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題名 投資人情緒對債券型基金流向的影響
The impact of investor sentiment on bond related mutual fund作者 藍苡宸
Lan, Yi-Chen貢獻者 周冠男
Robin K. Chou
藍苡宸
Lan, Yi-Chen關鍵詞 投資人情緒
債券型基金
基金流量
芝加哥期權交易所波動率指數
台指選擇權波動率指數
Investor Sentiment
Bond Mutual Fund
Fund Flow
VIX
TAIWAN VIX日期 2020 上傳時間 1-Jul-2020 13:39:16 (UTC+8) 摘要 近年來共同基金市場蓬勃發展，其中受惠於低利率環境，又以債券型基金成長速度最快。故此研究著重於檢視投資人情緒是否會影響債券型基金流量。其中投資人情緒分別以芝加哥期權交易所市場波動率指數和台指選擇權波動率指數當替代變數。觀察台灣投資人面對不同市場波動所產生的投資人情緒時是否會有不同的投資決策。本研究實證結果發現，以專注於投資級債券為主的固定收益型基金來說，芝加哥期權交易所波動率指數對其基金流量為顯著負向影響，而台指選擇權波動率指數對其基金流量為顯著正向影響，顯示投資人情緒的確能影響以投資型債券為主的固定收益型基金；以專注於非投資及債券為主的高收益行基金來說，無論芝加哥期權交易所波動率指數及台指選擇權波動率指數對其基金流量皆無顯著影響。但深究其中，發現芝加哥期權交易所波動率指數對申購量及贖回量皆有正向影響，而台指選擇權波動率指數對申購量及贖回量皆存在負向影響。顯示投資人在面對不同市場投資人情緒波動時仍有影響，但於高收益債方面，其對申購量和贖回量的影響會相互抵銷。
The mutual fund market has booming in recent years. Among them, benefiting from the low interest rate environment, the bond fund has becoming the fastest growing product in the market. Therefore, this study focuses on examining whether investor sentiment would affect bond fund flows. Investor sentiment is using the Chicago Board Options Exchange Market Volatility Index (COBE VIX) and the Taiwan Exchange Option Volatility Index (Taiwan VIX) as a proxy to observe whether Taiwanese investors will have different investment decisions when faced with investor sentiment arising from different market fluctuations.The empirical results of this study found that for International Fixed-income Fund category, the COBE VIX has a significant negative impact on its fund flows, while the Taiwan VIX has a significant positive effect on its fund flow, showing that investor sentiment can indeed affect fixed-income funds flows which mainly focus on investing in investment-grade bond; For high-yield bond funds that focus on non-investments and bonds, Both the COBE VIX and Taiwan VIX have no significant impact on its fund flows. However, it is found that the COBE VIX has a positive impact on both the subscription volume and the redemption volume, while the Taiwan VIX has a negative impact on both the subscription volume and the redemption volume. It shows that investors still have an influence when facing the emotional fluctuations of investors in different markets, but in terms of high-yield bonds, their impact on the subscription volume and redemption volume will offset each other.參考文獻 Baker, Malcolm, and Jeremy C. Stein, (2004), Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.Barber, Brad M., Terrance Odean, and Lu Zheng, (2004), Out of sight, out of mind: the effects of expenses on mutual fund flows, Journal of Business 78(6) ,2095-2119.Baker, Malcolm and Jeffrey Wurgler, (2007), Investor Sentiment in the Stock Market, Journal of Economic Perspectives 21, 129-152.Chen and Liu, (2010), A Comparison of Alternative Expected Return Estimation Models for Event Studies: A Simulation Approach, Asia-Pacific Economic and Management Review, Vol. 13, No. 2, p. 89-124Chung(2013), 鍾育典(2013)。TVIX與各國指數連動性之實證研究。未出版之博碩士論文，國立台灣大學，國際企業學研究所。Copland, Maggie M. and Copland, Thomas E. (1999), Market Timing: Style and Size Rotation Using the VIX, Financial Analysis Journal, 55(2),73-81.Kang and Lim, (2017). Global Market Volatility and Portfolio Fund Flows in Emerging Market, Korea and the World Economy, Vol. 18, No. 1 (April 2017) 93-110.Ederington, L. H., & Golubeva, E. V., (2011). The impact of stock market volatility expectations on investor behaviour: Evidence from aggregate mutual fund flows. Working paper, University of OklahomaPang(2013), 潘勝昱(2013)。