The Relationship between Using Financial Derivatives and Smart Money Effect

[[abstract]]1999年5月26日金管會證期局宣佈開放基金經理人能夠以交易者身分進行衍生性金融商品的交易，使衍生性金融商品作為基金管理的工具已成為未來趨勢。因此本文藉由基金經理人個人特質的角度，分析對衍生性金融商品使用比例的影響，再依據基金使用衍生性金融商品的程度進行三種分類，分別為較常使用、不常使用、無使用的基金群組，進行相關的基金實證分析。 本研究以2003年9月到2008年12月為研究期間，挑選國內股票型基金共82檔為研究樣本，以混合迴歸模型進行實證分析。實證結果歸納如下： 一、 經理人性別、是否具國外學歷與操作基金的資歷，與使用衍生 性金融商品的比例呈顯著正相關；而經理人的教育程度則和使 用比例呈顯著負相關。 二、 不論為何種基金群組，結果顯示，短期績效持續性的現象是存 在的。而有使用衍生性金融商品的基金群組則相對較顯著。 三、 投資人追逐過去流量的行為比追逐前期績效的行為更加明顯。 尤其以不常使用衍生性金融商品的基金群組投資人更具有此現 象。 四、 較常使用衍生性金融商品的基金群組，不論以累積一個月或三 個月績效來衡量，皆較具聰明錢效果。 五、 無使用衍生性金融商品的基金群組投資人，相對更具預測未來 績效的能力。[[abstract]]May 26, 1999, Securities and Futures Bureau of Financial Supervisory Commission, Executive Yuan declared that fund managers were able to trade derivatives by the status of traders. In the future, there will be the trend that derivatives become the tool of managing funds. Thus in this study, the researcher analyzed the influence of using derivatives by fund manager characteristics. According to degrees of using derivatives, the researcher categorized funds into usually, seldom and never-used groups to process related empirical analysis. During Sep. 2003 to Dec. 2008, the researcher chose 82 domestic equity funds as samples to process empirical analysis by using pooling regression models. The results are as follows: 1. The findings showed that there were positive high correlations in managers' genders,overseas educational backgrounds, experience of managing funds and the ratio of managing derivatives; but there was a negative correlation between managers' educational degrees and the ratio of managing derivatives. 2. The findings indicated that all funds' categories had the phenomenon of measuring performance persistence from prior performance. 3. It's more apparent for investors to chase prior flow than chase performance, especially in the group of investors who seldom used derivatives. 4. No matter when 1 month or 3 months, the usually-used fund group had more smart money effects. 5. Derivatives investors in the never-used group had abilities to predict future performance relatively