Using Industry Concentration Index to Analyze Holding Behavior of the Open-end Stock Mutual Funds in Taiwan

• Main Authors: Pei-i Chou, 周佩儀
• Other Authors: Bryan H. Chen
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/90695551472948433252

碩士 === 國立彰化師範大學 === 商業教育學系 === 94 === ABSTRACT When Mutual fund managers have informational advantages, they may decide to concentrate their holdings in some industries and deviate from a well-diversified portfolio. In this study, we have three important purposes. The first purpose of three is to test the performance of mutual funds from the perspective of industry concentration. For this, we pick out 227 open-end stock mutual funds from December, 1995 to September, 2005. Then we measure the industry concentration index for every fund and according this to form 10 portfolios. For the second purpose, we use fund managers’ investment ability to analyze the relationship between investment ability and performance of mutual fund. Final, we use turnover to confer the relation between managers’ operation and industry concentration of funds. The several major results are as follows: 1.To take account of risk, each portfolio is worse than market portfolio. On the other hand, each one has abnormal return. This means the abnormal return of portfolios can be priced by risk. 2.When portfolio has the highest industry concentration index, its managers have excellent investment ability. 3.When industry concentration index inclines to low, manager can use actively managed strategic to earn return. And when turnover trends to low, the effect of the industry concentration index trends to strong.