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系統識別號 U0002-3007201308505500
中文論文名稱 基金特性對基金規模在不同基金經理人費用變化下之非線性探討
英文論文名稱 The Nonlinear Effect of Fund Characteristics on Mutual Fund Size under Different Fund Manager’s Fee
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 101
學期 2
出版年 102
研究生中文姓名 陳景棋
研究生英文姓名 Ching-Chi Chen
學號 700530065
學位類別 碩士
語文別 中文
口試日期 2013-06-21
論文頁數 46頁
口試委員 指導教授-聶建中
指導教授-陳達新
委員-謝劍平
委員-莊孟翰
委員-聶建中
中文關鍵字 基金經理人費用  基金規模  基金特性  非線性  緃橫平滑移轉模型 
英文關鍵字 Fund Manager’s Fee  Fund Size  Fund Characteristics  Nonlinear  Panel Smooth Transition Regression 
學科別分類
中文摘要 本研究運用Gonza′lez,Teräsvirta and van Dijk(2004, 2005)發展的緃橫平滑移轉迴歸模型進行實證分析,探究資訊比率、基金淨值、基金週轉率等基金特性是否在不同基金經理人費用變化下對基金規模的影響性產生變化。本研究之基金經理人費用以基金費用率替代之。
根據實證結果顯示,當基金費用率小於0.0786(%)時,資訊比率與基金規模呈現顯著之正向關係;當基金費用率大於0.1636(%)時,資訊比率與基金規模呈現顯著之負向關係。無論基金費用率小於0.0786(%)、介於0.0786(%)與0.1636(%)及大於0.1636(%)時,基金淨值與基金規模皆呈現顯著之正向關係,基金週轉率與基金規模皆呈現不顯著之正向關係。
英文摘要 This aim of study is to investigate the panel smooth transition effect associated with fund manager’s fee and mutual fund size. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk(2004, 2005)to figure out that information ratio, fund net asset value and turnover rate may affect mutual fund size under different fund manager’s fee. The study is to fund expense ratio substitute of Fund Manager’s Fee.
The result shows that when fund expense ratio below 0.0786 percent, there is a significant positive effect between information ratio and fund size. When fund expense ratio above 0.1636 percent, there is a significant negative effect between information ratio and fund size. No matter fund expense ratio above 0.0786 percent, between 0.0786 percent and 0.1636 percent, above 0.1636 percent, there is a significant positive effect between fund net asset value ratio and fund size. There is not significant positive effect between turnover rate and fund size.
論文目次 第一章 緒論………………………………………………………………………..01
第一節 研究背景動機…………………………………………………………..01
第二節 研究目的…………………………………………………….………….05
第三節 研究架構………………………………………………………………..06
第二章 文獻探討…………………………………………………………………..07
第一節 基金規模與績效相關文獻探討………………………………………..07
第二節 基金費用率與績效相關文獻探討……………….…………………….09
第三節 基金週轉率與績效相關文獻探討……………………………………..11
第三章 研究方法…………………………………………………………………..13
第一節 研究資料………………………………………………………………..13
第二節 縱橫單根檢定…………………………………………………………..18
第三節 縱橫平滑移轉迴歸模型………………………………………………..21
第四節 縱橫平滑移轉迴歸模型的設定………………………………………..26
第四章 實證結果與分析…………………………………………………………..31
第一節 敘述統計分析…………………………………………………………..31
第二節 縱橫單根檢定…………………………………………………………..31
第三節 基金費用率對基金規模之平滑移轉效果……………………………..33

第五章 結論與建議………………………………………………………………..40
第一節 研究結論………………………………………………………………..40
第二節 研究限制與建議………………………………………………………..41
參考文獻……………………………………………………………………………..43















