政策對基金交易行為影響之研究

我國金管會自2020年實行以資產管理規模計算銷售通路獎勵金的新政策，希望透過此政策減少理財專員進行不當銷售基金的誘因。本研究以2019年1月到2020年12月經核准上架的境外基金資料，應用魏克生符號等級檢定與零膨脹負二項迴歸模型，觀察政策實施前後基金淨流量年化波動率的變化，探討政策能否有助於減少理專不當銷售基金。因資料時點發生新冠肺炎疫情，導致金融市場劇烈震盪，影響整體基金在政策實施後的基金淨流量年化波動率較政策實施前高。在零膨脹負二項迴歸模型中，發現政策有助於降低股票型基金的波動率。此外，S&P500指數月報酬率、計價幣別為美元、手續費方式為後收型以及投資區域為全球型與區域型皆與基金淨流量的年化波動率呈現負相關。

關鍵字

基金流量波動度；共同基金；零膨脹模型

並列摘要

Since 2020, the Financial Supervisory Commission (FSC) has implemented a policy of computing fund sales channel incentives base on the scale of asset under management (AUM). The FSC hopes this policy will reduce unnecessarily frequent transactions and incentives for improper fund sales. In this study, we applied Wilcoxon signed-rank test and zero-inflation negative binomial (ZINB) regression model through the volatility of offshore fund net fund flows data which were approved for listing in Taiwan from January 2019 to December 2020 to explore whether the implementation of the policy help reduce improper sales. Since the data collection period coincides with the global outbreak of the COVID-19 epidemic, the global financial market was violently volatile and the volatility of net fund flows would be higher after the policy was implemented. In the zero-inflation regression model, we found that the volatility of net fund flows on equity funds have significantly decreased after the policy implementation. In addition, global funds, regional funds, US dollar-denominated funds, back-end share funds, and the monthly return rate of the S&P500 index are all negatively associated with the volatility of the net fund flows.

並列關鍵字

Fund Flows Volatility ； Mutual Funds ； Zero-inflation Model

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