基金週轉率及基金規模對基金績效之關聯性分析 －縱橫平滑移轉模型之應用

The Dynamic Interactive Relationship between Turnover Rates、Fund size and Mutual Fund Performance - Approach by Panel Smooth Transition Model

詹雅貽(Ya-Yi Chan)

指導教授 ： 聶建中

共同指導教授 ： 唐代彪(De-Piao Tang)

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00643

摘要

本研究探討我國國內開放型基金基金週轉率與基金規模對基金績效之縱橫平滑移轉效果，運用Gorzaíez,Teräsvirta and Dijk (2004,2005）之縱橫平滑移轉迴歸模型，臆測基金規模與基金週轉率對基金績效是否存在縱橫平滑移轉效果。並進一步對基金績效受解釋變數之影響進行評估與衡量。實證結果發現，基金規模對基金績效間之縱橫平滑移轉模型，在基金規模為4億7千萬和4億7千6百萬元時發生結構性變化，轉換速度為7.0579及167.1998，使得模型在轉換門檻值附近形成平滑與跳躍的轉換過程。此外，基金週轉率率和基金績效間之縱橫平滑移轉模型，在資金週轉率率為15.9642%時發生結構性變化，但因轉換速度高達50.1666，使得模型在轉換門檻值附近形 成一結構性改變的跳躍式模型。解釋變數對基金績效之影響方面，無論基金週轉率的高低或是在大規模基金下(基金規模大於4億7千萬元以上)，提升基金淨值或降低基金費用率，可創造較佳的基金績效表現。本研究建議，當民生痛苦指數高漲時，投資大規模基金，可獲得較佳之基金績效。

關鍵字

基金週轉率 ； 基金規模 ； 基金績效 ； 平滑移轉回歸模型 ； 非線性

並列摘要

In this paper, we examine the asymmetrical nonlinear relationships, this paper employs the Panel Smooth Transition Regression Model (PSTR) technique developed by Gorzaíez,Teräsvirta and Dijk (2004,2005).We assume fund turnover rate and fund size for transition variable in this model to investigate the smooth transition threshold effect between fund turnover rate、fund size and fund performance.
The results as follow: First, panel smooth transition regression model between fund turnover rate and fund performance jumps abruptly at 15.9642%, because the transition speed is up to 50.1666, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between fund size and fund performance produces a smooth transition at (thousands), because the transition speeds are 7.0579and 167.19981 that make the model form smooth transfer and jump process close to transition threshold value. Third, no matter fund turnover rate is high or low or fund with large size, decreasing fund fee ratio and increasing net fund value are better influences of fund performance. Forth, This research suggests that when misery index is high to invest large fund size will get better fund performance.

並列關鍵字

Turnover Rate ； fund size ； Mutual Fund Performance ； Panel Smooth Transition Regression Model ； Non-linear

參考文獻

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