圖 表 目 錄
表目錄
【表1.1.1】國內基金統計資料…………………………………………………….03
【表3.1.1】選取基金明細表………………………………………………….........13
【表3.1.2】模型中各變數之定義………………………………………………….18
【表4.1.1】各變數之敘述統計分析……………………………………………….31
【表4.2.1】各變數原始序列之單根檢定………………………………………….32
【表4.3.1】基金費用率對基金規模之同質性檢定(線性檢定)……………….34
【表4.3.2】基金費用率對基金規模之轉換區間個數檢定(模型設定)……….35
【表4.3.3】各模型之檢定結果決定轉換函數…………………………………….35
【表4.3.4】門檻值與轉換速度(m=1, r=2)……………………………………..36
【表4.3.5】各基金公司所屬基金費用率區間之出現次數與比率……………….37
【表4.3.6】基金費用對基金規模之估計結果(m=1, r=2)……………………..39
【表4.3.7】基金費用對基金規模模型中解釋變數之影響(m=1, r=2)………..39





圖目錄
【圖1.1.1】研究流程圖……………………………………………………………..06
【圖3.3.1】m=1之轉換模型……………………………………………………….24
【圖3.3.2】m=2之轉換模型……………………………………………………….25

參考文獻 一、中文文獻
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-台灣股票基金之應用」,國立成功大學財務金融研究所碩士論文。
徐立婷,(2012),「財務指標在多角化差異下對本國銀行績效之影響-縱橫平滑移轉模型之應用」,淡江大學財務金融研究所碩士論文。
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」,國立雲林科技大學財務金融研究所碩士論文。
蔡聰毓,(2008),「基金週轉率與績效之關係-以國內基金為例」,國立台灣大學財務金融研究所碩士論文。
劉維庭,(2009),「台灣股票型基金績效模式」,中原大學國際貿易研究所碩士論文。
鄭伊真,(2012),「基金特性對基金績效在不同股市波動下之非線性探討」,淡江大學財務金融研究所碩士論文。

二、英文文獻
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Hansen, B. E. (1996) “Inference when a nuisance parameter is not identified under the null hypothesis,” Econometrics, 64(2), 413-430.
Hansen, B. E. (1999) “Threshold effects in non-dynamic panels: Estimation, testing, and inference,” Journal of Econometrics, 93(2), 345-368.
Haslem, J. A., Baker, H. K. and Smith, D. M. (2008), “Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with DiverseExpense Ratios, ” Financial Services Review, 17, 49-68.
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Indro, D. C., Jiang, C. X., Hu, M. Y. and Lee, W. Y. (1999), “Mutual Fund Performance: Does Fund Sizes Matter? ” Financial Analysts Journal, 55, 74-87.
Jansen, E. S. and Teräsvirta, T. (1996), “Testing parameter constancy and super exogeneity in econometric equations,” Oxford Bulletin of Economics and Statistics, 58(4), 735-763.
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Levin, A., Lin, C. F. and Chu, C. (2002), “Unit root tests in panel data: Asymptotic and finite-sample properties,” Journal of Econometrics, 108(1), 1-24.
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Matallín-Sáez, J.C. (2011), “On Causality in the Size-efficiency Relationship:the Effect of Investor Cash Flows on the Mutual Fund Industry,” Applied Economics, 43, 4069.
Peterson, J. D. and Riepe, M. W., (2007), “Does the Turnover of an Equity Mutual Fund Matter?” Journal of Financial Planning, 20, 32-33.
Prather, L., Bertin, W. J. and Henker, T. (2004), “Mutual Fund Characteristics, Managerial Attributes, and Fund Performance,” Review of Financial Economics, 13, 305-326.
Sharpe, W. F. (1966), “Mutual Fund Performance,” Journal of Business, 39, 119-138.
Teräsvirta, T. (1994), “Specification, estimation, and evaluation of smooth transition autoregressive models,” Journal of the American Statistical Association, 89, 208-218.
Teräsvirta, T. (1998), “Modelling economic relationships with smooth transition   regressions,” in Handbook of applied economic statistics, ed. by A. Ullah, and D. E. A. Giles, 507-552.New York: Marcel Dekker.
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