共同基金投資行為分析－獨立成份分析與Cox Regression方法之應用

Integrating Independent Component Analysis and Cox Regression Model to Investigate Taiwanese Mutual Fund Investor Behavior

陳杏棻 ； 高淩菁 ； 邱志洲

《Journal of Data Analysis》 10卷5期 (2015/10) Pp. 129-153

https://doi.org/10.6338/JDA.201510_10(5).0006

摘要

隨著世界金融的開放與國內經濟的日益發展，台灣民眾越來越重視個人投資理財的規劃。而在各種投資理財的工具中，共同基金是最為國人熟知主要投資工具。由於投資人之實際交易資料取得困難，大部分國內有關共同基金之學術研究皆著重在基金績效及基金經理人與法人投資行為的探討，針對散戶投資行為之實證研究相對缺乏。此外，相關研究常忽略金融變數（如：世界主要金融指數）間常存在高度的共線性關係，而導致傳統估計方法的失效，造成模型中係數無法被穩定估計的結果。為了能有效降低財務資料高度共線性所帶來的影響，我們提出了一個整合獨立成份分析（Independent Component Analysis, ICA）與Coxregression（ICA-CR）的二階段模式，並以此模型分析台灣某大型投信公司所提供2008年至2009年之基金投資人之基金持有時間長短與外部環境因素間之關係。根據研究結果我們發現，在金融海嘯前後，金融環境變化對基金持有時間，有顯著不同之影響。推論其因，應是投資人在經歷金融風暴後已改變其風險承受度，並以較理性的方式面對投資環境的變化。

關鍵字

共同基金 ； 獨立成份分析 ； 多重共線性

並列摘要

With the rapid development of global economy, people in Taiwan concern personal financial planning more than ever. Mutual fund, among many investment vehicles, is the most popular investment option. Even though many mutual fund related researches can be found in literature, most research focus on mutual fund performance and the investment behavior of fund managers or legal persons. The empirical study of individual's investment behavior is barren due to the difficulty in obtaining individual's mutual fund transaction data. The objective of this research is to investigate factors which influence individual's mutual fund holding time during and after 2008 financial crisis. Because investor's decisions can be impacted by global financial indexes which are highly correlated with each other, to determine the factors influencing investment decisions, the problem of multicollinearity must be taken care. Therefore, this research proposes a new solution, Independent Component Analysis-Cox Regression (ICA-CR) to eliminate the multicollinearity among explanatory variables. The mutual fund holding time was impacted by economics environments in a significantly different way during and after financial crisis. This result indicates that, after financial crisis, mutual fund investors have adjusted their risk tolerance and can response to the financial environment more rationally.

並列關鍵字

mutual funds ； independent component analysis ； Cox regression ； multicollinearity