VIX指數對共同基金績效的影響 : 以國內發行亞太區域股票型基金為例

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Title:	VIX指數對共同基金績效的影響 : 以國內發行亞太區域股票型基金為例
Other Titles:	The effect of VIX on the mutual fund performance : the case of domestic issue of the Asia-Pacific regional equity fund
Authors:	劉美惠;Liu, Mei-Hui
Contributors:	淡江大學管理科學學系企業經營碩士在職專班莊忠柱;Chuang, Chung-Chu
Keywords:	VIX指數;臺指選擇權波動率指數;共同基金績效;基金報酬率;VIX;TVIX;Mutual Fund Performance;Returns
Date:	2012
Issue Date:	2013-04-13 11:24:39 (UTC+8)
Abstract:	本研究以2011年12月(含)以前於台灣公開發行的亞洲區域股票型基金35檔為研究對象，藉著GARCH(1,1)-M模型探討VIX指數與臺指選擇權波動率指數(以下簡稱TVIX)對共同基金績效的影響。研究結果顯示，經Kupiec(1995)檢定，發現VIX指數對共同基金績效是有影響的且係數估計值全數為負。VIX指數對個別共同基金績效呈現顯著負向影響。此外，TVIX指數對共同基金績效亦是有影響的且係數估計值全數為負，經Kupiec(1995)檢定，亦發現TVIX指數與個別共同基金績效呈現顯著負向影響。本研究的結果可作為投資台灣公開發行的亞洲區域股票型基金之投資人的參考。 The study researches the 35 Asia-Pacific regional equity funds issued in Taiwan before Dec. 2011 and discusses the influence of VIX Index and the Taiwan Volatility Index (TVIX) on the performance of mutual funds by using GARCH (1,1)-M Model. The result of study shows, Kupiec (1995) verification an influential relation between VIX and the mutual funds and the coefficient estimated values are all negative which indicate the negative relation between the performance of mutual funds and VIX. The study shows the same negative influential relation and coefficient estimated values between TVIX and performance of mutual funds. The result of the study could be a reference to the investors who invest Asia-Pacific regional equity funds.
Appears in Collections:	[Department of Management Sciences] Thesis

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