中國大陸共同基金之投資績效分析

Abstract

共同基金在歐美等成熟市場已經是具有百年歷史的理財工具，但對近幾年經濟快速起飛的中國來說，卻是一個新興而起的投資標的。基金在中國市場的滲透率仍低，隨著投資人財富增加，過去一年來，基金規模快速成長，投資人對基金的需求熱度已在加溫當中，部分中國基金公司也已開放台灣居民可以申購中國地區發行之共同基金。本研究總共統計71檔基金（包括54檔封閉式基金及17檔開放式基金）之月報酬，研究期間為2002年12月至2005年12月止。本研究所有樣本基金之資料來源，取自中國證監會、上海交易所、深圳交易所、中國人民銀行、中國和訊網及中國基金網等單位綜合所得，彙整而出。本研究透過下列五個章節，藉實證角度評估中國地區共同基金之績效。 首先一、緒論，主要是說明研究之背景與動機及研究目的，同時，也針對中國基金業之階段發展與現況做一分析；二、中國基金業的階段與現況發展；三、文獻探討：藉由績效評估指標相關文獻、台灣共同基金績效評估相關文獻及中國共同基金績效評估相關文獻，探討共同基金之理論依據與架構；四、研究方法：首先先建立研究假說，再依各變數之定義做一說明，並且提出評估模式，最後藉由Mann-Whitney U 檢定，檢定中國地區共同基金加入風險後之績效表現與股價指數變動有無顯著差異；四、實證分析：以三個研究假說，透過績效評估模式，求出實證結果；五、結論與建議。 本研究發現，從Sharpe、Jensen和Treynor三個指標來看，許多基金之績效顯著優於大盤指數，特別是以Jensen指標作為評估時，則有高達49檔基金之績效顯著優於大盤（深圳綜合指數），由上述研究結果來看，選股能力是共同基金績效優劣的主要因子。

In the fast-growing mainland Chinese market, mutual funds are still newly-emerging financial intermediaries. After the Chinese government lifted the limitation the overall fund size in China has been increasing tremendously during the past one year due to soaring demands from local people as well as Taiwanese investors. This study computes monthly performance of 71 mutual funds (including 54 closed-end and 17 open-end mutual funds) in mainland China from December 2002 to December 2005. The panel data set is constructed mainly from China Securities Regulatory Commission, Shanghai Stock Exchange, Shenzhen Stock Exchange, People’s Bank of China, Hexun.com, and Chinafund websites. This thesis is organized as follows: Chapter 1 introduces the motive and objective of the study as well as the current status of China mutual fund market. Chapter 2 is the history and the development of mutual funds market in China. Chapter 3 states the theoretical background by reviewing literature on performance evaluation of mutual funds in Taiwan and China. Chapter 4 is the research methodology, including hypothesis setup, definitions of financial performance indices, and the Mann-Whitney U test. Chapter 5 is the empirical analysis in which three research hypotheses verified. Chapter 6 contains the conclusion and suggestion. Some mutual funds significantly outperformed the market stock index changes with respect to Sharpe, Jensen, and Treynor indices. Especially for the Jensen index, 49 significantly outperformed the Shengzhen stock price index, implying that the superior stock selection ability is a key factor for a mutual fund’s performance.