台灣封閉型基金擇時能力之研究－持股比率分析

The Relation between Mutual Funds' Stock Holdings and Market Timing-A Study on Taiwan Stock Market

10.6226/NTURM1998.9.1.87

楊朝成(Chau-Chen Yang)；廖咸興(Hsien-Hsing Liao)

持股比率 ； 封閉型基金 ； 擇時能力 ； Stock holdings ； market timing ； close-end mutual funds

臺大管理論叢

9卷1期（1998 / 12 / 01）

87 - 112

繁體中文

要本文利用持股比率資訊，將譯時能力之衡量分為(1)與市場同步移動(CO-movements)之衡量與(2)持股水平配合市場變化之情形之衡量。本文發現，四種傳統模式在經過Newy & West方法加以修正後，在本研究設定的標準下，並無法完全測出基金之擇時能力；有些基金一直維持高持股比率，卻未隨市場之變化而調整持股；有些基金隨市場之變化而調整持股，但卻維持偏低之持股比率。此兩種類型皆未能掌握市場多空之變化，擇時能力較差。

This study measures the market timing ability through the following two indicators: (1) the co-movement between a fund's stock holding change and the market index and (2) the speed of the adjustment of a fund's stock holding level when market condition changes. According to the above two timing ability indicators, this study finds that after the Newy & West modification, the traditional four models cannot measure funds' timing ability correctly

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