The Influence of Fund Flow Volatility upon Performance from Individual and Aggregate Viewpoint

[[abstract]]本研究以2002年1月至2009年12月128支國內股票型基金之月資料探討共同基金流量波動性對基金績效之影響，並利用Panel Data模型分別就個別與整體方面，檢視基金流量波動性及其他基金特性變數是否會對基金績效產生影響？實證結果顯示，個別基金流量波動性的確會對基金績效產生顯著且負面的影響，現金持有比率也會和基金績效呈現顯著的負相關，至於規模與申購手續費率不會影響基金績效。此外週轉率與基金流量則對績效有正面且顯著的影響。整體基金之流量波動性、費用率、申購手續費率、規模與報酬率之波動性對整體基金績效沒有顯著影響，而基金整體週轉率和流量對績效有顯著正向關係。最後，基金整體現金持有比率對績效則有顯著的負向影響。[[abstract]]This paper uses 128 open-end domestic equity mutual funds of monthly data from January 2002 to December 2009 to examine how mutual fund flow volatility affect fund performance. We use Panel Data Model to examine how mutual fund flow volatility and fund characteristics influence fund performance. The results show that individual fund flow volatility has significantly and negatively affected fund performance; cash holdings also have significant and negative relationship with fund performance. Fund size and load do not affect the fund performance, but fund turnover and flow have significant and positively affected performance. Aggregate fund flow volatility, expenses, load, size and return volatility have no significant relationship with aggregate fund performance. Aggregate fund turnover and flow are positively related to performance. Finally Aggregate fund cash holdings have significantly and negatively affected performance