頁籤選單縮合
題 名 | 共同基金資金投資率因果關係之研究=The Causality Relationship on the Rate of Cash Investment of Mutual Fund |
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作 者 | 李顯儀; 李培誠; 莊英俊; | 書刊名 | 財金論文叢刊 |
卷 期 | 15 2011.12[民100.12] |
頁 次 | 頁1-18 |
分類號 | 563.538 |
關鍵詞 | 共同基金; 資金投入率; VAR模型; Mutual fund; Rate of cash investment; VAR model; |
語 文 | 中文(Chinese) |
中文摘要 | 傑出基金經理人的交易行為在市場上常常具有指標的效應,所以當傑出基金經理人在市場因看多或看空未來,會使的資金投入率亦隨之增加或減少,此時是否其他基金經理人亦會模仿與跟隨之。本研究主要研究目的在於探討國內金鑽獎得獎基金經理人(傑出基金)的資金投入率是否會領先其他基金經理人?經本文實證結果有兩點發現:其一,在多頭時期中,中小型與科技型金鑽獎基金的資金投入率有領先同類型非金鑽基金之情形;但一般型金鑽獎基金並無領先同類型非金鑽基金。另一,在空頭市場中,無論是一般型、中小型與科技型金鑽獎基金的資金投入率皆無領先同類型非金鑽基金的資金投入率。 |
英文摘要 | The trading behavior of outstanding mutual fund manager usually has benchmark effect in the market, hence, when performance mutual fund manager to think the bull market (or bull market) in the future, the rate of cash investment will increase (or decrease) along with it, and other mutual fund manager will also imitate and follow them. The main research objective of this study is to investigate whether the rate of cash investment of domestic recipient of golden diamond mutual fund manager (outstanding mutual fund) will lead other mutual fund manager? The empirical result has two findings. One, the rate of cash investment of medium-small and technological type golden diamond mutual fund leads the non-golden diamond mutual fund of the same type, but the general type golden diamond mutual fund does not lead the non-golden diamond mutual fund of the same type in the bull market period. Another, the no matter it is general type or medium-small and technological type golden diamond mutual fund, the rate of cash investment does not lead the rate of cash investment of non-golden diamond mutual fund of the same type in the bear market. |
本系統中英文摘要資訊取自各篇刊載內容。