東協基金的擇時與選股能力及績效持續性評估

The Evaluation of Market Timing Ability, Stock Selection Ability and Performance Persistence of ASEAN Stock Mutual Funds

10.6846/TKU.2016.00229

李秀蓉

東協基金 ； 擇時能力 ； 選股能力 ； 績效指標 ； 績效持續性 ； ASEAN Mutual Fund ； Timing Selection Ability ； Stock Selection Ability ； Performance Indicator ； Performance Persistence

淡江大學財務金融學系碩士在職專班學位論文

2016年

碩士

李沃牆博士

繁體中文

東協共同基金在臺灣的發展歷程相當年輕，目前在臺灣市場銷售的東協基金中，主要以股票型基金為主，是區域型基金非單一國家型態。在金融海嘯前東協基金發行只有9檔，之後投資人在全球各國經濟衰退及蕭條中，發掘東協國家是唯一經濟成長的區域，東協基金因而應運而生。 本研究以發行超過四年的東協基金為研究標的，分為一年期、二年期及四年期，用來探討基金經理人的擇時與選股能力及績效持續性評估。實證上利用夏普指標(Sharpe Index)、崔納指標(Treynor Index)、詹森指標(Jensen Alpha)及資訊比率(Information Ratio)共四種指標評估績效，同時也應用Spearman等級相關檢定，進行東協基金績效持續性之評估，以及傳統的Treynor and Mazuy(1966)及Heriksson and Merton(1981)模型，加入異質變異數修正的T-M-GARCH、H-M-GARCH進行基金擇時與選股能力及系統性風險的比較。 實證結果發現，東協股票型基金績效指標以四年期表現較佳，檢定不同期間的績效指標排名結果，東協股票型基金大部分具有持續性。而擇時與選股能力方面，基金經理人在擇時能力的表現普遍優於市場，擇時能力佳；但其選股能力，大部分具有負向的選股能力，顯示東協股票型基金經理人不具有選股能力。本文實證結果亦可供投資人實務操作之參考。

There were only eight ASEAN Stock Mutual Funds before the financial crisis in 2008 but have been expanded since investors found the ASEAN was the only region, where its economy continued to grow comparing to other regions. The purposes of this study were to explore fund managers’ market timing ability and stock selection ability and to evaluate the performance of ASEAN Stock Mutual Funds issued for over four years. The author analyzed data from one-year, two-year and four-year periods of ASEAN Funds and used Sharpe, Treynor, Jensen and IR to evaluate their performance. The study also examined their performance persistence by using Spearman and adopted the traditional T-M model, H-M model and modified T-M-GARCH and H-M-GARCH to explore the fund managers’ abilities of market timing and stock selection and compare the systematic risk. The empirical study revealed that performance indicator was better at four-year period of ASEAN Mutual Fund and performance persistence at most of ASEAN Mutual Fund was statistically significant. In terms of market timing ability and stock selection ability for fund managers, the study showed that, overall, they were better than that of market benchmark but were lack of stock selection ability. The results of this study can also be a reference as investors’ practical operation.

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