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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99284


    Title: 台灣共同基金交易擁擠性之研究
    The study of fund manager’s trade crowdedness in Taiwan stock market
    Authors: 蔡依璇
    Contributors: 郭維裕
    蔡依璇
    Keywords: 擁擠性
    規模投資
    價值投資
    動能投資
    Date: 2016
    Issue Date: 2016-07-20 16:37:09 (UTC+8)
    Abstract: 2008年的金融危機使得偵測群聚交易顯得越來越重要,因為群聚交易的出現會威脅全球金融系統和全球經濟的穩定性。然而,群聚交易本身很難辨認,目前還沒有可以偵測群聚交易或群聚交易風格的統一測量方式。
    本研究延續Pojarliev and Levich(2009)所提出的衡量擁擠性的研究方法,將其運用於台灣股票型共同基金市場,觀察台灣基金經理人是否有擁擠性的現象。本研究的結果說明台灣基金經理人的交易具有擁擠性,且呈現相當大幅度的變動,規模溢酬擁擠性從最低-1.65%到最高89%,價值溢酬擁擠性從-87%到60%,動能因子擁擠性則從-54%到88%。值得留意的地方是,在金融海嘯期間,除了價值投資外,其他投資策略擁擠性和投資績效的相關係數皆達中度正相關,代表投資人的投資策略方向趨於一致,群聚現象明顯提升。
    Reference: Blocher, J. (2013) The Externalities of crowded trades. Available at: https://www.sec.gov/divisions/riskfin/seminar/blocher031513.pdf (Accessed: 23 June 2016).
    Chinco, A. (2015a) FEATURE-SELECTION RISK. Available at: http://www.alexchinco.com/feature-selection-risk.pdf (Accessed: 23 June 2016).
    Chinco, A. (2015b) Trading on coincidences *. Available at: http://www.alexchinco.com/trading-on-coincidences.pdf (Accessed: 23 June 2016).
    JEREMY C. STEIN (2009) ‘Presidential address: Sophisticated investors and market efficiency’, The Journal of Finance, 64(4), pp. 1517–1548. doi: 10.1111/j.1540-6261.2009.01472.x.
    Jylhä, Petri and M. Suominen, (2009). "Speculative Capital and Currency Carry Trade Returns," working paper, Helsinki School of Economics.
    Kondor, P., Zawadowski, A., Bolton, P., Chemmanur, T., Hörner, J. and Victoria (2015) Learning in crowded markets *. Available at: http://4nations.org/papers/kondorzawadovski15.pdf (Accessed: 23 June 2016).
    Mallaby, Sebastian, (2009). “A Risky `Systemic` Watchdog,” Washington Post, March 2.
    Marmer, H.S. (2015) ‘Fire! Fire! Is U.S. Low volatility a crowded trade?’, The Journal of Investing, 24(3), pp. 17–37. doi: 10.3905/joi.2015.24.3.017.
    Menkveld, A.J. (2014) ‘Crowded trades: An overlooked systemic risk for central clearing parties by Albert J. Menkveld: SSRN’, . doi: 10.2139/ssrn.2422250.
    Pedersen, Lasse Heje, (2009). “When Everyone Runs for the Exit,” NBER working paper 15297, August.
    Pojarliev, M. and Levich, R.M. (2009) ‘Detecting crowded trades in currency funds by Momtchil Pojarliev, Richard M. Levich: SSRN’, . doi: 10.2139/ssrn.1522208.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351013
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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