAV) of two kinds of oversea fund, stock and bond, respectively. The variables used in our empirical analysis include not only the explained variable of NAV of oversea funds and the smooth transition variable of exchange rate variance, but the explanatory variables of fund size, number of beneficiary, dollar amount of buying and dollar amount of selling as the control variables considered in this research.
We first conclude from the empirical result that all the variables considered in our research are I(0) stationary series. Besides, the linear test and model specification for oversea stock and bond funds are specified as m=1 and r=1 and m=2 and r=1, respectively.
The parameter estimation of panel smooth transition model shows that when the exchange rate level is well below the threshold value, oversea stock fund is positively affected by fund size, dollar amount of buying and dollar amount of selling and negatively affected by the number of beneficiary. However, when the exchange rate level is above the threshold value, oversea stock fund is positively affected by fund size only and negatively affected by the number of beneficiary, dollar amount of buying and dollar amount of selling. The finding offers some suggestions to investors that setting up the investment strategies as buying oversea stock fund with larger fund size, less number of beneficiary or more liquidity under the lower exchange rate regime. On the other hand, investors should buy the oversea stock fund with larger fund size, less number of beneficiary or less liquidity under the higher exchange rate regime
Nonetheless, regarding to the oversea bond fund, the testing result shows it is positively affected by fund size, the number of beneficiary and dollar amount of selling and negatively affected by dollar amount of buying when exchange rate level is around the threshold value. However, when the exchange rate level is away from it’s threshold value, oversea bond fund is positively affected by fund size, the number of beneficiary and negatively affected by dollar amount of buying and dollar amount of selling. This implies that investors should buy oversea bond fund with larger fund size and higher number of beneficiary when exchange rate level is around the threshold value. When exchange rate level is away from the threshold value, investors should buy bond fund with larger fund size, higher number of beneficiary or less liquidity.
We believe that the result of this study can be used as the bench mark for future investment strategy.
論文目次 謝 辭 I
摘 要 II
Abstract III
目 錄 V
表目錄 VII
圖目錄 VIII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 文獻探討 6
第一節 基金績效之相關研究 6
第二節 基金淨值與基金規模之關係 8
第三節 基金淨值與月申購金額及月買回金額之關係 9
第四節 基金淨值受匯率波動影響之研究 10
第三章 研究方法 11
第一節 縱橫單根檢定 11
第二節 縱橫平滑移轉迴歸模型 13
第三節 縱橫平滑移轉迴歸模型之設定 17
第四章 實證結果與分析 23
第一節 資料來源與分析 23
第二節 單根檢定結果 24
第三節 線性檢定 26
第四節 縱橫平滑移轉模型之參數估計與檢定 29
第五章 結論與建議 35
第一節 結論 35
第二節 建議 36
參考文獻 38
一、國內文獻 38
二、國外文獻 39

表目錄
表 4-1 各變數原始序列之單根檢定 24
表 4-2 匯率對股票型基金淨值轉換區間同質性檢定 27
表 4-3 匯率對股票型基金淨值轉換區間個數檢定 27
表 4-4 匯率對債券型基金之轉換區間同質性檢定 28
表 4-5 匯率對債券型基金之轉換區間個數檢定 28
表 4-6 匯率對股票型基金淨值之模型估計結果 30
表 4-7 匯率對股票型基金淨值模型中解釋變數之影響 31
表 4-8 匯率對債券型基金淨值之模型估計結果 33
表 4-9 匯率對債券型基金淨值解釋變數之影響 34

圖目錄
圖1-1 研究流程圖 5
圖3-1 m = 1之轉換模型圖 16
圖3-2 m = 2之轉換模型圖 17
圖4-1 匯率對股票型基金淨值之轉換函數 31
圖4-2 匯率對債券型基金淨值之轉換函數 34

參考文獻 一、國內文獻
陳光華 (2009),「國內投資人選擇海外基金之決策因素-以大台北地區為例」,國立交通大學經營管理研究所。
陳信憲、曾詩萍(2009)「基金特性及多角化對基金績效之研究」,臺灣銀行季刊第六十卷第四期。
陳森松、黃憲彰、王南喻與張華然(2007)「檢視債券型基金績效與流量之動態關連-應用多元隨機波動模式」,企業管理學報74期,頁41-65。
張麗娟、黃佩君(2009)「共同基金橫斷面及縱斷面績效之研究」,臺灣銀行季刊第六十一卷第四期。
董澍琦 (2009),「國內投信發行海外基金與相同投資區域境外基金之績效研究」,國立中興大學高階經理人碩士在職專班。
劉軒安 (2004),「台灣發行國際型基金績效評估之研究」,國立中央大學財務金融研究所。
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