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。 研究發現當股市跌幅超過8.1461％時，基金規模與基金績效呈現顯著正向關係，基金費用率及股市波動幅度與基金績效為顯著負相關，但基金週轉率與基金績效之間並無相關性。當股票市場跌幅小於8.1461％或是出現漲幅時，只有基金規模與基金績效呈現顯著的正向關係，基金週轉率、基金費用率及股市波動幅度皆與基金績效為顯著負相關。因此歸納出的投資策略為，無論投資大眾預期股票市場的波動幅度為何，應挑選基金規模較大且基金週轉率與基金費用率皆較低的基金作為投資標的，以增進基金績效的表現。 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.
