檢視債券型基金績效與流量之動態關連－應用多元隨機波動模式

Investigate the Dynamic Relationship between Mutual Fund Flows and Performance

陳森松(Sen-Sung Chen)；黃憲彰(Shian-Chang Huan)；王南喻(Nan-Yu Wang)；張華然(Huajan Chang)

基金績效 ； 基金流量 ； 基金規模 ； 隨機波動模型 ； 動態相關 ； Fund performance ； Fund flow ； Fund scale ； Stochastic volatility model ； Dynamic correlation

企業管理學報

74期（2007 / 09 / 01）

41 - 65

繁體中文

文獻上對於共同基金績效與基金流量之波動關係研究者不多，並且其研究方法多以橫斷面迴歸、自我迴歸分析、Granger因果關係等方法來探討。有別於相關文獻，本文則運用多元隨機動模型來檢視台灣債券型基金績效與基金流量之動態關連性。本研究之取樣為自民國89年7月至94年12月止，研究期間為一長時間特性，樣本為橫跨完整的66個月資料。根據中華民國投信投顧公會網站上取得之債券型基金（投資國內）作為研究對象。並依據研究期間內之平均基金績效分為五個等級，進一歩檢視台灣債券型基金（投資國內）績效與基金流量之動態關連性。研究結果顯示(1)國內的債券型基金（投資國內）的績效差時，其基金績效與流量具有雙向外溢效果。(2)無論績效等級好或壞，國內債券型基金（投資國內）的績效與流量皆受到自身落後一期波動的影響程度很高。(3)績效等級為第2級出現績效的波動受流量的單向波動影響。另一方面，也發現基金績效等級的分類，是造成母體基金績效是否與基金流量具有資訊傳遞的動態關係。期望本研究結果可作為基金經理人管理基金、投資人購買基金及政府機構擬定相關措施時之重要參考依據。

There are few researches to investigate the relationship between on the response of mutual fund flows and past fund performance. Different from traditional approaches such as cross sectional regressions, autoregressive regressions, and Granger causality tests, this study employs bivariant stochastic volatility model to investigate the relationship of fund flows and past fund performance's volatility. Using data from SITCAROC (Security Investment Trust and Consulting Association of The R.O.C.), we ranked the data into five classes according to their performance, and applied Markov Chain Monte Carlo methods to estimation the parameters of the model, which captures the stochastic dynamic relationship between the response of mutual fund flows and fund returns. Our empirical results showed that there is significant bi-directional spillover between volatility of mutual fund flows and volatility of fund returns in the poorest class, and in all classes the volatility of fund flows and returns are highly persistent. If volatility represents a kind of risk, then the risk information are efficiently transmitted in the poorest class between fund flow and performance. These empirical results will help investors in their decision in mutual fund investments.

1. 王南喻、陳信憲(2006)。開放式股票型基金績效與流量關係之研究－台灣地區境內基金市場實證。企業管理學報，69，73-96。
   連結：
2. 游智賢、曾婉禎(2002)。共同基金之外溢與排擠效果。財務金融學刊，11(2)，99-123。
   連結：
3. Andersen, T.,Chung, H.,Sorensen, B.(1999).Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study.Journal of Econometrics,91,61-87.
4. Working Paper
5. Bekaert, G.,Harvey, C. R.(2002).National Bureau of Economic Research.USA:Cambridge, MA.
6. Berk, J. B.,Green, R. C.(2004).Mutual Fund Flows and Performance in Rational Markets.The Journal of Political Economy,112(6),1269-1285.
7. Chevalier, J.,Ellison, G.(1997).Risk Taking by Mutual Funds as a Response To Incentives.Journal of Political Economy,105(6),1167-1200.
8. Chib, S.,Greenberg, E.(1995).Understanding the Metropolis-Hastings algorithm.American Statistician,49,327-335.
9. Danielsson, J.(1994).Stochastic volatility in asset prices: Estimation with simulated maximum likelihood.Journal of Econometrics,64,375-400.
10. Gelfsand, A.,Smith, A.(1990).Sampling –based Approaches to Calculating Marginal Densities.Journal of the American Statistical Association,85,398-409.
11. Harvey, A.C.,Ruiz, E.,Shephard, N.(1994).Multivariate stochastic variance models.Review of Economic Studies,61,247-264.
12. Hastings, W. K.(1970).Monte Carlo sampling methods using Markov chains and their applications.Biometrika,57,97-109.
13. Huang, J.,Wei, K. D.,Yan, H.(2007).Participation Costs and the Sensitivity of Fund Flows to Past Performance.Journal of Finance,62(3),1273-1311.
14. Ippolito, R.(1992).Consumer reaction to measures of poor quality: Evidence from the mutual fund industry.The Journal of Law and Economics,35,45-70.
15. Jacquier, E.,Polson, N.G.,Rossi, P.E.(1994).Bayesian analysis of stochastic volatility models.Journal of Business and Economic Statistics,12(4),69-87.
16. Johnson, W. T.(2004).Predictable investment horizons and wealth transfers among mutual fund shareholders.Journal of Finance,59(5),1979-2012.
17. Kim, S.,Shephard, N.,Chib, S..Stochastic volatility: Likelihood inference and comparison with ARCH models.Review of Economic Studies,65
18. Ping H.(2001).Two essays on mutual fund risk-taking and flow-performance relationship.Georgia State University.
19. Rakowski,Alexander, D.(2003).Two essays on short-term mutual fund flows.Georgia State University.
20. Roston, M. N.(1996).Ph.D. thesis.University of Chicago.
21. Sirri, E. R.,Tufano, P.(1998).Costly search and mutual fund Flows.Journal of Finance,53(5),1589-1622.
22. Working Papers
23. Zhi W.,Nanda V.,Zheng L.(2004).Three essays on the strategies of mutual Funds.University of Michigan.
24. Zoran, I.(2002).Essays in financial economics.Yale University.
25. 李賢源(2003)。健全台灣債券市場的迫切性與重要性。台灣經濟戰略研討會
26. 許培基(2001)。國科會專題研究計劃國科會專題研究計劃,未出版
27. 許培基(2002)。國科會專題研究計劃國科會專題研究計劃,未出版
28. 許培基、葉銀華、郭溫慈(2000)。台灣共同基金的投資行爲－績效與流量。第九屆證券暨金融市場理論與實務研討會論文發表

1. 陳森松、吳明政、王南喻(2008)。投資型保單之保戶選取連結基金標的之行為研究：以國內某壽險公司投資型保險商品為例。風險管理學報，10(2)，157-182。
2. 林長利、周奇勳(2016)。債券型基金定期定額投資與單筆總額投資績效分析。管理資訊計算，5(1)，45-60。