Explore the correlation between Greater China mutual performance with invest industry concentration
碩士 === 佛光大學 === 應用經濟學系 === 104 === Quantile regression & ordinary least squares are the major research methods for this study, in additional to that, Kacperczyk, Sialm, and Zheng(2005) model have also been implemented to investigate the performance, industrial concentration ratio, industrial inv...
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ndltd-TW-104FGU003890282017-10-01T04:29:58Z http://ndltd.ncl.edu.tw/handle/78918674920840285212 Explore the correlation between Greater China mutual performance with invest industry concentration 大中華基金績效與產業集中度之探討 LIN,KAI-LING 林凱翎 碩士 佛光大學 應用經濟學系 104 Quantile regression & ordinary least squares are the major research methods for this study, in additional to that, Kacperczyk, Sialm, and Zheng(2005) model have also been implemented to investigate the performance, industrial concentration ratio, industrial investment ratio, scale, turnover ratio, net flow ratio between 2010 to 2014. Moreover, Sharpe index, Jensen index and Treynor index are used to further investigate the correlation between mutual fund and SHCI index. The results indicate that: 1.In terms of mutual fund performance. Regardless of overall result or individual result, neither result of turnover ratio and net flow ratio indicates negative correlation. The performance decreases as the turnover ratio increases, thus, fund execution shall not focus on turnover ratio, and shall focus on other factors. In terms of net flow ratio, the results indicate that investor does not carry out much selection/filtration with regards to mutual fund’s performance. Positive correlation would occur if investor carry out fund selection/filtration based on performance, however, the result indicate this is not the case. 2.Performance and scale have positive correlation, thus, the bigger the fund’s scale the better the performance is. 3.In terms of performance and SHCI the result indicate performance and SHCI index are closely related. An upward trend of SHCI would lead an upward performance and vice versa. In terms of fund’s performance and industrial concentration ratio, overall result indicate no significate relationship between the two, despite the fact that quantile regression indicate minor correlation, these are not sufficient to be taken into consideration. Therefore, for mutual funds invest in Greater China does not have direct impact on funds’ performance. Thus, industrial concentration and funds’ performance does not apply to current status. LEE,JOE-MING 李喬銘 2016 學位論文 ; thesis 69 zh-TW |
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碩士 === 佛光大學 === 應用經濟學系 === 104 === Quantile regression & ordinary least squares are the major research methods for this study, in additional to that, Kacperczyk, Sialm, and Zheng(2005) model have also been implemented to investigate the performance, industrial concentration ratio, industrial investment ratio, scale, turnover ratio, net flow ratio between 2010 to 2014. Moreover, Sharpe index, Jensen index and Treynor index are used to further investigate the correlation between mutual fund and SHCI index.
The results indicate that:
1.In terms of mutual fund performance. Regardless of overall result or individual result, neither result of turnover ratio and net flow ratio indicates negative correlation. The performance decreases as the turnover ratio increases, thus, fund execution shall not focus on turnover ratio, and shall focus on other factors. In terms of net flow ratio, the results indicate that investor does not carry out much selection/filtration with regards to mutual fund’s performance. Positive correlation would occur if investor carry out fund selection/filtration based on performance, however, the result indicate this is not the case.
2.Performance and scale have positive correlation, thus, the bigger the fund’s scale the better the performance is.
3.In terms of performance and SHCI the result indicate performance and SHCI index are closely related. An upward trend of SHCI would lead an upward performance and vice versa.
In terms of fund’s performance and industrial concentration ratio, overall result indicate no significate relationship between the two, despite the fact that quantile regression indicate minor correlation, these are not sufficient to be taken into consideration. Therefore, for mutual funds invest in Greater China does not have direct impact on funds’ performance. Thus, industrial concentration and funds’ performance does not apply to current status.
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LEE,JOE-MING |
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LEE,JOE-MING LIN,KAI-LING 林凱翎 |
author |
LIN,KAI-LING 林凱翎 |
spellingShingle |
LIN,KAI-LING 林凱翎 Explore the correlation between Greater China mutual performance with invest industry concentration |
author_sort |
LIN,KAI-LING |
title |
Explore the correlation between Greater China mutual performance with invest industry concentration |
title_short |
Explore the correlation between Greater China mutual performance with invest industry concentration |
title_full |
Explore the correlation between Greater China mutual performance with invest industry concentration |
title_fullStr |
Explore the correlation between Greater China mutual performance with invest industry concentration |
title_full_unstemmed |
Explore the correlation between Greater China mutual performance with invest industry concentration |
title_sort |
explore the correlation between greater china mutual performance with invest industry concentration |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/78918674920840285212 |
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