- 學位論文
共同基金流量、績效與股價指數報酬之關聯性
A study of the relationship between mutual fund flows, performance and stock index returns
摘要
在共同基金市場，投資人能否藉由預測未來報酬或流量之趨勢而理性選擇可獲得超額報酬的基金。Ippolito(1992)、Gruber(1996)、Goetzmann and Peles(1997)與Shu, Yeh and Yamada(2002)等文獻陸續以基金的流量作為指標來探討投資人的投資決策，故本研究以基金流量為主軸，衡量投資者之決策與基金績效、股市報酬的關係。 本研究之研究對象為國內之科技類股票型共同基金以及平衡型基金。先以單根檢定與共整合檢定決定時間序列的恆定性及長期均衡關係，再以誤差修正模型與向量自我迴歸模型(VAR)進行實證分析，最後輔以Granger因果關係增加嚴謹性。實證結果歸納如下： (1) 科技類股股價指數報酬與科技類股基金流量之衝擊反應函數分析呈現長期正向關係，且隨著期數增加而升高，基金流量對於科技類股價指數產生衝擊時；以平衡型基金為樣本時，有一半以上的基金具有長期正向跳動效果，但趨近於0。兩類之基金績效對流量皆有正向影響但在短期內反應完畢。 (2) 在預測誤差分解中科技類股之股市報酬對於基金流量具有解釋力，支持回饋交易者假說，此結果與Fortune(1998)之研究結果相同；但平衡型基金的效果並不顯著並在短期間收斂為零。 (3) 以Granger 因果分析時發現科技類股基金之股市報酬對於基金流量具有單向關係；在平衡型基金的部分群益真善美與復華傳家兩檔基金呈現顯著單向關係，支持回饋交易者假說，另外復華傳家的基金流量對於績效有顯著單向關係。 綜合上述可發現科技類股的基金流量較平衡型基金容易受到股市報酬的影響，而正向的效果說明國內高科技類股的投資者大多為進行動能交易而非逆向操作。而共同基金的整體基金流量對於股市報酬沒有顯著影響，表示國內基金市場的法人持股比例較低，與邱顯比(2006)認為台灣基金市場還未法人化、效率化的說法一致。
並列摘要
In the mutual fund market, it has been widely discussed that if investors can rationally select funds of excess return by predicting future trends of returns and flows. Previous studies, Ippolito(1992),Gruber(1996),Goetzmann and Peles(1997)and Shu, Yeh and Yamada(2002), have used the fund flows to evaluate investors’ decision-making. Consequently, this study also applies the funds flows to examine the relevance among the investors’ decisions, fund performances and stock market returns. this research targeted Open-end High-tech Funds and balance funds in Taiwan, and used Unit Root test and Co-integration to decide stationary and long-term equilibrium of the time series. Vector Autoregressive Model (VAR) and Vector Error Correlation Model(VECM) were applied to empirical analysis subsequently. Granger Causality test was also conducted to acquire robust results. The findings of this article are concluded as follows: 1. The results of impulse response analysis show that the impact of stock market returns on High-tech fund flows has a positive relationship in long term and is rising gradually with the progressing of the time. A positive effect can be also found among fund flows and both types of funds, but it approaches to zero in the short-term 2. The result of variance decomposition shows that stock market returns have the explanatory power on fund flows variation, which supports the feedback-trader hypothesis and is consistent with Fortune (1998). But the effect of the balance funds is not positive and converges to zero in the short-term. 3. Through Granger Causality Test, there have the positive one-way relationship between Electronics index and funds flow. In terms of balance fund, Capital Balance and Fuh-Hwa Heirloom Balance Fund demonstrate the positive one-way relationship, which supports the feedback-trader hypothesis. In addition, the funds flow of Fuh-Hwa Heirloom Balance Fund has the positive one-way relationship to fund performance. To conclude, the fund flows which impact by stock market return of Open-end High-tech Funds is more easily affected than balance funds. The positive effect indicates that the investors of Open-end High-tech Funds conduct the momentum strategy. There is no the positive effect between fund flows to stock market return of mutual funds, which shows that the domestic funds market is not efficient and stays incorporation.
參考文獻
延伸閱讀
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