碩士 / 國立清華大學 / 計量財務金融學系 / 103 / In 2014, the scale of offshore fund in Taiwan exceeded the domestic fund which reached 33.503 billion NTD. We have learned that the offshore funds are allowed to hold more derivatives than domestic funds. Therefore we wonder how the offshore funds perform with the higher limit of derivatives. In traditional mutual fund performance measure, security selectivity and market timing are considered. Based on the traditional one, we use a new performance measure to evaluate fund manager’s hedging ability, which refers to the portfolio the manager used to hedge the shifts he expects the market information would have. In our paper, all three aspects, security selectivity, market timing and hedge timing, are measured. In addition, we use the OLS to figure out the way derivatives are used. To detect selection ability and timing ability of a mutual fund manager, a sample of 77 offshore funds investing in US, Europe, Japan and global area are used. We compare the difference of performance in different invest area. Moreover, the sample is divided into two parts according to the limit relaxed in 2008 to compare the hedge timing. The result shows the funds invested in US and Europe are more likely to hedge future information shifts by derivatives while those invested in Japan and global area use derivatives as tools to increase invest efficiency. We also find that the funds invested in US and global area increase the hedge timing after 2008.
| Identifer | oai:union.ndltd.org:TW/103NTHU5304009 |
| Date | January 2015 |
| Creators | Chen, Jing, 陳婧 |
| Contributors | Chang, Jow Ran, 張焯然 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 34 |
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