總體經濟變數對台灣股價波動性之長、短期影響 --以CARR模型分析，未出版碩士論文，國立清華大學，經濟學研究所。Simon, D. P. (2003). The Nasdaq Volatility Index During and After the Bubble., The Journal of Derivatives 11(2)., 9-24Sirri, E., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53, 1589-1622.Traub, H., L. Ferreira; M. McArdle, and M. Antognelli., (2000), Fear and Greed in Global Asset Allocation. The Journal of Investing, 27-32Whaley, R. E. (1993), Derivatives on market volatility: Hedging tools long overdue. Journal of Derivatives, 71-84.Zeckhauser, Richard, Jayendu Patel, and Darryll Hendricks, (1991), Nonrational actors and financial market behavior, Theory and Decisions 31, 257–287. 描述 碩士
國立政治大學
財務管理學系
107357023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357023 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Robin K. Chou en_US dc.contributor.author (Authors) 藍苡宸 zh_TW dc.contributor.author (Authors) Lan, Yi-Chen en_US dc.creator (作者) 藍苡宸 zh_TW dc.creator (作者) Lan, Yi-Chen en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:39:16 (UTC+8) - dc.date.available 1-Jul-2020 13:39:16 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:39:16 (UTC+8) - dc.identifier (Other Identifiers) G0107357023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130533 - 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) 107357023 zh_TW dc.description.abstract (摘要) 近年來共同基金市場蓬勃發展，其中受惠於低利率環境，又以債券型基金成長速度最快。故此研究著重於檢視投資人情緒是否會影響債券型基金流量。其中投資人情緒分別以芝加哥期權交易所市場波動率指數和台指選擇權波動率指數當替代變數。觀察台灣投資人面對不同市場波動所產生的投資人情緒時是否會有不同的投資決策。本研究實證結果發現，以專注於投資級債券為主的固定收益型基金來說，芝加哥期權交易所波動率指數對其基金流量為顯著負向影響，而台指選擇權波動率指數對其基金流量為顯著正向影響，顯示投資人情緒的確能影響以投資型債券為主的固定收益型基金；以專注於非投資及債券為主的高收益行基金來說，無論芝加哥期權交易所波動率指數及台指選擇權波動率指數對其基金流量皆無顯著影響。但深究其中，發現芝加哥期權交易所波動率指數對申購量及贖回量皆有正向影響，而台指選擇權波動率指數對申購量及贖回量皆存在負向影響。顯示投資人在面對不同市場投資人情緒波動時仍有影響，但於高收益債方面，其對申購量和贖回量的影響會相互抵銷。 zh_TW dc.description.abstract (摘要) The mutual fund market has booming in recent years. Among them, benefiting from the low interest rate environment, the bond fund has becoming the fastest growing product in the market. Therefore, this study focuses on examining whether investor sentiment would affect bond fund flows. Investor sentiment is using the Chicago Board Options Exchange Market Volatility Index (COBE VIX) and the Taiwan Exchange Option Volatility Index (Taiwan VIX) as a proxy to observe whether Taiwanese investors will have different investment decisions when faced with investor sentiment arising from different market fluctuations.The empirical results of this study found that for International Fixed-income Fund category, the COBE VIX has a significant negative impact on its fund flows, while the Taiwan VIX has a significant positive effect on its fund flow, showing that investor sentiment can indeed affect fixed-income funds flows which mainly focus on investing in investment-grade bond; For high-yield bond funds that focus on non-investments and bonds, Both the COBE VIX and Taiwan VIX have no significant impact on its fund flows. However, it is found that the COBE VIX has a positive impact on both the subscription volume and the redemption volume, while the Taiwan VIX has a negative impact on both the subscription volume and the