機構法人投資帳戶之績效持續性－以台灣期貨市場為例

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研究生：	范芸慈 Yun-Tzu Fan
論文名稱：	機構法人投資帳戶之績效持續性－以台灣期貨市場為例 Performance Persistence on Transaction Accounts of Institutional Investors: Evidence in Taiwan Futures Market
指導教授：	陳俊男 Chun-Nan Chen
口試委員:	王澤世 Tse-Shih Wang 林軒竹 Hsuan-Chu Lin 鄭仁偉 Jen-Wei Cheng
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2017
畢業學年度：	105
語文別：	中文
論文頁數：	118
中文關鍵詞：	績效持續性、機構法人、期貨
外文關鍵詞：	performance persistence, institutional investors, futures
相關次數：	點閱：345 下載：0
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上一筆

本研究旨在透過觀察台灣期貨市場中，國內外機構法人之「投資帳戶」所獲得的「績效」是否具有顯著的「持續性」，進而推演出何種群組之機構法人所獲得投資績效具有持續性之現象。本研究採用國內外機構法人投資台灣股價加權指數(TAIEX)，自2006年6月1日至2008年7月31日止所獲得之投資績效，具體而言，「績效」主要涵蓋交易損益、部位損益及結算損益。由於交易數據期間較短，為獲得更充足之數據，本研究採用每一個機構投資人下的「交易帳戶」並穩定於其間進行交易所產生之「半月報酬」為變數進行檢定與評析，主要具體目標為觀察國內外機構法人於短期間內所獲得的投資績效是否具有持續性。
本研究所分別採用數種無母數檢定包含，Cross Product Ratio test，Chi-square test以及Spearman Rank Correlation test及有母數檢定Simple regression等方法，旨在獲得更具效力之結果。此外，在釐清所獲績效具有持續性的機構群組特徵後，本研究進一步觀察，在觀測期間中獲得整體報酬較高者易達成持續性之績效，抑或是整體報酬較低者易達成持續性之績效。
結果顯示，無論是國內及國外之機構法人，嚴格而論整體機構投資人所獲績效並不具有持續性。然而，仍有特定族群之機構法人具有績效持續性之帳戶，佔有相對高之比例，進一步可推測此種類之投資人可能具有較充沛之投資資訊及經驗，進而能持續運用創造較佳投資績效之投資策略。

The purpose of this study is to observe whether the "performance" obtained by the "investment account" of the domestic and foreign institutional entities in the Taiwan futures market has a significant "persistence". Then determine what kind of institutional entities earn persistent performance. This study uses domestic and foreign institutional investors’ performance in Taiwan's Stock Price-Weighted Index (TAIEX), from June 1, 2006 to July 31, 2008. In particular, "performance" mainly covers trading payoff, position payoff and settlement payoff. In order to obtain sufficient data during the two years period, this study uses the "trading account" of each institutional investor and stabilizes the "half-month return" arising from the transaction to verify and evaluate the variables. The objective is to observe whether the investment performance of domestic and foreign institutional entities in a short term period being persistent.
In this study, we used several methods such as Cross Product Ratio test, Chi-square test and Spearman Rank Correlation test, and the method of simple regression. The aim was to obtain more effective results. In addition, after clarifying the characteristics of the organizational group with sustained performance, this study further observes that achieving higher overall returns during the observation period is likely to achieve sustained performance, or is the overall low performance.
The results revealed that both the domestic and foreign institutional entities, the performance of their accounts with a very small proportion of strict, strictly speaking, the overall institutional investors performance is not sustainable. However, there is a relatively high proportion of accounts with institutional sustainability of firms with specific ethnic groups, and it is further speculated that investors of this category may have more investment information and experience to continue to use to create better investment performance investment strategy.

摘 要    I
ABSTRACT    II
致謝    III
Contents    IV
List of Figures    VI
List of Tables    VII
Chapter 1 Introduction    1
1    Research Background    1
2    Research Objectives    2
3    Research Flowchart    2
Chapter 2 Literature Review    3
1    Theoretical Part    3
1.1  Futures Performance and Risk    3
1.2  Investors’ type on Futures Performance    3
2    Empirical Part    3
3    Variables affecting Performance Persistence    6
3.1  Different types of Investment on Performance Persistence    6
3.2  Short-term horizon payoff    6
4    Test Methodology    7
4.1  Cross Product (Odds) ratio test    7
4.2  Chi-square test    7
4.3  Spearman Rank Correlation test    8
Chapter 3  Data and Methodology       9
1    Data           9
2    Variables       9
2.1  Daily return    9
2.2  Half monthly return    10
3    Grouping Definition    11
4    Test Methodology    12
4.1  Two-period Non-Parametric test    12
4.2  Two-period Parametric test    14
Chapter 4     Empirical Result    15
1    Cross Product Ratio test (Non-parametric test)    15
2    Chi-square test (Non-parametric test)    40
3    Spearman Rank Correlation test (Non-parametric test) & Simple Regression test (Parametric test)    67
4    Three Institutions Performance Persistence Comparison    92
5    Win and Loss condition under Performance Persistence    96
6    Sensititivity Analysis of using “zero” and “median” as  comparable standard    98
Chapter 5    Conclusion and Recommendation    101
1    Conclusions and Research Findings    101
2    Contribution    102
3    Recommendation for Future Research    102
Reference    103


                                

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全文公開日期 2022/07/12 (校內網路)
全文公開日期本全文未授權公開 (校外網路)
全文公開日期本全文未授權公開 (國家圖書館：臺灣博碩士論文系統)

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