台股基金淨資產規模在2007年10月底創下5,251億元台幣高水位後，隨即因全球次貸危機而一路挫低至2009年1月的2,283億元台幣，衰退幅度高達56.5%。之後雖逐漸自風暴中走出，但至今仍未再現5,000億元規模時之風華。因此，台股基金市場成長受限之論點四處流竄。為客觀實證台股基金市場未來成長性之可能走向，本研究擬運用複迴歸分析模型探討市場論點--「台股基金市場成長性受限」之可信度。
本研究係以台股基金單位數月變動量為被解釋變數，並擇取外銷訂單月變動量、台銀一年期定存利率月變動量、台灣加權指數月底收盤變動量、外資月買/賣超金額、整體台股基金平均月報酬率相對大盤月報酬率、整體台股基金Sharpe ratio相對大盤Sharpe ratio、台股基金月變動檔數、ETF單位數月變動量、境外基金業務、全權委託業務、1997亞洲金融風暴及2007全球次貸危機等12項數列為解釋變數，進行必要之調整後，以複迴歸模型分析而得具顯著解釋力之模型。
而分析模型中的12個解釋變數，有8個變數p-value在5%顯著水準之下，具顯著解釋力。僅外銷訂單月變動量、ETF單位數月變動量、境外基金業務及2007全球次貸危機對台股基金單位數變動量之解釋力不顯著。
此外，複迴歸分析模型所呈現之樣本外預測值僅於窄幅中波動，顯示2010/11-2011/12台股基金單位數預測值變動幅度不大。而Holt Winters所呈現之預測值更顯露出疲態，呈現一等差下降趨勢。此分析結果正與市場論點--「台股基金市場成長性受限」一說相呼應。 / October 2007, net assets of Taiwan domestic equity funds reached the historical high, NT$ 525.1billion. After that, net assets setback to NT$ 228.3 billion in January 2009 due to global subprime mortgage crisis, declining by as much as 56.5%. Although the market has gradually ridden out the crisis, the fund scale has not yet retrieved the plateau of NT$ 500 billion. Therefore, an argument is ubiquitous in the market which implies that the growth potential of Taiwan domestic equity fund has been capped. For verifying the credibility of this argument, the empirical study would apply for multiple regression to research it.
This study defines monthly changes in Taiwan domestic equity fund units as a dependent variable. 8 out of 12 explanatory variables which p-values are below the 5% significance level tend to reject the null hypotheses. That represents these variables are significantly explanatory. Monthly changes in the amount of export orders, monthly changes ETF units, offshore fund business and the 2007 subprime mortgage crisis are only 4 variables which are not significantly explanatory for dependent variable.
In addition, multiple regression analysis model shows that fund unit forecasts from Nov. 2010 to Dec. 2011 fluctuate in a very narrow range. That reveals the forecasted fund units among Nov. 2010 – Dec. 2011 just have modest changes. At the same time, the forecasted fund units from Holt Winters expose the weakness, showing a downward trend in arithmetic. Both of results from multiple regression and Holt Winters seem to identically echo the market argument –‘the growth potential of Taiwan domestic equity fund market has been capped.’
| Identifer | oai:union.ndltd.org:CHENGCHI/G0098932055 |
| Creators | 陳月姿, Chen, Yueh Chih |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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