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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31546

    Title: 台灣平衡型基金規模與股市、債市的非線性關係探討
    Other Titles: A study of nonlinear relationship between open-end balanced mutual funds, equity and bond markets in Taiwan
    Authors: 黃文郁;Huang, Wen-yu
    Contributors: 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
    Keywords: 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
    Date: 2007
    Issue Date: 2010-01-11 00:53:12 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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