本文為國內首次以保險公司發行之投資型保單連結基金資訊,剖析不同申購及贖回管道之日流量資料與基金報酬之互動關係,運用Granger因果關係作檢定,檢視當保戶觀察到連結基金標的之報酬分別為正向與負向時,其指定買進及贖回的動作是否具有不對稱的反應;另外,也納入新舊保戶之考量,驗證選取連結基金標的的行為是否不同。研究結果發現,保戶指定申購連結基金之投資標的為海外基金時,舊保戶傾向以續期申購管道方式來申購高報酬基金,而贖回基金時則與基金報酬較無關係;若為境內基金時,舊保戶傾向以投資組合轉換申購(贖回)管道方式來申購(贖回)高報酬基金,且舊客戶以投資組合轉換方式所申購之基金流量與連結境內基金績效具有雙向外溢效果。
The core of this research lies in studying the relationship between on the response of mutual fund flows of investment-linked products and past fund performance in Taiwan. This study adopts Granger causality tests by considering of the investors' purchase and redemption behavior, whether an asymmetric situation exists or not? On the other hand, we also consider the disparity of new and old customer. Our empirical results show that policyholders prefer purchase foreign fund with high returns. However, policyholders' outflow is essentially unrelated to fund returns. When old policyholders purchase domestic fund by portfolio transformation, there are spillover effects of return rate and fund flows.