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|Other Titles: ||Domestic open-end stock fund's value of investment and evaluation of performance|
|Authors: ||劉汝燕;Liu, Ju-Yen|
|Keywords: ||開放式股票型基金;操作績效持續性;相對績效;逐步迴歸;open-end stock mutual funds;operational performance persistence;relative performance;stepwise regression model|
|Issue Date: ||2014-01-23 13:38:30 (UTC+8)|
|Abstract: ||論文提要內容： |
二、國內開放式股票型基金在持續性方面表現的不理想，分析期間裡僅存在一檔基金排名可橫跨三年均保持在前20% (即統一大滿貫)；而排名後20% 持續三年者則有三檔基金，其操作績效均表現的非常糟糕；藉由spearman等級相關係數檢定後發現整體持續性欠佳，只有民國99年與100年會呈現顯著正相關，而在民國97年與98年則出現顯著負相關，一旦橫跨期間超過兩年以上時，績效的持續性亦隨之流失。
In the domestic financial market, investors are often regarded mutual funds as their primary investment instruments. This study mainly focuses on open-end stock funds’ data compiled by Chiu Shian Bi and Lee Cun Shiu, who are both professors of NTU Department of Finance. We compare monthly, quarterly and annually fund return with rate-of-return of stock market, then try to establish relative performance index .Besides, we analyze the relationship between fund’s performance beat the market ratio, the average rate-of-return of all funds and rate-of-return of stock market. We observe the change of fund’s annual performance rankings to examine its persistence and stability through Spearman rank correlation coefficient. Finally, we attempted to look for an ideal investment strategy by using correlation analysis and stepwise regression model.
The main empirical findings as below:
1.During the research period, we found domestic open-end stock funds had good performance in May, July and August per annually. The third season is the most outstanding with regard to seasons. Besides, 2012 yield a better yearly performance.
2.There was not ideal with respect to persistence of domestic open-end stock funds. Because in our analysis period, the only one fund which kept on top of 20% within three years (UPAMC Quality Growth); however, there were three funds which situated on the last 20% and had bad three years consecutive performance. As a whole, after Spearman rank correlation coefficient test, we found the performance of persistence was not good. There were significantly positive correlation between 2010 and 2011. But, there were significantly negative correlation between 2008 and 2009. As soon as periods beyond more than two years, the performances of the persistence disappeared.
3.We find rate-of-return of financial minus rate-of-return of stock market is important explanatory variable through Pearson correlation analysis. Utilize stepwise regression model, we know when financial stocks become mainstream of the market, then domestic open-end stock funds have negative performance. Moreover, it is not a ideal timing to invest open-end stock mutual funds.
|Appears in Collections:||[國際企業學系暨研究所] 學位論文|
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