投資人情緒與基金績效關係之研究

The Study on the Relationship between Investor Sentiment and Fund Performance

歐昱廷(Yu-Ting Ou)

《當代商管論叢》 3卷1期 (2018/12) Pp. 74-96

https://doi.org/10.6852/JCBM.201812_3(1).04

摘要

本文以台灣股票型基金市場為研究對象，實證探討投資人情緒對股票型基金的影響。不同以往的研究，本研究分別以市場週轉率、台指選擇權未平倉量比、三大法人週轉率、三大法人買賣超股數、資券餘額比、零股交易量、一般法人及自然人買賣超台指期口數作為投資人情緒指標的代理變數，以期更深入探討對基金績效的影響。本研究顯示，當市場投資人看多時對基金報酬有正向的影響，則當股市市場交易量增加時，股票型基金報酬率會上升；在台指選擇權買權未平倉變多時，報酬將會上升；而中小型投資人看多時對基金報酬將有負向的關係，當市場融資、零股交易量、一般法人及自然人買進台指期口數增加時對基金報酬有負相關。

關鍵字

投資人情緒 ； 股票型基金 ； 基金績效

並列摘要

We use the Taiwan stock funds market as the research object, the period between 2006 to 2017, for the market turnover rate, call / put ratio, turnover rate, net buy/net sale, financing/bearing ratio, odd-lot trading, TAIEX index futures-net sale eight indicators of investor sentiment about the fund returns Empirical analysis: first, explore the interactive relationship between fund returns and the various sentiment indicators of market. Also explore the interactive relationship between fund returns and each variation of market sentiment indicators, whether the investors differ from large-sized, Retail Investors groups.

並列關鍵字

investor sentiment ； equity fund ； fund performance