政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130533

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130533

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/130533

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130533

Title:	投資人情緒對債券型基金流向的影響 The impact of investor sentiment on bond related mutual fund
Authors:	藍苡宸 Lan, Yi-Chen
Contributors:	周冠男 Robin K. Chou 藍苡宸 Lan, Yi-Chen
Keywords:	投資人情緒債券型基金基金流量芝加哥期權交易所波動率指數台指選擇權波動率指數 Investor Sentiment Bond Mutual Fund Fund Flow VIX TAIWAN VIX
Date:	2020
Issue Date:	2020-07-01 13:39:16 (UTC+8)
Abstract:	近年來共同基金市場蓬勃發展，其中受惠於低利率環境，又以債券型基金成長速度最快。故此研究著重於檢視投資人情緒是否會影響債券型基金流量。其中投資人情緒分別以芝加哥期權交易所市場波動率指數和台指選擇權波動率指數當替代變數。觀察台灣投資人面對不同市場波動所產生的投資人情緒時是否會有不同的投資決策。本研究實證結果發現，以專注於投資級債券為主的固定收益型基金來說，芝加哥期權交易所波動率指數對其基金流量為顯著負向影響，而台指選擇權波動率指數對其基金流量為顯著正向影響，顯示投資人情緒的確能影響以投資型債券為主的固定收益型基金；以專注於非投資及債券為主的高收益行基金來說，無論芝加哥期權交易所波動率指數及台指選擇權波動率指數對其基金流量皆無顯著影響。但深究其中，發現芝加哥期權交易所波動率指數對申購量及贖回量皆有正向影響，而台指選擇權波動率指數對申購量及贖回量皆存在負向影響。顯示投資人在面對不同市場投資人情緒波動時仍有影響，但於高收益債方面，其對申購量和贖回量的影響會相互抵銷。 The mutual fund market has booming in recent years. Among them, benefiting from the low interest rate environment, the bond fund has becoming the fastest growing product in the market. Therefore, this study focuses on examining whether investor sentiment would affect bond fund flows. Investor sentiment is using the Chicago Board Options Exchange Market Volatility Index (COBE VIX) and the Taiwan Exchange Option Volatility Index (Taiwan VIX) as a proxy to observe whether Taiwanese investors will have different investment decisions when faced with investor sentiment arising from different market fluctuations. The empirical results of this study found that for International Fixed-income Fund category, the COBE VIX has a significant negative impact on its fund flows, while the Taiwan VIX has a significant positive effect on its fund flow, showing that investor sentiment can indeed affect fixed-income funds flows which mainly focus on investing in investment-grade bond; For high-yield bond funds that focus on non-investments and bonds, Both the COBE VIX and Taiwan VIX have no significant impact on its fund flows. However, it is found that the COBE VIX has a positive impact on both the subscription volume and the redemption volume, while the Taiwan VIX has a negative impact on both the subscription volume and the redemption volume. It shows that investors still have an influence when facing the emotional fluctuations of investors in different markets, but in terms of high-yield bonds, their impact on the subscription volume and redemption volume will offset each other.
Reference:	Baker, Malcolm, and Jeremy C. Stein, (2004), Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299. Barber, Brad M., Terrance Odean, and Lu Zheng, (2004), Out of sight, out of mind: the effects of expenses on mutual fund flows, Journal of Business 78(6) ,2095-2119. Baker, Malcolm and Jeffrey Wurgler, (2007), Investor Sentiment in the Stock Market, Journal of Economic Perspectives 21, 129-152. Chen and Liu, (2010), A Comparison of Alternative Expected Return Estimation Models for Event Studies: A Simulation Approach, Asia-Pacific Economic and Management Review, Vol. 13, No. 2, p. 89-124 Chung(2013), 鍾育典(2013)。TVIX與各國指數連動性之實證研究。未出版之博碩士論文，國立台灣大學，國際企業學研究所。 Copland, Maggie M. and Copland, Thomas E. (1999), Market Timing: Style and Size Rotation Using the VIX, Financial Analysis Journal, 55(2),73-81. Kang and Lim, (2017). Global Market Volatility and Portfolio Fund Flows in Emerging Market, Korea and the World Economy, Vol. 18, No. 1 (April 2017) 93-110. Ederington, L. H., & Golubeva, E. V., (2011). The impact of stock market volatility expectations on investor behaviour: Evidence from aggregate mutual fund flows. Working paper, University of Oklahoma Pang(2013), 潘勝昱(2013)。總體經濟變數對台灣股價波動性之長、短期影響 --以CARR模型分析，未出版碩士論文，國立清華大學，經濟學研究所。 Simon, D. P. (2003). The Nasdaq Volatility Index During and After the Bubble., The Journal of Derivatives 11(2)., 9-24 Sirri, E., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53, 1589-1622. Traub, H., L. Ferreira; M. McArdle, and M. Antognelli., (2000), Fear and Greed in Global Asset Allocation. The Journal of Investing, 27-32 Whaley, R. E. (1993), Derivatives on market volatility: Hedging tools long overdue. Journal of Derivatives, 71-84. Zeckhauser, Richard, Jayendu Patel, and Darryll Hendricks, (1991), Nonrational actors and financial market behavior, Theory and Decisions 31, 257–287.
Description:	碩士國立政治大學財務管理學系 107357023
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0107357023
Data Type:	thesis
DOI:	10.6814/NCCU202000580
Appears in Collections:	[Department of Finance] Theses

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