政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60311

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60311

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政大典藏 > College of Commerce > Executive Master of Business Administration > Theses > Item 140.119/60311

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60311

Title:	台股基金市場成長性分析 Analysis on growth of taiwan equity fund market
Authors:	陳月姿 Chen, Yueh Chih
Contributors:	郭炳伸 Kuo, Biing Shen 陳月姿 Chen, Yueh Chih
Keywords:	台股基金境內基金境外基金 Taiwan equity fund onshore fund offshore fund
Date:	2010
Issue Date:	2013-09-05 14:04:48 (UTC+8)
Abstract:	台股基金淨資產規模在2007年10月底創下5,251億元台幣高水位後，隨即因全球次貸危機而一路挫低至2009年1月的2,283億元台幣，衰退幅度高達56.5%。之後雖逐漸自風暴中走出，但至今仍未再現5,000億元規模時之風華。因此，台股基金市場成長受限之論點四處流竄。為客觀實證台股基金市場未來成長性之可能走向，本研究擬運用複迴歸分析模型探討市場論點--「台股基金市場成長性受限」之可信度。本研究係以台股基金單位數月變動量為被解釋變數，並擇取外銷訂單月變動量、台銀一年期定存利率月變動量、台灣加權指數月底收盤變動量、外資月買/賣超金額、整體台股基金平均月報酬率相對大盤月報酬率、整體台股基金Sharpe ratio相對大盤Sharpe ratio、台股基金月變動檔數、ETF單位數月變動量、境外基金業務、全權委託業務、1997亞洲金融風暴及2007全球次貸危機等12項數列為解釋變數，進行必要之調整後，以複迴歸模型分析而得具顯著解釋力之模型。而分析模型中的12個解釋變數，有8個變數p-value在5%顯著水準之下，具顯著解釋力。僅外銷訂單月變動量、ETF單位數月變動量、境外基金業務及2007全球次貸危機對台股基金單位數變動量之解釋力不顯著。此外，複迴歸分析模型所呈現之樣本外預測值僅於窄幅中波動，顯示2010/11-2011/12台股基金單位數預測值變動幅度不大。而Holt Winters所呈現之預測值更顯露出疲態，呈現一等差下降趨勢。此分析結果正與市場論點--「台股基金市場成長性受限」一說相呼應。 October 2007, net assets of Taiwan domestic equity funds reached the historical high, NT$ 525.1billion. After that, net assets setback to NT$ 228.3 billion in January 2009 due to global subprime mortgage crisis, declining by as much as 56.5%. Although the market has gradually ridden out the crisis, the fund scale has not yet retrieved the plateau of NT$ 500 billion. Therefore, an argument is ubiquitous in the market which implies that the growth potential of Taiwan domestic equity fund has been capped. For verifying the credibility of this argument, the empirical study would apply for multiple regression to research it. This study defines monthly changes in Taiwan domestic equity fund units as a dependent variable. 8 out of 12 explanatory variables which p-values are below the 5% significance level tend to reject the null hypotheses. That represents these variables are significantly explanatory. Monthly changes in the amount of export orders, monthly changes ETF units, offshore fund business and the 2007 subprime mortgage crisis are only 4 variables which are not significantly explanatory for dependent variable. In addition, multiple regression analysis model shows that fund unit forecasts from Nov. 2010 to Dec. 2011 fluctuate in a very narrow range. That reveals the forecasted fund units among Nov. 2010 – Dec. 2011 just have modest changes. At the same time, the forecasted fund units from Holt Winters expose the weakness, showing a downward trend in arithmetic. Both of results from multiple regression and Holt Winters seem to identically echo the market argument –‘the growth potential of Taiwan domestic equity fund market has been capped.’
Reference:	中文部份 1.中華民國證券投資信託暨顧問商業同業公會年報(民國90-98) 2.康榮寶，兩岸基金業者合作發展之可行性與配套措施，委託單位：中華民國證券投資信託暨顧問商業同業公會，民國95/10/31 3.邱顯比，台灣發展亞太資產管理中心評估，委託單位：中華民國證券投資信託暨顧問商業同業公會及台灣集中保管結算所，民國98/6/18 4.劉憶如，外資在台灣證券交易市場角色之研究，台灣證券交易所委託研究，民國93年7月 5.我國投信投顧業發展之建議案，中華民國證券投資信託暨顧問商業同業公會， 2008/6/6 6.共同基金成為儲存退休金的主要理財工具之一，中華民國證券投資信託暨顧問商業同業公會 9702 國際動態 7.金融海嘯後全球金融改革對我國資產管理產業之影響，中華民國證券投資信託暨顧問商業同業公會 9905 國際動態 8.邱永和、陳玉涓、陳素緞、陳愷夫，國內共同基金之績效評估，東吳大學會計學報第一卷第一期，2008年11月，pp 29-52 9.賴志賢，境外基金市場開放對國內資本市場影響之個案研究，國立台灣科技大學管理研究所，2006(碩士論文) 10.石桂鳳，外資買賣超行為與臺灣股價變動之研究，國立政治大學行政管理碩士學程，2008 11.陳翔益，勞工退休金帳戶自選投資方案之研究，淡江大學保險學系保險經營碩士在職專班 12.王泓仁，台幣匯率對我國經濟金融活動之影響，中央銀行季刊第二十七卷第一期，民國九十四年三月 13.劉麗茹，淺談勞工退休金開放勞工自選方案，台灣勞工｜第16期，勞工委員會勞工退休基金監理會主任秘書 14.鍾惠民、周賓凰、孫而音，財務計量Eviews的運用，台北：新陸書局，2009/9 15.邱皓政，量化統計與統計分析(基礎版)，台北：五南出版社，2008/10 英文部份 1.J. Holton Wilson, Barry Keating, John Galt Solutions, Inc., Business Forecasting With ForecastXTM Sixth Edition, Mcgraw-Hill International Edition 2.Sharpe, W.F. (1966), Mutual Fund Performance, Journal of Business 39(1): 119-138 3.Kho, B. and R. M. Stulz and F. E. Warnock (2006), U.S. Home Bias in Developed and Emerging Markets , ”Financial Globalization, Governance, and the Evolution of the Home Bias” NBER Working Paper Series, No. 12389 4.Alfaro, L. and, R. Kim (2009), U.S. Subprime Mortgage Crisis: Policy Reactions (A), Harvard Business School 5.Alfaro, L. and, R. Kim (2009), U.S. Subprime Mortgage Crisis: Policy Reactions (B), Harvard Business School
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 98932055 99
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0098932055
Data Type:	thesis
Appears in Collections:	[Executive Master of Business Administration] Theses

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