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| 研究生： |
王子維 Wang, Tzu-Wei |
|---|---|
| 論文名稱： |
共同基金資金流向與指數報酬關係研究-以法人及散戶角度分析 The relationship between Aggregate Fund Flow and Index Returns-an institutional-retail investor perspective |
| 指導教授： |
岳夢蘭
Yueh, Meng-Lan |
| 口試委員: |
盧敬植
Lu, Ching-Chih 賴弘能 Lai, Hung-Neng 岳夢蘭 Yueh, Meng-Lan |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2018 |
| 畢業學年度： | 106 |
| 語文別： | 中文 |
| 論文頁數： | 33 |
| 中文關鍵詞： | 共同基金資金流 、機構投資人 、散戶投資人 、投資人風險情緒 |
| 外文關鍵詞： | Mutual fund flow, Institutional investors, Retail investors, Investor sentiment |
| DOI URL： | http://doi.org/10.6814/THE.NCCU.Finance.023.2018.F07 |
| 相關次數： | 點閱：174 下載：102 |
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本研究運用週資料針對美國股票型、新興市場股票型、北美高收益債券型以及北美投資等級債券型之整體、散戶以及法人共同基金資金流向與指數報酬間關係做探討。結果發現兩者在當期存在高度的正向關係。而針對兩者之因果關係之分析則發現，遞延一或兩期之指數報酬對於當期共同基金資金流有相當顯著之正向影響，也就是投資人具有正向回饋交易之行為，而散戶及機構法人皆有同樣的情況。反向關係的探討上，資金流對於指數報酬之價格衝擊的效果則不明顯，此與過去研究的結果一致。
另外，對於機構法人及散戶資金流間關係的分析中發現，散戶有跟隨法人資金流之傾向。雖然研究觀察到法人在新興市場股票共同基金有跟隨散戶資金流的情形，但這可能仍是理性之投資行為，這也隱含了機構法人相對散戶投資人確實具有較充分之資訊。而針對共同基金資金流是否為良好之風險情緒指標之分析顯示，法人資金流是反映投資人風險情緒較好之指標。散戶投資人之資金流則是會在情緒好轉或惡化後，才會在下一週有實際資金流入或流出的反應。
In this paper, we study the relation between weekly market index returns and aggregate fund flow into U.S. equity, emerging market equity, North America high yield bond and North America investment grade bond. Aggregate fund flow data of each asset class are divided into retail and institutional flow as well. The concurrent relation between flow and return is positive and highly correlated. Our tests also indicate that aggregate flow generally follows index returns with one or two-week lag, which suggests positive feedback-trading of both retail and institutional investors. Nonetheless, we have not found evidence to support the price impact of fund flow on market returns.
Further, when it comes to the relation between retail and institutional fund flow, tests show that retail investors would follow institutional investors on the weekly basis. Institutional investors, however, only follows retail investors in emerging market equity with rational reasons. This might imply that institutional investors are more informed and sophisticated than retail investors. As for the analysis of fund flow and investor sentiments, the result shows retail investor flow follows sentiment indicator with a one-week lag, while concurrent institutional flow and investor sentiments are positively correlated.
第一章 緒論 1
1.1 研究動機 1
1.2 研究目的 2
第二章 文獻回顧 3
2.1 投資人種類及行為 3
2.2 共同基金資金流對資產報酬之價格壓力效果 4
2.3 理性與非理性之正向回饋交易 5
2.4 文獻小結 6
第三章 研究方法 8
3.1 樣本資料來源與樣本期間 8
3.2 研究模型及變數定義 10
第四章 實證結果分析 13
4.1 敘述統計分析 13
4.2 可預期及不可預期資金流 16
4.3 各資產類別共同基金資金流與報酬間關係 18
4.4 法人及散戶資金流關係 25
4.5 共同基金資金流與投資人風險情緒 28
第五章 研究結論 31
參考文獻 32
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