資料載入中.....
|
請使用永久網址來引用或連結此文件:
http://ir.ncue.edu.tw/ir/handle/987654321/16944
|
| 題名: | 開放式股票型基金績效與流量關係之研究-台灣地區境內基金市場實證
A Study on the Return-flow Relationship of Stock Mutual Funds in Taiwan |
| 作者: | 王南喻;陳信憲 |
| 貢獻者: | 商業教育學系 |
| 關鍵詞: | 基金績效;基金流量;基金績效分類;開放式股票型基金;Granger因果關係檢定
Fund flow;Fund returns;Fund scale;Open-end Equity fund;Granger Causality |
| 日期: | 2006-06
|
| 上傳時間: | 2013-07-11T03:15:32Z
|
| 出版者: | 臺北大學企業管理學系 |
| 摘要: | 本研究針對台灣地區共同基金績效與基金流量之關係進行研究，資料取樣為民國89年7月至95年6月止，相較過去文獻具長時問之研究期間。以開放式股票型基金（投資國內）的基金種類型別，將基金績效依照整段樣本觀察期間之平均基金績效優劣分類為5等級基金，並採用Edwards & Zhang(1998)所提之Granger因果關係檢定來進一步驗證基金績效與流量之相互影響關係。研究結果顯示(1)投資人績效佳買入基金的傾向，績效差有賣出塞金的情形。(2)整體基金與績效等級R1、R3、R4、R5的基金績效與基金流量皆無因果關係存在。(3)績效為R2等級時，基金流量受到基金績效遞延1至6期之顯著影響。(4)基金流量是否受到遞延期的績效所影響，將會受到「基金績效分類」所影響。期望本研究結果可作為基金經理人管理基金、投資人購買基金及政府機構擬定相關措施時之參考依據。
The study examines the relationship between mutual fund returns and shareholders flow in Taiwan. We samples 72-months database of mutual funds from July 2000 to June 2006. There are five categories for open-end equity funds (domestic only) based on average return, including Rl-R5. This article investigates the interrelationship between mutual fund flows and returns utilizing Granger causality and instrumental variables analysis adopted by Edwards & Zhang (1998). The empirical evidence showed that shareholders buy good returns and sell poor returns. There is no return-flow Granger causality correlation among the R1, R3, R4, R5 no matter what the types of fund are. In contrast, Returns of R2 and flows in the mutual funds also have correlation with the previous flow. Categories of return affect the Return-flow Relationship. This research paper can be an indicator for fund managers to manage a fund, for shareholders to buy a fund or for the government to set relative policies. |
| 關聯: | 企業管理學報, 69: 73-96 |
| 顯示於類別: | [商業教育學系] 期刊論文
|
文件中的檔案:
| 檔案 |
大小 | 格式 | 瀏覽次數 |
|---|
| index.html | 0Kb | HTML | 553 | 檢視/開啟 |
|
在NCUEIR中所有的資料項目都受到原著作權保護.
|
