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題名 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
作者 蔡依璇
貢獻者 郭維裕
蔡依璇
關鍵詞 擁擠性
規模投資
價值投資
動能投資
日期 2016
上傳時間 20-Jul-2016 16:37:09 (UTC+8)
摘要 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。
參考文獻 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.
描述 碩士
國立政治大學
國際經營與貿易學系
103351013
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103351013
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 蔡依璇zh_TW
dc.creator (作者) 蔡依璇zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 20-Jul-2016 16:37:09 (UTC+8)-
dc.date.available 20-Jul-2016 16:37:09 (UTC+8)-
dc.date.issued (上傳時間) 20-Jul-2016 16:37:09 (UTC+8)-
dc.identifier (Other Identifiers) G0103351013en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99284-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 103351013zh_TW
dc.description.abstract (摘要) 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。
zh_TW
dc.description.tableofcontents 表目錄 ……………………………………………………………… III
圖目錄 ……………………………………………………………… IV
第一章 緒論 ……………………………………………………… 1
第一節 研究動機與目的 …………………………………………1
第二節 文獻探討 …………………………………………………2
第三節 研究貢獻 …………………………………………………3
第二章 研究方法 ……………………………………………………4
第一節 資料描述 …………………………………………………4
第二節 風險因子 …………………………………………………7
第三節 擁擠性之定義 ……………………………………………8
第三章 實證結果與分析 ………………………………………….9
第一節 共同基金逐期迴歸分析 …………………………………9
第二節 各風險因子之擁擠性 ……………………………………12
第三節 擁擠性的決定性因素 ……………………………………16
第四節 穩健性測試 ………………………………………………18
第四章 研究結論與建議 …………………………………………20
參考文獻 ……………………………………………………………21
zh_TW
dc.format.extent 1149869 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103351013en_US
dc.subject (關鍵詞) 擁擠性zh_TW
dc.subject (關鍵詞) 規模投資zh_TW
dc.subject (關鍵詞) 價值投資zh_TW
dc.subject (關鍵詞) 動能投資zh_TW
dc.title (題名) 台灣共同基金交易擁擠性之研究zh_TW
dc.title (題名) The study of fund manager’s trade crowdedness in Taiwan stock marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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.
zh_TW