債券型基金流量、基金績效與利率波動關係之研究

The Study on Relationship among Bond Funds Flows, Performance and Interest Rate Volatility

黃兆弘(Chao-Hung Hwung)

指導教授 ： 林坤輝

國立屏東科技大學/管理學院/財務金融研究所/碩士(2008年)

https://doi.org/10.6346/NPUST.2008.00111

摘要

共同基金的流量與績效影響投資人報酬甚鉅，大部分的研究僅針對流量與績效之間的關聯性作探討，因此本研究的動機即以國內債券型基金為研究標的，探討績效與流量的相關性，進一步加入利率波動變數，期望能夠找出基金流量、基金績效與利率波動三者之間的因果關係與關聯性，以作為投資人投資或基金經理人操作基金的依據。

本研究利用時間序列模型，樣本期間為民國90年7月至民國96年9月，選取國內33檔債券型基金為資料，研究方法包括ADF單根檢定、共整合檢定、向量自我迴歸模型、誤差修正模型、Granger因果關係檢定，以了解債券型基金績效、流量及利率波動，彼此間是否具有共整合之長期均衡關係與短期動態調整關係。實證結果發現債券型基金績效、流量及利率波動具有共整合之長期均衡關係，以誤差修正模型檢定得到基金流量顯著正向影響基金績效、基金績效顯著正向影響基金流量及利率波動值顯著負向影響基金績效之結果。最後，以Granger因果關係檢定發現基金績效與基金流量存在雙向的回饋關係、基金績效與利率波動值存在雙向的回饋關係及基金流量與利率波動值互不為領先落後的關係。

關鍵字

基金績效 ； 基金流量 ； 共整合 ； Granger因果關係

並列摘要

Mutual funds flows and performance deeply affect investors’ return. The majority of research all aim at the relationships among flows and performance to make discussion. Therefore, the motivation of this research is to use bond funds in Taiwan for example to discuss the relationships among performance and flows, further adds the interest rate volatility as variable to study. To find out the relationships among bond funds flows, performance and interest rate volatility. To be the authority which let investors investing or fund managers making decision.

This research uses time series model. Samples are confined in the period from July of 2001 to September of 2007 including 33 bond funds. The research technique contains ADF unit root test, cointegration test, vector autoregressive models, error correction models and Granger causality test to investigate the long-run and the short-run dynamics, respectively, between bond funds flows, performance and interest rate volatility. The empirical result of this research shows the co-movements between bond funds flows, performance and interest rate volatility present a cointegration. From the error correction models test, funds flows significant affects funds performance positively. Funds flows significant affect funds performance positively. Interest rate volatility significant affect funds performance negatively. Finally, Granger causality test indicates that there are feedback relationships between funds flows and funds performance. There are feedback relationships between Funds performance and interest rate volatility. There are not feedback relationships between funds flows and interest rate volatility.

並列關鍵字

Funds performance ； funds flows ； cointegration test ； Granger causality test

參考文獻

Dicky, D. A. and W.A. Fuller ( 1979 ) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root, ＂Journal of the American Statistical Association, 74, 427- 431.

Dicky, D. A. and W.A. Fuller ( 1981 ) “Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root, ” Econometrica, 49, 735- 779.

Engle, R. F. and C.W. J. Granger ( 1987 ) “Cointegration and Error Correction Representation, Estimation, and Testing, ” Econometrica, 2, 251- 276.

Edelen ( 1999 ) “Investor flows and the assessed performance of open-end mutual funds, ” Journal of Financial Economics, 53, 439-466.

Fortune ( 1998 ). “Mutual Funds, Part II： Fund Flows and Security Returns, ” New Engl and Economic Review, 20, 3-22.