臺灣博碩士論文加值系統

近年來，共同基金儼然成為投資人重要的理財工具。而買賣基金時，投資人最重視的是基金績效的好壞，根據許多文獻的觀察，基金績效的確是投資人作為投資基金的依據。因此，此行為最直接的反應是在投資人對基金投資的流量上，原因是開放型基金提供投資人隨時申購贖回的服務所造成這種流動性需求。
主研究的主要目的是以在台灣發行的開放式股票型基金作為研究標的，討論投資人的買賣行為是否為策略性補償而造成金融脆弱，尤其又根據台灣證券交易所 (TWSE) 的條款把流動性分成流動以及非流動，分析在非流動性基金對於壞績效的流出量會多於在流動性的基金。
研究方法採用台灣經濟新報的資料，下載其開放式股票型基金，並透過三種績效指標 (Jensen Index, Sharpe Index and Information Ratio) 做迴歸分析之後的結果顯示出非流動性基金對於壞績效的流出量的敏感度的確高於流動性的基金。結果更進一步指出，金融脆弱的原因主要是投資人的恐慌所造成的。

This research provided evidence that strategic complementarities among investors generate fragility in financial markets. Using the investment flow of open-end equity mutual funds, with a unique data from Taiwan Economic Journal (TEJ) database, the aim of this study is to analyze the investors’ behavior of redemption in Taiwan mutual fund flows according to the regulations stipulated by Taiwan Stock Exchange (TWSE). This study tried to test that outflows are more sensitive to bad performance in illiquid funds than in liquid funds. According to the results gained from data analyses, funds with illiquid assets exhibit stronger sensitivity of outflows to bad past performance than funds with liquid assets. Results further indicated that the panic of investors was the cause of financial fragility.

ACKNOWLEDGEMENTS Ⅰ
CHINESE ABSTRACT Ⅱ
ENGLISH ABSTRACT Ⅲ
TABLE OF CONTENTS Ⅳ
LIST OF TABLES Ⅶ
CHAPTER
I. INTRODUCTION 1
Background 1
Motivation 7
Scope of Study 10
Purpose of Study 12
Research Hypothesis 13
Summary 14
II.REVIEW OF LITERATURE 15
Introduction of Mutual Funds 15
．History of Mutual Funds 15
．Classification of Mutual Funds 18
．Merits and Demerits of Mutual Funds 22
Definition of Liquidity 24
．Price Dimension 25
．Time Dimension 26
．Transaction Level Dimension 27
Fund Performance-Flows 27
．Effect of Performance on Fund flows 30
．Effect of Fund flows on Performance 30
．Others reasons to affect fund flows and performance 35
Investors-Fund Performance 36
Control Variables 41
．Size and Flows 41
．Age and Flows 42
．Expense and Flows 43
Summary 43
III.METHODOLOGY 45
Research Design 45
．Research Hypothesis 45
．Research Gap 46
．Purpose of Study 46
Data 47
Research limitations 50
Summary 50
IV.RESULTS 52
Hypothesis: the effect of liquidity 52
．Overview 52
．Table 1 55
Regression Analysis 56
．Table 2 57
．Table 3 60
Summary 62
V. CONCLUSION 63
REFERENCES 66


LIST OF TABLES
Page
Table 1 Summary statistics 55
Table 2 Effect of liquidity on flow-performance sensitivities (Full sample) 57
Table 3 Effect of liquidity on flow-performance sensitivities (Subsample) 60

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