Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24430
標題: 台灣主動式和被動式管理股票型基金與股市的整合性研究─群益馬拉松基金和寶來台灣卓越50基金為例
The Study of Active and Passive Management Stock Funds' Integration with Stock Market in Taiwan - The Examples of Capital Marathon Fund and Polaris Taiwan Top 50 Tracker Fund
作者: 曾玉媜
Tseng, Yu-Chen
關鍵字: Integration
整合性
volatility spillover
time-varying conditional correlations
DCC MVGARCH
波動度外溢性
隨時間變動相關性
動態條件相關多變量模型
出版社: 高階經理人碩士在職專班
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摘要: 台灣股市是金融市場的領頭羊,也是經濟發展的重要指標。證券投資信託公司是發行共同基金,更是國內股債市最重要的推手,扮演著舉足輕重的角色,基金經理公司也是國人重要的投資管道之一。隨著金融海嘯的爆發,全球的金融市場一片低迷,而共同基金所呈現的風險波動度外溢性,並不亞於投資單一個股的跌幅風險,其主動式的管理股票型基金,讓投資人不禁疑慮,其共同基金的加值效果,及資訊不對稱而無法全面揭露的情形之下, 基金投資,是否投資人以此為依歸,且真正以共同基金投資的benchmark,隨著金融市場投資的多元化,投資風險的規避更形重要。本研究選擇以台灣主動式管理股票型基金,以群益馬拉松基金淨值報酬率為例,和台灣大盤股價指數股價報酬率作為整合性之研究,及台灣被動式管理股票型基金,以寶來台灣卓越50基金淨值報酬率為例,和台灣50指數股價報酬率為主要研究對象。樣本期間採用2003年6月15日到2010年12月31日四項日資料,探討台灣主動式管理股票型基金與台灣被動式管理股票型基金淨值報酬率與台灣大盤與50指數股價報酬率間波動度外溢性及隨著時間變動相關性。使用 DCC (Dynamic Conditional Correlation) 之多變量GARCH (Generalized Autoregressive Conditional Heteroskedasticity) 一般化自我迴歸條件異質變異數模型,來探討台灣主動式管理股票型基金淨值、台灣被動式管理股票型基金淨值、台灣大盤及台灣50指數四項日資料之淨值報酬率與股價報酬率間的波動度外溢性與隨時間變動相關性之現象。
Taiwan''s stock market is the leader of the financial markets that is an important indicator of economic development. Is to issue securities investment trust mutual funds, domestic stock is the most important promoter of the bond market plays a pivotal role in fund management firms they are also important investment channel for the people. With the outbreak of financial crisis, global financial markets in the doldrums, and mutual funds the risk presented by the spillover of volatility, and no less than the risk of decline in investment in a single stock, the active management of equity funds, so investors can not help but doubt, its value-added effect of mutual funds, and information asymmetry can not fully reveal the circumstances, fund investment, whether to invest in people as in mind, and truly mutual fund investment benchmark, with the diversity of financial market investment , investment risk aversion is more important. The study in Taiwan active management equity fund, Capital Marathon Fund net rate of return, for example, and the Taiwan stock index stock market returns as integration of research, and Taiwan passive management equity funds, to Polaris Taiwan Top 50 Tracker Fund net worth return, for example, and the Taiwan 50 Index stock returns was the main object of study. The net value returns of Taiwan active management equity funds, the net value returns of Taiwan passive management equity fund, Taiwan stock market index returns and Taiwan 50 stock index returns are the June 15, 2003 to December 31, 2010 as the samples of time-varying conditional correlations and the volatility spillover effect. Using DCC (Dynamic Conditional Correlation) as much as variable GARCH (Generalized Autoregressive Conditional Heteroskedasticity) generalized autoregressive condition heterogeneous variance model to explore the Taiwan active management equity fund net worth, Taiwan passive management stock fund net worth, and Taiwan Top50 Tracker fund Taiwan market index four item return on net worth information and stock return volatility spillover between and time-varying conditional correlations of the phenomenon.
URI: http://hdl.handle.net/11455/24430
其他識別: U0005-2106201115591000
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2106201115591000
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