| 摘要: | 本研究運用縱橫平滑移轉迴歸模型，分別針對海外股票型基金及海外債券型基金，自非線性角度出發，探討各類型海外基金淨值受匯率波動之影響。研究變數除了被解釋變數的海外基金淨值及作為平滑移轉變數的匯率波動外，另包括基金淨值、基金規模、受益人數、申購金額、買回金額等研究變數，作為影響海外基金淨值之可能影響因素的解釋變數，來進行本研究之實證及分析。
先自單根實證結果推論，本研究所考量的所有研究變數(基金淨值、基金規模、受益人數、申購金額、買回金額與匯率)均為屬於I（0）的時間數列資料。線性檢定之結果，發現匯率對股票型基金淨值的影響存在一個結構性變化，而模型設定為m=1且r=1之縱橫平滑移轉模型；至於匯率對債券型基金影響之模型設定則為m=2且r=1之縱橫平滑移轉模型。
縱橫平滑移轉模型之參數估計研究顯示，匯率對股票型基金淨值的影響檢定，當匯率小於門檻值時，股票型基金規模越大、受益人數越少、申購金額越多與買回金額越多會使基金淨值提高，但是當匯率大於門檻值時，股票型基金規模越大、受益人數越少、申購金額越少與買回金額越小會使基金淨值提高。此研究結果意涵當匯率小於門檻值時，投資人選取基金時，應選擇基金規模大、受益人數少及基金流動率高的股票型基金為投資標的，當匯率大於門檻值時，投資人選取基金時，應選擇基金規模大、受益人數少、基金流動率低的股票型基金為投資標的。另外，在匯率對債券型基金淨值的影響測試結果發現，當匯率小於門檻值時，債券型基金規模越大、受益人數越多、申購金額越少與買回金額越多會使基金淨值提高，但是當匯率大於門檻值時，債券型基金規模越大、受益人數越多、申購金額越少與買回金額越小會使基金淨值提高。此研究結果意涵當匯率處於門檻值附近時，投資人選取基金時，應選擇基金規模大、受益人數多的債券型基金為投資標的，當匯率遠離門檻值時，投資人選取基金時，應選擇基金規模大、受益人數多、基金流動率低的債券型基金為投資標的。
本研究結果，可供作日後投資人基金選取與操作策略的一個參考依據。
This study applies panel smooth transition regression model to investigate the effect of exchange rate variation on the net asset values (NAV) of two kinds of oversea fund, stock and bond, respectively. The variables used in our empirical analysis include not only the explained variable of NAV of oversea funds and the smooth transition variable of exchange rate variance, but the explanatory variables of fund size, number of beneficiary, dollar amount of buying and dollar amount of selling as the control variables considered in this research.
We first conclude from the empirical result that all the variables considered in our research are I(0) stationary series. Besides, the linear test and model specification for oversea stock and bond funds are specified as m=1 and r=1 and m=2 and r=1, respectively.
The parameter estimation of panel smooth transition model shows that when the exchange rate level is well below the threshold value, oversea stock fund is positively affected by fund size, dollar amount of buying and dollar amount of selling and negatively affected by the number of beneficiary. However, when the exchange rate level is above the threshold value, oversea stock fund is positively affected by fund size only and negatively affected by the number of beneficiary, dollar amount of buying and dollar amount of selling. The finding offers some suggestions to investors that setting up the investment strategies as buying oversea stock fund with larger fund size, less number of beneficiary or more liquidity under the lower exchange rate regime. On the other hand, investors should buy the oversea stock fund with larger fund size, less number of beneficiary or less liquidity under the higher exchange rate regime
Nonetheless, regarding to the oversea bond fund, the testing result shows it is positively affected by fund size, the number of beneficiary and dollar amount of selling and negatively affected by dollar amount of buying when exchange rate level is around the threshold value. However, when the exchange rate level is away from it’s threshold value, oversea bond fund is positively affected by fund size, the number of beneficiary and negatively affected by dollar amount of buying and dollar amount of selling. This implies that investors should buy oversea bond fund with larger fund size and higher number of beneficiary when exchange rate level is around the threshold value. When exchange rate level is away from the threshold value, investors should buy bond fund with larger fund size, higher number of beneficiary or less liquidity.
We believe that the result of this study can be used as the bench mark for future investment strategy. |
