台灣發行跨國投資共同基金效率之研究

Abstract

本篇論文旨在研究由國內投信公司所發行之共同基金效率，且該基金的主要投資標的為投資國外地區股票及有價證券。本文的研究期間與樣本為民國88年至民國91年四年期間，21支台灣所發行的跨國投資共同基金。並利用了資料包絡分析法與隨機邊界法兩個估計經濟效率的方法來估計共同基金之技術效率。而在本研究中，我們所選取的產出項為淨值報酬率，投入項為累計買進週轉率、各項費用總額、年化標準差。 而本研究所得到的結論如下所示： 1.共同基金的規模大小對基金的效率有正向相關，即表示共同基金的規模越大，則該基金的效率越佳。 2.更換基金經理人頻率對基金的效率有負向相關，即表示更換基金經理人頻率越頻繁，基金的效率越差。 3.全球型基金、區域型基金、單一國家型基金其效率是有差異的，且一般而言，單一國家型效率最佳、區域型效率次之、全球型效率最差。表示國內基金投資國外地區，應適當的集中投資於單一小區域。 4.民國88年至91年基金效率值並沒有逐年提昇或逐年下降之趨勢。 5.國內的共同基金效率，會因為投信公司不同，而有所差異。 6.隨機邊界法與資料包絡分析法兩者皆與傳統績效指標Sharpe績效指標、Treynor績效指標呈正向關係，表示隨機邊界法與資料包絡分析法兩者皆可以用於績效之衡量。

This thesis analyzes the efficiency of mutual funds issued by Taiwan’s security investment trust companies. They investment targets limit in stocks and securities issued in offshore regions. We select twenty-one mutual funds during 1999 to 2003 as the samples. The technical efficiency scores are computed by two methods: data envelopment analysis (DEA) and stochastic frontiers (SF). The output is returns of net asset value (RNAV) and inputs are cumulate turnover, total expenses, and standard deviation of RNAV. Our major findings are as follows: (1) Efficiency is significantly positively related to a mutual fund’s size. (2) Efficiency is negatively related to the frequency of changing fund managers. (3) In average, a single-country fund has the highest efficiency, a regional fund has the medium efficiency, and a global fund has the lowest efficiency. (4) During 1999 to 2002, the efficiency of these funds did not have a significantly increasing or decreasing trend. (5) Different security investment trust companies have significantly different mutual fund efficiencies. (6) DEA and SF efficiency scores are significantly positively related to traditional financial performance measures such as Sharpe and Treynor indices.