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dc.contributor.authorTseng, Yu-Chenen_US
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dc.description.abstract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。zh_TW
dc.description.abstractTaiwan''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.en_US
dc.description.tableofcontents目 錄 第一章 緒論------------------------------------------------------------------------------------- 1 第一節 研究背景與動機---------------------------------------------------------------- 1 第二節 研究對象與範圍---------------------------------------------------------------- 3 第三節 研究目的------------------------------------------------------------------------- 3 第四節 研究流程------------------------------------------------------------------------- 4 第二章 文獻探討------------------------------------------------------------------------------- 5 第一節 金融市場間的整合性之相關研究------------------------------------------- 5 第二節 恆定性檢定之相關研究------------------------------------------------------17 第三節 動態條件相關多變量GARCH模型之相關研究------------------------18 第四節 文獻回顧與研究方向---------------------------------------------------------21 第三章 研究方法------------------------------------------------------------------------------22 第一節 研究架構------------------------------------------------------------------------22 第二節 基金淨值報酬率與股價指數報酬率的整合性---------------------------23 第三節 恆定性檢定---------------------------------------------------------------------24 第四節 兩階段動態條件相關多變量GARCH模型------------------------------27 第四章 實證分析------------------------------------------------------------------------------33 第一節 研究樣本與研究期間---------------------------------------------------------33 第二節 台灣大盤指數、台灣50指數及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的樣本敘述統計分析------------------35 第三節 台灣大盤指數、台灣50指數、台灣主動式管理股票型基金及台灣被 動式管理股票型基金的恆定性檢定---------------------------------------35 第四節 馬拉松基金和寶來台灣卓越50基金分別與台灣大盤指數、台灣50指數之DCC MVGARCH模型的實證結果-------------------------------36 第五節 馬拉松基金和寶來台灣卓越50基金分別與台灣大盤指數、台灣50 指數之整合性的實證分析----------------------------------43 第五章 研究結論與建議---------------------------------------------------------------------49 第一節 結論------------------------------------------------------------------------------49 第二節 策略意涵------------------------------------------------------------------------52 第三節 研究建議------------------------------------------------------------------------53 參考文獻------------------------------------------------------------------------------------------------55 附錄---------------------------------------------------------------60 圖 次 圖1-1 研究流程-------------------------------------------------------------------------------- 4 圖3-1 研究架構--------------------------------------------------------------------------------22 圖4-1馬拉松基金之淨值報酬率與與台灣大盤指數之股價報酬率間隨時間變動 的相關係數-----------------------------------------------------------------------------------45 圖4-2台灣卓越50基金之淨值報酬率與台灣大盤指數之股價報酬率間隨時間變 動的相關係數--------------------------------------------------------------------------------45 圖4-3馬拉松基金之淨值報酬率與台灣50指數之股價指數報酬率間隨時間變動 的相關係數-----------------------------------------------------------------------------------46 圖4-4寶來台灣卓越50基金之淨值報酬率與台灣50指數股價指數報酬率間隨時 間變動的相關係數-------------------------------------------------------------------------46 表 次 表2-1 金融市場間的整合性之相關文獻整理------------------------------------------10 表4-1 變數名稱及說明---------------------------------------------------------------------33 表4-2 四項變數的報酬率之離群值數與最終樣本數彙整---------------------------34 表4-3 四項變數的報酬率之敘述統計---------------------------------------------------35 表4-4 四項變數的報酬率之單根檢定--------------------------------------36 表4-5 台灣大盤指數、台灣50指數與馬拉松基金與寶來台灣卓越50基金間 的單變量GARCH模型 - 平均數迴歸式--------------------------------------37 表4-6 台灣大盤指數、台灣50指數與馬拉松基金及寶來台灣卓越50基金之 單變量GARCH模型 - 變異數迴歸式-----------------------------------------39 表4-7 單變量GARCH模型的選擇------------------------------------------------------40 表4-8 馬拉松基金和寶來台灣卓越50基金分別與台灣大盤指數、台灣50指 數及之DCC MVGARCH模型 - 平均數迴歸式----------------------41 表4-9 馬拉松基金和寶來台灣卓越50基金分別與台灣大盤指數、台灣50指 數及之DCC MVGARCH模型 - 共變異數迴歸式---------------------------42 表4-10 隨時間變動的相關係數之敘述性統計----------------------------------47 表4-11 馬拉松基金和寶來台灣卓越50基金分別與台灣大盤指數、台灣50指 數之整合性--------------------------------------------------48 附表2-1 第一階段台灣大盤指數股價報酬率(RTW)之單變量GARCH------------62 附表2-2 第一階段台灣大盤指數股價報酬率(RTW)之單變量GARCH------------63 附表2-3 第一階段台灣50指數股價報酬率(RTW50)之單變量GARCH-----------64 附表2-4 第一階段台灣50指數股價報酬率(RTW50)之單變量GARCH-----------65 附表2-5 第一階段馬拉松基金淨值報酬率(RMAF)之單變量GARCH--------------66 附表2-6 第一階段馬拉松基金淨值報酬率(RMAF)之單變量GARCH--------------67 附表2-7第一階段寶來台灣卓越50基金淨值報酬率(RP50F)之單變量GARCH -----------------------------------------------------------------------------------------------68 附表2-8 第一階段寶來台灣卓越50基金淨值報酬率(RP50F)之單變量GARCH -----------------------------------------------------------------------------------------------69 附表2-9 第二階段馬拉松基金淨值報酬率、台灣大盤指數股價報酬率 DCC MVGARCH結果----------------------------------------------------------------70 附表2-10第二階段寶來台灣卓越基金淨值報酬率、台灣大盤指數股價報酬率 DCC MVGARCH結果---------------------------------------------------------71 附表2-11第二階段馬拉松基金淨值報酬率、台灣50指數股價報酬率 DCC MVGARCH結果----------------------------------------------------------------72 附表2-12第二階段寶來台灣卓越50基金淨值報酬率、台灣50指數股價報酬率 DCC MVGARCH結果---------------------------------------------------------73zh_TW
dc.subjectvolatility spilloveren_US
dc.subjecttime-varying conditional correlationsen_US
dc.subjectDCC MVGARCHen_US
dc.titleThe 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 Funden_US
dc.typeThesis and Dissertationzh_TW
item.openairetypeThesis and Dissertation-
item.fulltextno fulltext-
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