中國股票型基金擇時與選股能力評估

Evaluation of the Market Timing and Stock Selection Ability of Greater Chinese Stock Mutual Funds

10.6846/TKU.2015.00386

張佳鳳

中國A股基金 ； 擇時能力 ； 選股能力 ； 基金規模 ； 週轉率 ； China A-Shares Mutual Fund ； Marketing Timing ； Selection Ability ； Fund Scale ； Turnover rate

淡江大學財務金融學系碩士在職專班學位論文

2015年

碩士

李沃牆

繁體中文

早期台灣投資人即已熟悉透過中國基金參與中國成長。中國基金演化的過程亦由最早的中概股基金發展至目前純中國A股基金、指數型基金，但礙於法令開放的速度、所以純A股基金的實際操作的績效可能較短，因此本研究在研究對象中將區分為早期的大中華基金、具QFII額度的高純度A股基金的績效與其指標比較進行短中期的比較，期能驗證國內中國基金具有擇時選股能力。本研究以國內投信所發行的中國股票型基金為研究對象來探討基金經理人績效。 實證上利用傳統的Treynor and Mazuy (1996)與Henriksson and Merton(1981)模型，異質變異數修正的T-M-GARCH、H-M-GARCH模型進行基金擇時能力與選股能力及系統性風險的比較。同時也應用緃橫迴歸模型(Panel Regression Model)分析基金規模、週轉率下與基金淨值報酬率的關係。實證結果大致與文獻一致，即大部分的股票型基金績效具有持續性 ; 然而，中國股票型基金經理人具有選股能力及負向的擇時能力；另一方面，本研究也證實基金規模、週轉率亦是影響基金績效的顯著因子，而本文的研究可做為理論與實務上的參考。

Early Taiwan investors already were familiar to participate in China Growth through Greater Chinese stock mutual funds .The developments of Greater Chinese stock mutual funds have some differences due to the open door police of china. So, the Greater Chinese Stock funds were distinguished as Chinese concept funds, Chinese A-shares stock funds and Chinese ETFs. We try to evaluate the performance of these funds. In empirical study, we apply the traditional T-M model, H-M-model and modified T-M-GARCH, H-M-GARCH model to compare with the ability of selection ability and market timing ability of different Chinese A-share funds’ manager. In addition, we also investigate the relationship between the scale of the fund, turnover rate and the net return with panel regression analysis model. The empirical results are consistent with some early researches. Most of the greater Chinese A-shares funds manager’s performance haven’t the consistence．Also, the fund managers have the negative market timing ability, alos with the stock selection ability. On the other hand, evidences also confirmed that the fund scale, turnover rate are also significant factors affecting the performance of the fund. The empirical results of this thesis can also available for theoretical or practical operation reference.

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