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題名 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作者 王子維
Wang, Tzu-Wei貢獻者 岳夢蘭
Yueh, Meng-Lan
王子維
Wang, Tzu-Wei關鍵詞 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日期 2018 上傳時間 3-Sep-2018 15:47:18 (UTC+8) 摘要 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.參考文獻 Avramov, D., Chordia, T., and Goyal, A. (2006). Liquidity and autocorrelations in individual stock returns. The Journal of Finance, 61(5), 2365-2394. Barclay, M. J., and Warner, J. B. (1993). Stealth trading and volatility: Which trades move prices?. Journal of Financial Economics, 34(3), 281-305. Chakravarty, S. (2001). Stealth-trading: Which traders’ trades move stock prices?. Journal of Financial Economics, 61(2), 289-307. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. Edelen, R. M., and Warner, J. B. (2001). Aggregate price effects of institutional trading: a study of mutual fund flow and market returns. Journal of Financial Economics, 59(2), 195-220. Edwards, F. R., and Zhang, X. (1998). Mutual funds and stock and bond market stability. Journal of Financial Services Research, 13(3), 257-282. Fisher, K. L., and Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Gervais, S., Kaniel, R., and Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919. Greenwood, R. (2007). Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. The Review of Financial Studies, 21(3), 1153-1186. Harris, L., and Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. the Journal of Finance, 41(4), 815-829. Humphrey, J. E., Benson, K. L., and Brailsford, T. J. (2013). Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note. Abacus, 49(1), 34-45. James, C., and Karceski, J. (2006). Investor monitoring and differences in mutual fund performance. Journal of Banking & Finance, 30(10), 2787-2808. Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kaniel, R., Saar, G., and Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273-310. Keswani, A., and Stolin, D. (2006). Mutual Fund Performance Perspective and Competition: A Cross‐Sector Analysis. Journal of Financial Research, 29(3), 349-366. Lee, C., Shleifer, A., and Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. Lee, Y. T., Liu, Y. J., Roll, R., and Subrahmanyam, A. (2004). Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange. Journal of Financial and Quantitative Analysis, 39(2), 327-341. Llorente, G., Michaely, R., Saar, G., and Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(4), 1005-1047. McCullough, B. D. (1997). An analysis of stock market transactions data. The Quarterly Review of Economics and Finance, 37(4), 887-903. Shleifer, A., and Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33. Warther, V. A. (1995). Aggregate mutual fund flows and security returns. Journal of Financial Economics, 39(2-3), 209-235. 描述 碩士
國立政治大學
財務管理學系
105357014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357014 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 王子維 zh_TW dc.contributor.author (Authors) Wang, Tzu-Wei en_US dc.creator (作者) 王子維 zh_TW dc.creator (作者) Wang, Tzu-Wei en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Sep-2018 15:47:18 (UTC+8) - dc.date.available 3-Sep-2018 15:47:18 (UTC+8) - dc.date.issued (上傳時間) 3-Sep-2018 15:47:18 (UTC+8) - dc.identifier (Other Identifiers) G0105357014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119878 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357014 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1 1.1 研究動機 1 1.2 研究目的 2 第二章 文獻回顧 3 2.1 投資人種類及行為 3 2.2 共同基金資金流對資產報酬之價格壓力效果 4 2.3 理性與非理性之正向回饋交易 5 2.4 文獻小結 6 第三章 研究方法 8 3.1 樣本資料來源與樣本期間 8 3.2 研究模型及變數定義 10 第四章 實證結果分析 13 4.1 敘述統計分析 13 4.2 可預期及不可預期資金流 16 4.3 各資產類別共同基金資金流與報酬間關係 18 4.4 法人及散戶資金流關係 25 4.5 共同基金資金流與投資人風險情緒 28 第五章 研究結論 31 參考文獻 32 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357014 en_US dc.subject (關鍵詞) 共同基金資金流 zh_TW dc.subject (關鍵詞) 機構投資人 zh_TW dc.subject (關鍵詞) 散戶投資人 zh_TW dc.subject (關鍵詞) 投資人風險情緒 zh_TW dc.subject (關鍵詞) Mutual fund flow en_US dc.subject (關鍵詞) Institutional investors en_US dc.subject (關鍵詞) Retail investors en_US dc.subject (關鍵詞) Investor sentiment en_US dc.title (題名) 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 zh_TW dc.title (題名) The relationship between Aggregate Fund Flow and Index Returns-an institutional-retail investor perspective en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avramov, D., Chordia, T., and Goyal, A. (2006). Liquidity and autocorrelations in individual stock returns. The Journal of Finance, 61(5), 2365-2394. Barclay, M. J., and Warner, J. B. (1993). Stealth trading and volatility: Which trades move prices?. Journal of Financial Economics, 34(3), 281-305. Chakravarty, S. (2001). Stealth-trading: Which traders’ trades move stock prices?. Journal of Financial Economics, 61(2), 289-307. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. Edelen, R. M., and Warner, J. B. (2001). Aggregate price effects of institutional trading: a study of mutual fund flow and market returns. Journal of Financial Economics, 59(2), 195-220. Edwards, F. R., and Zhang, X. (1998). Mutual funds and stock and bond market stability. Journal of Financial Services Research, 13(3), 257-282. Fisher, K. L., and Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Gervais, S., Kaniel, R., and Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919. Greenwood, R. (2007). Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. The Review of Financial Studies, 21(3), 1153-1186. Harris, L., and Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. the Journal of Finance, 41(4), 815-829. Humphrey, J. E., Benson, K. L., and Brailsford, T. J. (2013). Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note. Abacus, 49(1), 34-45. James, C., and Karceski, J. (2006). Investor monitoring and differences in mutual fund performance. Journal of Banking & Finance, 30(10), 2787-2808. Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kaniel, R., Saar, G., and Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273-310. Keswani, A., and Stolin, D. (2006). Mutual Fund Performance Perspective and Competition: A Cross‐Sector Analysis. Journal of Financial Research, 29(3), 349-366. Lee, C., Shleifer, A., and Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. Lee, Y. T., Liu, Y. J., Roll, R., and Subrahmanyam, A. (2004). Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange. Journal of Financial and Quantitative Analysis, 39(2), 327-341. Llorente, G., Michaely, R., Saar, G., and Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(4), 1005-1047. McCullough, B. D. (1997). An analysis of stock market transactions data. The Quarterly Review of Economics and Finance, 37(4), 887-903. Shleifer, A., and Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33. Warther, V. A. (1995). Aggregate mutual fund flows and security returns. Journal of Financial Economics, 39(2-3), 209-235. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.023.2018.F07 -
