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    題名: 通貨膨脹對基金報酬率之關聯研究 : 縱橫平滑移轉門檻模型之應用
    其他題名: The dynamic interactive relationship between inflation and mutual fund return : approach by panel smooth transition model
    作者: 劉蓓珊;Liu, Pei-shan
    貢獻者: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    關鍵詞: 縱橫平滑移轉門檻模型;基金報酬;通貨膨脹;Panel Smooth Transition Model;mutual fund return;Inflation
    日期: 2009
    上傳時間: 2010-01-11 00:46:39 (UTC+8)
    摘要: 本研究是運用縱橫平滑移轉門檻模型來探討通貨膨脹對於台灣市場共同基金報酬的影響。以選擇股票型基金與債券型基金兩大類型基金作為主要的研究對象,研究期間為1998年8月至2008年6月,研究方法是將消費者物價指數增長率設定為狀態變數,以縱橫平滑移轉門檻模型探討在不同的狀態下基金的報酬率與其他解釋變數(台灣股價加權指數,利率)之間的關係。
    本研究實証結果顯示當消費者物價指數增長率在轉換區間內(-0.1618%~1.616%)時,股票型基金報酬率會與消費者物價指數增長率呈現正相關,當消費者物價指數增長率超過此一區間時,股票型基金報酬率與消費者物價指數增長率所產生的連動性有減弱之情形,此時股票報酬率會與通貨膨脹率呈現負相關,但此一現象在模型中並不顯著。至於債券型基金的相關研究發現,不論消費者物價增長率為如何,利率與債券型基金報酬率都會有正相關的現象。
    In this study, we investigate the impact of inflation to mutual fund return in Taiwan market by using panel smooth transition model. We choose two major types of mutual fund, equity fund and bond fund to be the research targets. The monthly data for the observation period are from 1998 August to 2008 June. We regard Taiwan CPI(Consumer Price Index) as the state variable and use panel smooth transition model to research the relationships of equity fund and bond fund return with the other explanatory variables (the return of Taiwan Weighted Stock Index and interest rate) within different inflation state.
    The results of study show that it reveals positive correlation on the return of equity fund and CPI growth rate when CPI growth rate locates in the transition area (-0.1618%~1.616%). The relationship will become weak gradually and change to negative correlation while CPI growth rate is higher than the transition point 1.616 but it is not very obviously in this model. Regard the relative study of bond fund, no matter what CPI growth rate is, it always shows positive correlation on bond fund return and interest rate.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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