台灣股票型基金之擇時與選股能力

台灣共同基金的發展已有相當的時日，在台灣所發行的基金中，主要以股票型、平衡型、類貨幣市場型、固定收益型、貨幣市場基金、組合型、保本型、不動產證券化型、指數股票型及指數型基金為主。本研究以台灣發行超過十年的股票型基金為研究標的來探討基金經理人績效。實證上利用傳統的T-M及H-M模型，異質變異數修正的T-M-GARCH、H-M-GARCH模型進行基金擇時能力與選股能力及系統性風險的比較。同時也應用迴歸模型分析基金規模、週轉率下與基金淨值報酬率的關係。實證結果與文獻一致，即大部分的股票型基金績效具有持續性；然而，基金經理人不具有選股能力，但具有擇時能力；另一方面，本實證也證實基金規模，週轉率亦是影響基金績效的顯著因子。本文的實證結果亦可供理論或實務操作的參考。

關鍵字

共同基金；擇時能力；選股能力；基金規模；週轉率

並列摘要

The developments of Taiwan's mutual funds have been a long time. The funds are issued in Taiwan included equity, balanced, near-money market, fixed income and money market funds, portfolio type, insurance, real estate securitization type, exchange-traded funds and index based. This thesis discusses the fund’s manager performance based on the Taiwan stock funds which were issued over ten years. We apply the traditional T-M model, H-M-model and modified T-M-GARCH, H-M-GARCH model to compare with the ability of selection ability and market timing ability of different stock funds’ manager. In addition, we also investigate the relationship between the scale of the fund, turnover rate and the net return with simple regression analysis model. The empirical results are consistent with the literature. Most of the stock funds manager’s performance have the consistence＂ However, the funds manager haven’t the selection ability, but with the market timing ability. On the other hand, evidences also confirmed that the fund scale, turnover rate are also significant factors affecting the performance of the fund. The empirical results of this thesis can also available for theoretical or practical operation reference.