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Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/2618

Title: 台灣共同基金績效評估與相關經濟變數之預測-灰色系統理論之運用
Taiwan Mutual Fund Performance Evaluation and The Relevant Economic Variables Forecast–Application of Grey System Theory
Authors: 朱倍誠
Pei-Cheng Chu
Contributors: 經營管理研究所
許寶東(Pao-Tung Hsu)
Keywords: 共同基金;灰關聯;灰預測;報酬率
Mutual Funds;Gray Relational;Gray prediction;Return
Date: 2011
Issue Date: 2011-12-01 13:29:29 (UTC+8)
Publisher: 高雄市:[樹德科技大學經營管理研究所]
Abstract: 共同基金是委託專業理財機構,分散投資於金融市場,給予投資者有追求安穩報酬的機會,而台灣共同基金受台灣加權指數及其相關經濟變數之影響,牽動著基金績效表現,本研究探討2009年至2010年每一季台灣開放型股票基金績效與經濟數據之關聯性,以中華民國證券投資信託暨顧問商業同業公會公佈之台灣開放型股票基金績效排名前五名為本研究之對象。
由於共同基金所投資之範圍很廣,影響基金績效的因素錯綜複雜,有鑑於此,本研究運用灰色系統理論之灰關聯與灰預測作分析,藉由其關聯度排序及預測之特點,在影響基金績效之相關經濟變數進行探討,並運用精準度較佳的預測模型:GM(1,1)模式、最小平方法、指數平滑法,作預測與驗證,達成理論與實務之結合,期望能提供投資人在共同基金的選擇及制定投資組合策略時之客觀依據。
研究顯示,灰關聯分析中之結果為:匯豐成功基金績效與外匯存底關聯度最高,群益葛萊美基金績效及富邦高成長基金績效皆與進口值關聯度最高,保德信新世紀基金績效與匯率關聯度最高,永豐永豐基金績效出口值關聯度最高;而在預測模型中,GM(1,1)模式及最小平方法模型平均精度皆高於80%具有高解釋能力,為具有效率且值得參考之預測模型。
Mutual funds is entrusted to professional financial institutions, diversified investment in the financial markets, giving investors the opportunity to pursue a stable return. Mutual funds in Taiwan is influenced by the Taiwan Weighted Index and its related impact of economic variables, and also affects the performance of fund performance. This study is discussed from 2009 to 2010 per quarter relationship between performance of the Taiwan stock funds and economic data. Republic of China Securities Investment Trust and Consulting Association announced the opening of Taiwan Equity Fund Performance of the top five of object-oriented.
Because mutual funds are a wide range of investment, and the complex factors that affect the fund performance. In this research, the gray gray system theory for analysis associated with the gray prediction. By their correlation and prediction of the characteristics of the impact of Fund Performance discusses the relevant economic variables. And use of better forecasting model accuracy: GM (1,1) model, least squares, exponential smoothing method for prediction and validation,in order to achieve the combination of theory and realities. Expected to provide investors in mutual fund selection and portfolio strategy development when the objective basis.
Studies have shown that the results of gray relational analysis is: HSBC successful fund performance associated with the highest foreign exchange reserves, CSC Grammy fund performance and Fubon high growth fund performance are associated with the highest import value, Prudential New Century fund associated with the highest exchange rate, WF WF associated with the highest export value. In the forecasting model, GM (1,1) model and least squares model are higher than the 80% average accuracy, and these models are also useful for the efficient prediction models.
Appears in Collections:[經營管理研究所] 博碩士論文

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