市場模糊與台灣共同基金之關聯性分析

不同於以往從基本面模糊和資訊面模糊探討投資人於共同基金市場參與情形之研究，本研究旨在從市場模糊角度切入，以總體經濟環境不確定的宏觀視野，研究2007年1月1日至2019年12月31日期間，市場模糊對投資者投資決策於台灣共同基金市場的影響。實證結果顯示，當市場越模糊，投資者於股票型基金的資金流量亦增加。接著，依不同模糊情境檢視共同基金與市場模糊的關係，發現股票型基金與貨幣市場型基金在市場模糊中度與高度之際，對於投資者基金流量的影響呈現相反方向，彼此間有替代效果。當市場模糊為中度之際時，股票型基金流量流出，貨幣型基金流量流入；市場模糊為高度之際時，資金流入股票型基金，而貨幣型基金則流出資金。最後，探討市場模糊變動方向可能對投資決策造成不對稱影響，實證結果證實投資者於股票型基金市場參與時，當市場模糊增加，傾向注入資金；而市場模糊減少，其投資決策並不會因此撤出資金。

關鍵字

市場模糊；共同基金；投資人決策；基金淨流量

並列摘要

Unlike previous studies that examined investors' participation in the mutual fund market from ambiguity in fundamentals and ambiguity in information, this study aims to examine the impact of market ambiguity on investors' investment decisions in the Taiwan mutual fund market from January 1, 2007 to December 31, 2019 from a macro perspective of the general economic uncertainty. The empirical results show that as the market becomes more ambiguous, investors' capital flows in equity funds increase. Then, the relationship between mutual funds and market ambiguity is examined in different ambiguity scenarios, and it is found that equity funds and money market funds have opposite effects on investors' fund flows between moderate and high market ambiguity, with substitution effects. When the market ambiguity is moderate, equity funds have outflows and money funds have inflows; when the market ambiguity is high, equity funds have inflows and money funds have outflows. Finally, this research investigates the possible asymmetric impact of the direction of change in market ambiguity on investment decisions. The empirical results confirm that when investors participate in the equity fund market, they tend to inject funds when market ambiguity increases, while they do not withdraw funds when market ambiguity decreases.