redemption volume. It shows that investors still have an influence when facing the emotional fluctuations of investors in different markets, but in terms of high-yield bonds, their impact on the subscription volume and redemption volume will offset each other. en_US dc.description.tableofcontents 1. INTRODUCTION 12. LITERATURE REVIEW AND HYPOTHESIS 32.1 THE RELATIONSHIP BETWEEN VIX AND CAPITAL MARKET 32.2 TAIWAN VOLATILITY INDEX (TAIVIX) 32.3 THE RELATIONSHIP BETWEEN VOLATILITY INDEX AND FUND FLOW 42.4 THE RELATIONSHIP BETWEEN MUTUAL FUND RETURN AND FUND FLOW 42.5 THE RELATIONSHIP BETWEEN MUTUAL FUND FLOW AND OTHER FACTORS 52.6 RESEARCH HYPOTHESIS 63. DATA AND METHODOLOGY 73.1 MARKET SURVEY 73.2 DATA SOURCE 83.3 DATA DESCRIPTION 113.4 MODEL SPECIFICATION 133.5 DATA SELECTION CRITERIA 154. EMPIRICAL RESULT 165. CONCLUSIONS 25REFERENCE 26 zh_TW dc.format.extent 497409 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357023 en_US dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) 債券型基金 zh_TW dc.subject (關鍵詞) 基金流量 zh_TW dc.subject (關鍵詞) 芝加哥期權交易所波動率指數 zh_TW dc.subject (關鍵詞) 台指選擇權波動率指數 zh_TW dc.subject (關鍵詞) Investor Sentiment en_US dc.subject (關鍵詞) Bond Mutual Fund en_US dc.subject (關鍵詞) Fund Flow en_US dc.subject (關鍵詞) VIX en_US dc.subject (關鍵詞) TAIWAN VIX en_US dc.title (題名) 投資人情緒對債券型基金流向的影響 zh_TW dc.title (題名) The impact of investor sentiment on bond related mutual fund en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Baker, Malcolm, and Jeremy C. Stein, (2004), Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.Barber, Brad M., Terrance Odean, and Lu Zheng, (2004), Out of sight, out of mind: the effects of expenses on mutual fund flows, Journal of Business 78(6) ,2095-2119.Baker, Malcolm and Jeffrey Wurgler, (2007), Investor Sentiment in the Stock Market, Journal of Economic Perspectives 21, 129-152.Chen and Liu, (2010), A Comparison of Alternative Expected Return Estimation Models for Event Studies: A Simulation Approach, Asia-Pacific Economic and Management Review, Vol. 13, No. 2, p. 89-124Chung(2013), 鍾育典(2013)。TVIX與各國指數連動性之實證研究。未出版之博碩士論文，國立台灣大學，國際企業學研究所。Copland, Maggie M. and Copland, Thomas E. (1999), Market Timing: Style and Size Rotation Using the VIX, Financial Analysis Journal, 55(2),73-81.Kang and Lim, (2017). Global Market Volatility and Portfolio Fund Flows in Emerging Market, Korea and the World Economy, Vol. 18, No. 1 (April 2017) 93-110.Ederington, L. H., & Golubeva, E. V., (2011). The impact of stock market volatility expectations on investor behaviour: Evidence from aggregate mutual fund flows. Working paper, University of OklahomaPang(2013), 潘勝昱(2013)。總體經濟變數對台灣股價波動性之長、短期影響 --以CARR模型分析，未出版碩士論文，國立清華大學，經濟學研究所。Simon, D. P. (2003). The Nasdaq Volatility Index During and After the Bubble., The Journal of Derivatives 11(2)., 9-24Sirri, E., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53, 1589-1622.Traub, H., L. Ferreira; M. McArdle, and M. Antognelli., (2000), Fear and Greed in Global Asset Allocation. The Journal of Investing, 27-32Whaley, R. E. (1993), Derivatives on market volatility: Hedging tools long overdue. Journal of Derivatives, 71-84.Zeckhauser, Richard, Jayendu Patel, and Darryll Hendricks, (1991), Nonrational actors and financial market behavior, Theory and Decisions 31, 257–287. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000580 en_US
