- 學位論文
台灣之共同基金與股票:幾乎隨機優越之比較
Mutual Fund and Stock in Taiwan: Almost Stochastic Dominance Comparison
摘要
Bali et. al.(2012)將美國的避險基金分成不同策略，與美國股市(S P500)及美國公債，在幾乎隨機優越的框架下進行比較，他發現隨著投資期間拉長，避險基金違反隨機優越的比例會逐漸降低，也就是說投資期間越長的避險基金，表現會越來越好。為了瞭解台灣的基金和股票到底哪個表現比較好，是否也會得到相似的結論，本文使用TEJ資料庫中，台灣的共同基金（分成主動型基金與被動型基金）與股票資料，從幾乎隨機優越的角度比較基金與股票在不同投資期間的報酬表現，檢驗共同基金是否具有幾乎一階隨機優越、Tzeng et al. (2013)所修正的幾乎二階隨機優越，以及一般化幾乎二階隨機優越中(GASSD)的兩個特例，包括(0,ε_2 )-GASSD和 (ε_1,0)-GASSD，其中前者其實就相當於Tzeng et al. (2013)所修正的幾乎二階隨機優越。 實證結果顯示，主動型基金僅在60個月具有幾乎二階隨機優越、(ε_1,0)-GASSD；被動型基金則在36個月以上，具備幾乎一階隨機優越，幾乎二階隨機優越、(ε_1,0)-GASSD。因此，在長期來說，台灣的共同基金表現優於股票。
並列摘要
Bali et. al.(2012) used almost stochastic dominance (ASD) to compare the return of different hedge fund strategies, U.S. equity and bond markets . They found that the longer the investment period was, the better the performance of hedge fund strategies was. In order to compare fund and stock markets in Taiwan, and check whether we will get the similar results. This paper uses the return of mutual funds (classified into active funds and passive funds) and stock in Taiwan which are listed in TEJ, compares the return of mutual funds and stock from an ASD perspective, and shows whether mutual funds have almost first-order SD (AFSD), ASSD in Tzeng et al. (2013) or two special cases of generalized ASSD(GASSD), including (0,ε2)-GASSD, and (ε1,0)-GASSD. The definition of (0,ε2)-GASSD is equivalent to ASSD in Tzeng et al. (2013). The empirical results show that for the portfolios held for 60 months, the active funds are ASSD, and (ε1,0)-GASSD; for the portfolios held for over 36 months, the passive funds are AFSD, ASSD, and (ε1,0)-GASSD. As a result, mutual funds outperform stock in terms of long-term investments