台灣股票型基金規模與股市的非線性關係探討

A Study of Nonlinear Relationship between Open-end Equity Mutual Funds and Stock Market in Taiwan

李淑貞(Shu-Chen Lee)

指導教授 ： 聶建中 ； 洪坤

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00551

摘要

法人投資台灣股票市場比重日益攀升，交易行為與股市的連動性日趨緊密，所以本文探討股票型基金規模與股價指數的關係。選取1996/12/31 至2006/7/31 期間，台灣開放式股票型基金的規模、單位數分別與股價指數進行實證。研究方法利用傳統單根檢定及Bierens (1997)、Breitung (2002)非線性單根檢定，測試變數是否為穩定序列；再以Johansen (1988,1990,1992,1994)最大概似估計法及Bierens (1997)、Breitung (2002)非線性無母數共整檢定法，檢定變數間是否存在長期均衡關係；並運用一般化及非線性衝擊反應分析，檢定變數間的短期互動關係；變數間的領先落後關係亦分別以線性及非線性因果關係檢定來探討。實證結果發現，變數間不存在長期均衡關係；由非線性因果關係發現，基金規模與股市報酬，不存在領先落後的因果關係，但基金單位數和股價指數存在雙向回饋的關係。由基金單位數對股價指數的非線性衝擊反應結果觀察，投資人對基金投資的增減與股價指數呈反向影響，即基金投資人的申購時點可能是在股價漲高之後，贖回時點是在股價下跌後，所以基金投資人的投資行為有「買在高點、賣在低點」的現象。

關鍵字

非線性分析 ； 共整合檢定 ； 衝擊反應 ； 因果關係 ； 基金

並列摘要

With the increasingly growing institutional investors in the Taiwan stock market and rising co-movement of institutional transactions and stock market indices, this study explores relationship between fund size of equity funds and domestic stock market indices. Specifically, the relationship between stock index and fund size and number of units of open-end equity funds respectively from 1996/12/31 to 2006/07/31 will be examined.
This study first measures the stationarity of variables with the traditional unit-root test method and non-linear unit-root test by Bierens (1997) and Breitung (2002). Secondly, we examine the long-term equilibrium among variables via Maximum Likelihood Estimation by Johansen (1988,1990,1992,1994) and nonlinear nonparametric cointegration test by Bierens (1997) and Breitung (2002). By exerting traditional and nonlinear impulse response function, this study also examines short-term interactive relationship among variables. The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. Our empirical results are as follow: (1) There is no long-term equilibrium relationship among variables. (2) There is no lead/lag relationship between fund size and stock returns in Granger Causality Test. (3) There is a two-way feedback relation between number of units of equity funds and stock index.

並列關鍵字

Nonlinear test ； Cointegration test ； Impulse response ； Granger causality ； fund

參考文獻

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