國內發行股票型基金績效排名持續性之研究;The study on the persistence of performance rankings on domestic issued equity funds

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题名:	國內發行股票型基金績效排名持續性之研究;The study on the persistence of performance rankings on domestic issued equity funds
作者:	詹玉珍;Chen,Chan-Yu
贡献者:	財務金融學系在職專班
关键词:	基金績效;基金排名;績效持續性;Spearman’s等級相關係數;fund performance;fund ranking;performance persistence;Spearman′s rank correlation coefficient
日期:	2016-06-27
上传时间:	2016-10-13 13:50:24 (UTC+8)
出版者:	國立中央大學
摘要:	本研究在於探討股票型基金績效排名之持續性表現情形，及其對於投資人在選擇基金時是否具有參考價值。所探究之基金為2010年至2015年之國內發行股票型基金，依種類分為國內投資股票基金及跨國投資股票基金；再細部針對國內科技類、中小型、一般股票型與跨國全球型和區域型，在不同基金類型下，分析該基金績效排名持續性的表現。研究方法採用實證研究法與統計檢定方式，採用每年度的淨值報酬率做為基金績效排名，分析前後年基金績效排名的持續性；再以「Spearman’s等級相關係數」檢定法加以驗證並分析連續5年(2010-2015)基金績效都排名在前1/3者。研究結果如下: 一、在觀察期間（2010-2015年），整體來說，國內發行的股票型基金，除了在2011-2012年外，在其他年度績效排名均具有持續性。二、以基金種類分析基金績效排名，國內股票型基金排名持續性優於跨國股票型基金。三、在國內股票型中，一般股票型基金之基金績效排名的參考性優於科技類與中小型。四、在跨國股票型中，全球股票型基金之基金績效排名的參考性優於區域型基金。本研究在不同基金類型上之績效排名的結果將能有效助益於投資人之基金選擇時的參考。 ;This study aimed to investigate the persistence of performance rankings on domestic equity funds and thus to determine whether the persistence data have the reference value for investors in choosing funds. The thesis focused on domestic equity funds issued during the period from 2010 to 2015. The issued equity funds are categorized into two types of domestic and multinational investment equity funds. The persistence of performance rankings was analyzed on the two types of domestic equity funds as well as detailed fund types of domestic technology, small-and-medium, general stock, transnational global and transnational regional type. The empirical research and Spearman’s statistical test were used for research method. The return on net worth of annual account year was used for fund performance ranking. The persistence was further analyzed on the fund performance ranking in before-and-after fiscal year. Furthermore, the Spearman′s rank correlation coefficient test was verified and analyzed for the fund performance ranked in front one third for continuous five years (2010--2015). The results are as follows. 1.During the observation period of 2010 to 2015, on the whole, performance ranking persists in all the account years, except 2011 to 2012, for the domestic equity funds issued. 2.For the performance ranking analysis by fund types, the persistence of domestic equity funds is superior to that of multinational equity funds. 3.For the type of domestic equity funds, the reference value of fund performance ranking on general stock fund is better than those of technology fund and small-and-medium cap fund. 4.For the type of multinational equity funds, the reference value of fund performance ranking on transnational global fund is better than that of transnational regional fund. The research results of performance rankings on various funds would effectively be beneficial for the investors in selecting funds.
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