中國市場基金績效、系統風險及流量波動之研究

The Study of Fund Performance, Systematic Risk and Flow Volatility in Chinese Market

王秋華(Chiou-Hua Wang)

指導教授 ： 戴錦周

國立臺中科技大學/管理學群/企業管理系事業經營碩士班/碩士(2011年)

摘要

共同基金提供專業投資組合管理、分散投資、節省成本和選擇範圍寬廣等利益給投資人，隨著中國市場之經濟成長率逐漸成長，投資共同基金的海外資金開始增加，以致於激起投資人對中國市場之基金的興趣，故本研究以2007年至2009年之中國市場之基金共200檔基金為研究對象，採用Sharpe指數評估基金績效，以聯立模型三階段最小平方法(Three StageLeast Square, 3SLS)進行分析，觀察基金績效、系統風險、流量波動風險互動之影響。研究結果顯示：一、在基金績效方面，系統風險值愈小與流量波動風險愈低，故基金績效表現愈好。二、在系統風險方面，基金的淨資產值愈大及申購股票型基金愈多，故將會帶來更大的系統風險。三、在流量波動風險方面，基金的淨資產值愈低、基金的報酬率愈高以及基金的週轉率愈低，故流量波動風險隨著其表現愈好。

關鍵字

中國市場 ； 基金績效 ； 系統風險 ； 流量波動風險

並列摘要

Mutual funds provide professional management, diversification, cost savings, a wide range of options, and other benefits to investors. The economy has grown fast, and the overseas funds invested in mutual funds have begun to increase in China, so investors are interested in fund market of Chinese. The study adopted the three-stage least squares method (3SLS) to estimate a simultaneous equation model for an analysis of the interaction of fund performance, systematic risk and flow volatility. The sample was 200 mutual funds in China, from 2007 to 2009. The results show that the fund performance was negatively influenced by the systematic risk and flow volatility. Secondly, the systematic risk was positively affected by the net asset value and equity fund. Finally, the net asset value and turnover had negative effects on the flow volatility, but the effect of the return of funds was positive.

並列關鍵字

China ； Fund Performance ； Systematic Risk ； Flow Volatility

參考文獻

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