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    題名: 次貸風暴期間臺灣加權股價指數與基金淨值績效長短期因果關係研究
    其他題名: Dynamic causal relationships between stock index and mutual fund during the subprime period
    作者: 顏玉滿;Yen, Yu-man
    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: 次貸風暴;台灣加權股價指數;基金績效;門檻自我迴歸模型;門檻誤差修正模型;Subprime Period;stock index;Mutual Fund;Threshold Autoregressive Model;Threshold Error-Correction Model
    日期: 2009
    上傳時間: 2010-01-11 01:04:14 (UTC+8)
    摘要: 美國的次級房貸風暴蔓延全球,重創了全球經濟,造成全球股市崩盤,連近幾年來熱門的共同基金,也產生了價格崩跌走勢。本研究以台灣加權股價指數與基金淨值績效之資料為研究摽的,採用門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步利用門檻誤差修正模型(TECM),捕捉變數間的長短期非對稱因果關係,來研究台灣加權股價指數與基金淨值績效長短期門檻誤差修正互動關係。

    經實證結果發現,(1)台灣加權股價指數僅與績效報酬排名前二十名之股票型基金間有不對稱門檻共整合關係。故投資人投資台灣加權股價指數與投資績效排名前二十名之股票型基金,並無法達到分散投資組合風險之目的。(2)在短期動態關係,加權股價指數與平衡型基金、股票型基金淨值績效間不存在顯著,無雙向回饋且負向互動關係。在長期關係方面,亦均無互有領先及落後關係。故無法透過觀察加權股價指數來預測平衡型基金、股票型基金的走勢,亦無法透過觀察平衡型基金與股票型基金的走勢來預測加權股價指數。
    The impacts of U.S. subprime mortgage crisis have spread around the world, hurt the global economy, and led to the collapse of stock markets and mutual funds. This study employed the Threshold Autoregressive Model, Threshold Error-Correction Model to investigate the asymmetric causal relationship between TWSE index and mutual fund performance before and after the subprime mortgage crisis.

    Our research suggest that there exists an asymmetric threshold autoregression relationship between TWSE Index and top 20 performing equity funds,but not significant between balanced funds and top 20 equity funds ranked by size. So we can gain diversification benefit by holding Taiwanese stocks with balanced funds or top 20 equity funds ranked by size,but not with top 20 performing equity funds .On the interplay of TWSE index and mutual fund, the empirical results from Threshold Error-Correction Model ,showed that there exists no significant in the short and long term. So we can not predict mutual fund’s performance by observing TWSE index, vice versa.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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