台灣地區基金之分項投入效率: 隨機邊界分析之應用

Abstract

本研究使用隨機邊界分析法評估台灣地區187 檔國內開放股票型共同基金2011至2015 年之整體經營效率及分項投入效率，同時分析環境變數對效率值之影響，並且將樣本基金分為兩類(一般型、專業型基金)並比較。研究結果發現：一般型基金之整體經營效率及直接交易成本效率較專業型基金高，但費用成本效率為專業型基金較高；除基金年齡對兩分項投入效率無顯著影響，其餘無效率解釋變數於整體經營效率及兩分項投入效率皆有顯著影響，其中影響效果於整體經營效率及費用成本效率中是相同的，並與直接交易成本效率相反，支持了分項投入效率值之間具有替換關係。投資國內上櫃股票比例對於三種效率值皆具有負向影響。

This paper applies a frontier-based efficiency measure, the stochastic frontier approach (SFA), to evaluate fund overall efficiency and the efficiency of each input, and also to assess the inefficiency effect from the inefficiency explanatory variables by using samples with 187 Taiwan open-end domestic equity funds during 2011 to 2015, also, we divide the samples into two categories (diversified and specialized) and compare them. The empirical results indicate that the fund overall efficiency and the direct transaction cost efficiency of diversified funds are higher than those of specialized funds, but the expense cost efficiency of diversified funds is lower than that of the specialized funds. Except that AGE does not have a significant influence on two disaggregate input efficiency, the inefficiency effect of the other six inefficiency explanatory variables is the same for fund overall efficiency and expense cost efficiency, but is opposite to direct transaction cost efficiency. The trade-off relationship among the disaggregate input efficiencies is hence confirmed. Last, the percentage invested in domestic OTC market is negatively related to all three efficiency measures.