股價指數對共同基金影響之研究

A Study on the Impact of Stock Index on Mutual Funds

邱義興(Yi-Hsing Chiu)

指導教授 ： 何瓊芳

中原大學/商學院/國際貿易研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000014

摘要

台灣自1970年代經濟起飛，跟著帶動股票市場的大幅上揚，大街小巷皆可大談股票經。但隨著股市泡沫破滅，投資者夢碎，大家開始了解股票並不是一種穩健的投資工具。尤其台灣股票市場以淺碟著稱，市場狀況常會大幅波動，對一般散戶而言，實無法承受如此風險。在這種情況下，集合眾人之資金，交由專業經理人代為操作便是一種較好的解決方法。共同基金即為一種資產組合，可包含上百種股票，大幅降低報酬的波動，因此逐漸成為熱門之理財工具，評比基金的績效供散戶投資人參考，亦成為日益重要的課題。
本研究的目的即欲瞭解股價指數對共同基金的影響，選擇了國內外主要股價指數近五年之月平均收盤指數(2004年至2009年)，與之近五年績效較佳基金之淨值的關係。並試著驗證這些變數對選定共同基金淨值的影響。本研究使用迴歸技術預測這些變數對共同基金淨值的影響。此外，並以強迫進入法與逐步迴歸法作前後比較。發現所選取的股價指數幾乎皆影響共同基金淨值，以道瓊工業股價指數及香港恆生指數影響面較廣，顯示中國的經濟對臺灣經濟的影響愈來愈深，各基金經理人在選擇股票上，偏好中國影響性的股票將愈來愈多，隨著兩岸經濟上的開放，將愈來愈明顯。

關鍵字

股價指數 ； 共同基金 ； 強迫進入迴歸法 ； 逐步迴歸法

並列摘要

Since Taiwan’s economic take-off in the 1970s and subsequent rise of stock market, the interest on stock has become street talks. However, after the burble burst and the investor dream broken, people begin to realize that stock market is notstable investment tool. This is particular the case in Taiwan as the market is not able for its shallowness which often fluctuates dramatically. For many investors, they can not take this kind of risk. Consequently, pooling the money of many people and finding professional manager to invest become a better solution. Mutual fund is a portfolio of assets that can include hundreds of stocks and can largely reduce the fluctuation of return. As a result, mutual fund becomes a hot investment tool so does the evaluation of mutual fund performance which becomes an important topic for investment consideration.
The purpose of this study explores the impact of stock index on mutual fund by selecting major domestic and international average monthly stock indexes in the last five years from 2004 to 2009 and its relationship with the better mutual fund performers in recent five years. I try to test the impact of those variables on the net value of mutual funds and use regression method to forecast the impact of those variables on the net value (NAV) of mutual funds. In addition, this study compares the effect before and after using the Enter multiple regression analysis and the Stepwise multiple regression analysis. It is found that all stock price indices chosen may influence the net value of mutual fund, both Dow Jones industry index and Hang Seng index, have impacts on NAV of mutual funds, which indicate an increasing economic tie between two economies across Taiwan strait, As a long term trend, more and more fund managers select the stocks issued in China for profit-earning purposes.

並列關鍵字

Enter multiple regression analysis ； Stepwise multiple regression analysis ； Stock index ； Mutual Funds

參考文獻

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