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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87170

    Title: 基金特性對基金績效在不同股市波動下之非線性探討
    Other Titles: The nonlinear effect of fund characteristics on mutual fund performance under different stock volatility
    Authors: 鄭伊真;Cheng, I-Chen
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 基金績效;基金特性;股市波動;非線;縱橫平滑移轉迴歸模型;Mutual Fund Performance;fund characteristics;Stock Volatility;Nonlinear;panel smooth transition regression model
    Date: 2012
    Issue Date: 2013-04-13 10:49:13 (UTC+8)
    Abstract: 本研究運用Gonza′lez, Teräsvirta and van Dijk(2004, 2005)發展的縱橫平滑移轉迴歸模型進行實證分析,探究基金規模、基金週轉率、基金費用率等基金特性以及股市波動幅度是否在不同的股市波動幅度下對於基金績效的影響性產生變化。
    This study is to investigate the panel smooth transition effect associated with fund characteristics and mutual fund performance. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk(2004, 2005)to figure out that fund size, turnover rate, fund expense ratio and stock volatility may affect mutual fund performance under different stock volatility.
    The result shows that when stock volatility falls above 8.1461 percent, there is a significant positive effect between fund size and fund performance, also fund expense ratio and stock volatility exist significant negative effect to fund performance, but fund expense ratio has no significant relationship with fund performance. When stock volatility falls below 8.1461 percent or climbs, only fund size has significant positive effect with fund performance, the others exist significant negative effect to fund performance. Consequently, investors could make decisions according to the result. No matter stock volatility climbs or falls, investors should choose funds with large size, lower turnover rate and lower fund expense ratio to increase fund performance.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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