- 學位論文
金融海嘯對基金影響之研究：以貨幣型與股票型基金為例
Impacts of Financial Tsunami on Mutual Funds：Using Money Market Fund and Equity Fund as Examples
摘要
在這個時代裡，投資理財已經是社會大眾所不可或缺的一種觀念，也因為自由經濟的關係，許多衍生性金融商品紛紛出現，而基金在現代也已經是許多人投資的選擇，故衡量基金績效及風險的重要性也漸漸被突顯出來。 西元2008年全球性的金融海嘯發生，更讓人們察覺到不僅僅是在平時，更是在當金融體系面臨危機時，必須要採用何種指標才能夠精確地衡量出基金績效及風險的重要性存在，且此議題也是許多投資人非常關注的一個課題。 故本研究想瞭解在發生金融海嘯的前後，以台灣前十大貨幣型基金及台灣前十大股票型基金為例，並以基金淨值之投資報酬率、夏普指標（Sharpe Index）及Beta係數（β），來設算出基金績效，進一步利用T檢定：成對母體平均數及獨立母體平均數差異性檢定來衡量其差異性。 研究結果發現，在發生金融海嘯過後，貨幣型基金淨值之投資報酬率下降、夏普指標（Sharpe Index）下降，股票型基金夏普指標（Sharpe Index）上升，使用T檢定過後，最後總結，貨幣型基金淨值平均值提高、月投資報酬率降低、基金績效明顯降低及波動幅度較接近於大盤，股票型基金績效提高，且其波動幅度較不同於大盤。
並列摘要
Nowadays, investing has become an indispensable concept for citizens. A lot of derivatives emerge as a result of free market. And mutual funds have become one of the major investment objects. Hence, the importance of measuring the performance and risk of funds has become eminent. In 2008, the financial crisis hit the world. To understand, in normal times as well as in critical precious of financial of crisis, the indexes to evaluate the performance and risk of funds accurately became an issue for many investors. Consequently, this study uses the Taiwan's top 10 money funds and equity funds before and after the financial crisis, as examples to measure the funds’ performances by calculating their ROI of fund NAV, Sharpe Index and β. This thesis further examines them with t test, testing their differences. The results indicate that after the financial crisis, the ROI of NAV of money funds decreases and the money funds’ Sharpe Index decreases while the Sharpe Index of the equity funds increases. After t test, the result shows that the mean of the NAV of money funds increases and the monthly ROI decreases. Their performances decrease obviously and their fluctuations are closer to the broader market. While the performance of the equity funds increases and their fluctuations differ from the broader market.