全球金融體系結構變遷,銀行透過證券化創造流通性,衍生性商品透過包裝,也成為基金和主要投資標的的主要內容,此現象使得銀行經營風險提高,當信貸違約現象持續攀升,各家金融公司皆因次級房貸的關係紛紛倒閉及面臨財務危機,此種惡性循環現象波及層面不僅範圍廣且持續擴張中,進而影響到其他金融業者甚至其他國家,終於在2008年造成金融海嘯。 在歷經金融海嘯後,共同基金投資人對投資行為、風險態度是否會因金融海嘯而產生改變,本研究採用Spearman等級相關係數和績效二分法中的相對基準法為檢定持續性的方法,績效衡量指標則為淨值報酬率和Sharpe 指標,比較期間有短、長期之分,各為每月一期、每季一期、每半年一期和每年一期。實證結果顯示,在不區分投資範圍以及spearman的方法之下,富蘭克林坦伯頓高收益債券基金短期(每月與每季)投資報酬率較好,長期(每半年與每年)則較差。但在金融海嘯後,因應美國的QE政策,高收益債券基金的市場反而逆勢蓬勃發展。
Changes in the global financial system, banks create its liquidity through the asset securitization as well as derivatives packaging. Thus, the securitization assets have become the main investment targets for mutual fund. This phenomenon allows banks to arise their operational risk and credit default risk. Therefore, many financial institutions become bankruptcy and encounter severe financial pressure during the subprime mortgage and financial crisis periods in 2008. The spread of this vicious cycle not only has a wide range of levels and sustained expansion, but also thereby affecting other financial industry and even other countries. After the global financial crisis, whether or not the investment behavior and risk attitudes for mutual fund investors are changed during the financial crisis period. This study uses Spearman rank correlation coefficient and performance dichotomy to examine the mutual fund performance persistence. Performance metrics are the net rate of return and the Sharpe ratio. The performance analysis frequencies include monthly, quarterly, semi-yearly, and yearly. The empirical results show that Franklin Templeton high yield bond fund, under no area restriction investment and spearman method, has a better performance in the short-term investment (monthly and quarterly), whereas it has a poor performance in the long-term investment (semi-yearly and yearly), However, in the wake of the global financial crisis, the market of high yield bond funds flourishes cause of the U.S. QE policy.