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題 名 | 臺灣債券封閉型基金折價與異常報酬之研究 |
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作 者 | 岳宇翔; 陳家彬; | 書刊名 | 國立中興大學臺中夜間部學報 |
卷 期 | 1 1995.11[民84.11] |
頁 次 | 頁317-362 |
分類號 | 563.538 |
關鍵詞 | 共同基金; 折溢價; 異常報酬; 事件研究法; 效率市場假說; Mutual fund; Discount and premium; Abnormal return; Event study; Efficient market; Hypothesis; EMH; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究的主要目的在於探討債券封閉型基金折價的因素與基金在面臨改型之際是 否有異常報酬的現象。資料期間以臺灣四家債券封閉型基金正式上市日期為資料開始,最終 至 83 年 3 月止。 本研究以逐步迴歸法來找出最能解釋折價的最佳自變數。另外,以事件 研究法( Event Study )來觀察基金整個改型期間投資人的報酬變化情形,再以 t 統計量 檢定異常報酬與累積異常報酬是否存在。實證結果發現同時影響債券封閉型基金折價的最佳 自變數有消費者物價指數與股價加權指數。此外,根據相關係數分析發現,除鴻揚基金外, 成交量亦是影響折價因素之一,而廣福與鴻揚基金也受新基金供給與需求因素的影響。另外 ,基金在改型期間的確存在顯著的異常與累積異常報酬的現象,由此亦可證明臺灣基金市場 並不符合半強式效率市場假說。 |
英文摘要 | This paper aims to investigate the discounts and abnormal returns (AR) of the closed-end bond funds being reorganized in Taiwan. Monthly data are used and the period starts from the date of each fund going public and ends in March 1994. This research adopts Step-wise Regression to search the best explanatory variables for discounts. Also. we use Event Study to observe the abnormal returns of the funds' investors during the reorganizing period, and use t-test to examine whether ARs and CARs exist or not. The empirical results indicate that the best explanatory variables for the closed-end bond funds' discounts include Consumer Price Index and Stock Market Index. In addition, according to the calculated Pearson correlaiton coefficients, except Hom-Yang fund, volume is also a significant variable in explaining the discounts. Further, for Kwan-Fu and Hom-Yang funds, the discounts are also affected by new funds' supply and demand. Finally, the empirical findings show that there do exist significant ARs and CARs during the reorganizing period. According to these results, we can conclude that the mutual fund market in Taiwan is inconsistent with the hypothesis of semi-strong form efficient market. |
本系統中英文摘要資訊取自各篇刊載內容。