The Study of Comparing Traditional Performance Indicators, Leading Indicators and Composite Indicators of Efficiency－An Empirical Study of Stock Mutual Funds of Taiwan

• Main Authors: Yu-Chu Wu, 吳玉筑
• Other Authors: Ting-Kun Liu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/223bz6

碩士 === 朝陽科技大學 === 財務金融系 === 104 === The financial demand of investors increase steadily, and they try to use different tools to invest to acquire material life more generous. The fund has the capability of risk dispersion, fund manager can operate professional, and for investors, fund is one of popular financial tools. But by the impact of the economy and the international situation, in 2007 the stock market impact of the emergence of various events, (Such as in 2007, subprime mortgage crisis and debt crisis in 2010, etc.) Although fund has the capability of risk dispersion, it still can’t avoid facing the loss. How to choose the investment to have the right investment strategy and get great benefits? We construct stock mutual funds data during 2005~ 2015 to analyze. First, we use DEA to assess stock mutual funds performance. Second, we test relationship between traditional indicator (Sharp index, Treynor index, Jensen index) and leading indicator, and than individual test relationship with overall technology efficiency. Finally, we use NAV to measure fund performance as proxy variable and use panel data to explore determinants including environment variables, fund variables and so on. The empirical results show that fund performance determinants focus on fund size, Beta coefficient, environment variables, overall technology efficiency, traditional indicators and leading indicators which Stock price index, Index of producer’s inventory, M1B, Building permits with significant impact on fund performance.