指數股票型基金與共同基金交易成本及績效之研究

本研究目的為探討指數股票型基金（ETF）與共同基金的交易成本及績效之差異性分析、共同基金的交易成本與績效之相關性分析。基金的分類方式，係參考台大財金所教授邱顯比與李存修（1997）所提出的五類，包括一般型、科技型、中小型、中概股型、價值型。本文基金資料取自中華民國證券投資信託暨顧問商業同業公會，期間為2006年1月至2010年12月，並以t檢定與Pearson相關係數等方法驗證研究假說。研究結果發現，ETF與共同基金的交易成本存在差異性、ETF與共同基金的績效有部分類型存在差異性、共同基金的交易成本與績效間有部分類型存在相關性。本研究結果可提供投資人購買基金以及投信投顧公司發行基金的參考。

關鍵字

交易成本；基金績效；指數股票型基金；共同基金

並列摘要

The purpose of this study is to explore the discrepancy of trading cost and performance between exchange traded fund (ETF) and mutual fund. Beisdes, the correlation analysis between trading cost and performance on mutual fund will also be examined. We use the method proposed by Professors Chiu, Hsien-Pi and Lee, Tsun-Hsiu (1997) of the Graduate Institute of Finance of National Taiwan University for the way of classification of the fund. The fund is categorized as five types as general type, technology type, small-medium size type, China-concept stock type and value type. The data of this paper is obtained from the funds for the period from January 2006 to December 2010, as published by the Securities Investment, Trust & Consulting Association of R.O.C. T-test and Pearson correlation coefficients are used to verify the research hypotheses. Findings of the study indicate significant variance exists on the trading cost between ETF and mutual fund. Significant negative correlation partly exists between trading cost and performance on mutual fund. Besides, significant variance also partly exists on performance between ETF and mutual fund. The results of this study can be offered to the investors' reference when they purchase the funds as well as for the investment trust consulting companies when they issue the funds.