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    題名: 台灣平衡型基金規模與股市、債市的非線性關係探討
    其他題名: A study of nonlinear relationship between open-end balanced mutual funds, equity and bond markets in Taiwan
    臺灣平衡型基金規模與股市、債市的非線性關係探討
    作者: 黃文郁;Huang, Wen-yu
    貢獻者: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chien-chung;張倉耀;Chang, Tsang-yao
    關鍵詞: 非線性分析;共整合檢定;衝擊反應;因果關係;基金;Nonlinear test;Cointegration test;Impulse response;Granger Causality;fund
    日期: 2007
    上傳時間: 2010-01-11 00:53:12 (UTC+8)
    摘要: 自2000年以來,台灣平衡型基金已成為投資人的另一重要投資工具。本文主要探討投資國內之平衡型基金規模與股市及債市的關係。選取1996/12/31 至2006/8/31期間,平衡型基金的規模、單位數分別與股價指數、債券價格指數進行實證。研究方法利用傳統單根檢定及Breitung (2002)非線性單根檢定,測試變數是否為穩定序列;再以Johansen (1988,1990,1992,1994)最大概似估計法及Breitung (2002)非線性無母數共整檢定法,檢定變數間是否存在長期均衡關係;並運用一般化及非線性衝擊反應函數,檢定變數間的短期互動關係;變數間的領先落後關係亦分別以線性及非線性因果關係檢定來探討。實證結果發現,變數間不存在長期均衡關係,且由非線性因果關係檢定結果發現,基金規模與股價指數、債券指數間皆無因果關係,而基金單位數與股價指數、債券指數間具有雙向回饋關係。
    從衝擊反應檢定結果顯示,投資人增加對平衡型基金的持有,並無推升債券價格的影響力;股市價格回跌時會使投資人短暫性增加對平衡型基金的持有,而隨著股價持續下跌,投資人反而會減少平衡基金的持有;顯示平衡基金僅是股市下跌初期時的暫時避風港。所以投信公司應在股市由高檔回跌時籌募平衡型基金,以做為投資人在股市下跌階段的另一個投資管道,並降低投信公司募集基金的難度。
    With the fact that the fund size of Taiwan balanced funds has been increasing since 2000, balanced funds, for domestic investors, have become another important investment tool in addition to equity funds. The main investment concept of balanced funds is to dynamically adjust the investment proportion in both stocks and bonds while avoiding excessive risk in any single market. This study mainly explores the relationship between balanced funds’ size and domestic equity and bond markets. The relationship between domestic stock/bond price index and fund size and number of units of domestic open-end balanced funds respectively from 1996/12/31 to 2006/08/31 will be examined.
    This study first measures the stationarity of variables with the traditional unit-root test method and non-linear unit-root test by Breitung (2002). Secondly, we examine the long-term equilibrium among variables via Maximum Likelihood Estimation by Johansen (1988,1990,1992,1994) and nonlinear nonparametric cointegration test by Breitung (2002). By exerting traditional and nonlinear impulse response function, this study also examines short-term interactive relationship among variables. The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. Our empirical results are as follow: (1) There is no a long-term equilibrium relationship among variables. (2)There is no a lead/lag relationship between fund size and stock or bond price indices in Granger Causality Test. (3) There is a two-way feedback relation between number of units of balanced funds and stock index or bond price index.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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