碩士 / 義守大學 / 管理科學研究所 / 83 / Recently, international mutual funds are getting popular in Taiwan previous studies only look at the purchasing mativation and affectiong factors of international mutual funds. Therefore, this study attempts to evaluate the performance of international mutual funds in Taiwan.
This study utilizes non-information evaluation models (Treynor, Sharpe and Jensen) and information evaluation models (Treynor & Mazuy model, Henriksson & Merton model) to conduct performance evaluation. It also applies Kendall harmony coefficient, Friedman statistic, Person and Kendall correlation coefficients to test consistence. Finally, this study uses t statistic and One-Way ANOVA to test the performance among different funds.
The results can be summarized as follows:
1. Most funds have positive excess return, I-Fu Japan fund and I-Fu Japan small business fund perform the best.
2. In therms of model consistence, non-information evaluation model find inconsistence, while information evaluation model find consistence.
3. In terms of performance persistence, Jensen rank correlation coeffi-cient has the highest value, but statistically insignificant.
4. In the first half period, I-Fu perform better than Fu-Dar; In the second half period, Fu-D ar perform better than I-Fu.
| Identifer | oai:union.ndltd.org:TW/083ISU03457010 |
| Date | January 1995 |
| Creators | 蔡如梅 |
| Contributors | , 徐守德, 鄭燕琴 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 83 |
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