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| Title: | 共同基金資金流向與指數報酬關係研究-以法人及散戶角度分析
The relationship between Aggregate Fund Flow and Index Returns-an institutional-retail investor perspective |
| Authors: | 王子維
Wang, Tzu-Wei |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
王子維
Wang, Tzu-Wei |
| Keywords: | 共同基金資金流
機構投資人
散戶投資人
投資人風險情緒
Mutual fund flow
Institutional investors
Retail investors
Investor sentiment |
| Date: | 2018 |
| Issue Date: | 2018-09-03 15:47:18 (UTC+8) |
| Abstract: | 本研究運用週資料針對美國股票型、新興市場股票型、北美高收益債券型以及北美投資等級債券型之整體、散戶以及法人共同基金資金流向與指數報酬間關係做探討。結果發現兩者在當期存在高度的正向關係。而針對兩者之因果關係之分析則發現，遞延一或兩期之指數報酬對於當期共同基金資金流有相當顯著之正向影響，也就是投資人具有正向回饋交易之行為，而散戶及機構法人皆有同樣的情況。反向關係的探討上，資金流對於指數報酬之價格衝擊的效果則不明顯，此與過去研究的結果一致。
另外，對於機構法人及散戶資金流間關係的分析中發現，散戶有跟隨法人資金流之傾向。雖然研究觀察到法人在新興市場股票共同基金有跟隨散戶資金流的情形，但這可能仍是理性之投資行為，這也隱含了機構法人相對散戶投資人確實具有較充分之資訊。而針對共同基金資金流是否為良好之風險情緒指標之分析顯示，法人資金流是反映投資人風險情緒較好之指標。散戶投資人之資金流則是會在情緒好轉或惡化後，才會在下一週有實際資金流入或流出的反應。
In this paper, we study the relation between weekly market index returns and aggregate fund flow into U.S. equity, emerging market equity, North America high yield bond and North America investment grade bond. Aggregate fund flow data of each asset class are divided into retail and institutional flow as well. The concurrent relation between flow and return is positive and highly correlated. Our tests also indicate that aggregate flow generally follows index returns with one or two-week lag, which suggests positive feedback-trading of both retail and institutional investors. Nonetheless, we have not found evidence to support the price impact of fund flow on market returns.
Further, when it comes to the relation between retail and institutional fund flow, tests show that retail investors would follow institutional investors on the weekly basis. Institutional investors, however, only follows retail investors in emerging market equity with rational reasons. This might imply that institutional investors are more informed and sophisticated than retail investors. As for the analysis of fund flow and investor sentiments, the result shows retail investor flow follows sentiment indicator with a one-week lag, while concurrent institutional flow and investor sentiments are positively correlated. |
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| Description: | 碩士
國立政治大學
財務管理學系
105357014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105357014 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.Finance.023.2018.F07 |
| Appears in Collections: | [財務管理學系] 學位論文
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