基金流量、利率與證券市場報酬相關性之探討

An Empirical Study of the Relation between Mutual Fund Flows、Stock Marker Returns and Interest Rates

吳佳蓉(Jia-Rong Wu)

指導教授 ： 洪進朝

長榮大學/管理學院/經營管理研究所/碩士(2009年)

摘要

國內共同基金佔證券市場比重已有相當程度的成長，並漸漸成為投資人重要的投資工具之一，故當基金的整體流量發生變化時，有可能與證券市場產生相互的影響，大部分研究均針對證券市場報酬變動率及基金淨流量變動率的增減做相關性探討，然而是否有其他因素也對證券市場報酬或基金整體流量增減的研究則較少。一般而言證券市場報酬和利率水準大多呈現負相關，當利率升(降)息時則會有助於證券市場呈現空(多)頭走勢，而基金投資人亦會隨之減少(增加)基金的投資金額，使整體基金申購金額會有所增減變動。因此，本研究在於探討共同基金整體淨流量變動率、證券市場報酬變動率與五行庫一年期平均存款利率變動率之關係。
本研究係研究證券市場報酬變動率、基金整體淨流量變動率、及五行庫平均一年期存款利率變動率之關係，本文以Granger因果關係檢定與GARCH模型檢定來驗證迴歸模型之結果。實證結果發現:基金整體流量變動率無法影響證券市場報酬變動率，即不支持價格壓力假說；證券市場報酬變動率正向影響基金整體流量變動率，即支持回饋交易者假說；以及不支持五行庫平均一年期存款利率變動率顯著影響共同基金整體流量變動率，但共同基金整體流量變動率顯著影響五行庫平均一年期存款利率變動率。

關鍵字

關鍵字:共同基金流量 ； 回饋交易者 ； 價格壓力 ； Granger ； GARCH

並列摘要

This research is analyzes the relation between mutual fund flows、stock market returns and interest rate, uses the research technique contains the examination time series material whether presents the stationary state VAR of model the ADF simple root examination, the confirmation hypothesis, again auxiliary confirms result of the return model by the Granger causal relation examination, further, in order to explain capital flows, the GARCH model, adopted by Bollerslev(1986).
The real diagnosis result discovered that, Does not support the price pressure hypothesis, namely the stock fund overall current capacity is unable to affect the stock market reward; Support back coupling transaction hypothesis, namely stock market reward to influence fund current capacity; As well as does not support postal collects a bureau year time surely to store the interest rate the change to reveal the influence mutual fund overall current capacity, but the a bureau year time surely to store the interest rate.

並列關鍵字

Keywords: Mutual fund flows ； Feedback trader ； Price pressure ； Granger Causality ； GARCH

參考文獻

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