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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87180

    Title: 群益馬拉松基金與大盤指數連動性與績效探討
    Other Titles: The study of correlation and performance between capital marathon fund and taiwan stock index
    Authors: 李聰儀;Lee, Tsung-Yi
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 共同基金;擇時與選股能力;copula函數;條件蔓延機率;Mutual Fund;Timing Ability;Selective Ability;copula function;Conditional Contagion Probability
    Date: 2012
    Issue Date: 2013-04-13 10:49:45 (UTC+8)
    Abstract: 本研究運用三種不同的擇時與選股能力模型研究三檔成立超過十年且規模超過百億的股票型基金,以及一檔規模超過百億的指數型基金,來探討基金經理人績效;並利用Copula函數配適共同基金與股票市場之間的關聯性結構,以透過最佳配適的Copula函數求出兩市場間的條件蔓延機率以解釋兩市場間的關係。實證結果獲得以下幾點結論:
    The study applies different timing and selective ability model to evaluate the performance of fund manager via stock fund and index fund which fund size beyond billion dollars and has established for 10 years or more. On the other hand, the study applies Copula functions to find the best dependence of mutual fund and stock market through the optimization of Copula functions that could calculate the contagion probabilities and their correlation of the two markets. The empirical results are as following:
    First, compare timing ability and selective ability with different fund which used different investing strategy based on fund size beyond billions dollars and has established for 10 years or more. The result exhibits Marathon fund can outperform other funds.
    Second, research the relation between Taiwan stock market and different fund’s style based on investing object both are Taiwan stock market. The result appears the dynamic relationship exist exactly, but the degree of correlation are time varying.
    Third, the study provide investors with recommendations for long-term investment and hedging by estimate extreme events through contagion probabilities.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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