- 學位論文
好享退基金與情緒指標之研究
A Study on the Performance of Retirement Fund and Sentiment Indicators
摘要
本文以好享退基金及6檔高收益債劵為研究對象，實證探討投資人情緒對債劵型基金的影響。不同以往的研究，本研究分別以市場週轉率、台指選擇權未平倉比、三大法人買賣超股數、三大法人週轉率、三大法人買賣超台指期口數、資券餘額比及小型臺指期貨口數作為三個投資族群之情緒指標的代理變數，以期更深入探討對基金績效的影響。本研究顯示，投資人看多時對基金報酬有正向方面的影響，對基金未來報酬方面無顯著相關；對於風險承受度，高收益債劵型基金較受情緒指標顯著影響。關於基金績效指標方面，以成立兩年來的好享退基金的平均報酬、Alpha指標、Treynor指標，與高收益債劵型基金相比，基金績效的表現更具優勢；在報酬率相同情況下，高收益債劵型基金承擔的風險越大。
並列摘要
In this paper, the research objects of Haoxiang Retirement Fund and 6 high-yield bonds are used to empirically explore the impact of investor sentiment on bond funds. Different from previous studies, this study uses market turnover, Taiwan index option open interest ratio, the number of excess shares traded by the three major legal persons, the turnover rate of the three major legal entities, the number of Buy and sell super-Taiwan index futures traded by the three major legal persons, and the financing securities lending ratio. Compared with the small Taiwan index futures volume as a proxy variable of the sentiment indicators of the three investment groups, in order to further explore the impact on fund performance. This study shows that investors have a positive impact on fund returns when investors are bullish, but have no significant correlation with fund future returns; for risk tolerance, high-yield bond funds are significantly affected by sentiment indicators. In terms of fund performance indicators, compared with high-yield bond funds, the performance of the fund has more advantages based on the average return, Alpha, and Trey nor index of the Haoxiang Fund in the past two years; at the same rate of return In this case, high-yield bond funds take on more risk.