碩士 / 國立交通大學 / 經營管理研究所 / 91 / 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.
| Identifer | oai:union.ndltd.org:TW/091NCTU0457044 |
| Date | January 2003 |
| Creators | Cheng-Hsien Huang, 黃程献 |
| Contributors | Jin-Li Hu, 胡均立 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 81 |
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