投信與基金績效之研究

A Study on the Interactive Relationship between the Performances of Securities Investment Trust Enterprises and Mutual Funds

10.6985/TBFQ.200709.0065

戴錦周(Jin-Jou Dai)；林孟樺(Meng-Hua Lin)

Securities Investment Trust Enterprises SITEs ； Data Envelopment Analysis ； Mutual Fund Performance

台灣金融財務季刊

8卷3期（2007 / 09 / 01）

65 - 91

繁體中文

本文以1998年至2004年之國內開放式股票型基金為研究對象，採用資料包絡分析法評估投信公司及基金的績效，建立聯立模型以探討投信公司及基金績效的影響因素以及兩者間互動關係。本文利用三階段最小平方法推估模型，實證結果顯示：基金績效的確會影響投信公司的績效，且其關係是非線性的；而投信公司績效對基金績效的影響則不顯著。此外，前期基金績效對當期基金績效有正面的影響；經理人更迭、基金週轉率對基金績效則有負面的影響。在投信績效方面，前期投信績效、長期資金適合率、成立年數越高的投信公司，其管理績效也越高。其次，屬於外資投信者，績效較差；屬於金控公司的投信，績效較佳。

The objective of this study is to explore the influences of managerial efficiency and characteristics of securities investment trust companies, and characteristics of funds, on the performance of mutual funds. The study evaluated the investment trust companies and mutual funds with data envelopment analysis. Three stages least squares method was used to estimate the simultaneous equation system which models the interaction between the performances of investment trust companies and mutual funds. The results show that the relationship between the efficiency indexes of investment trust companies and funds was negative. The efficiency index of funds in the previous period yielded a positive effect on the current index; more frequent turnover rate of fund managers and transactions of securities had negative effects on the performance of funds. On the other hand, the efficiency of investment trust companies in the previous period, ratio of long term capital, and years since establishment had positive effects on the efficiency of investment trust companies. The performance of financial holding companies was higher while those controlled by foreign investors was lower.

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