A Study on Determinants of Mutual Fund Flows from Individual and Aggregate Viewpoint

[[abstract]]以個別和整體的體的觀點探討共同基金流量之決定因素 摘要 由於國內近年來共同基金產業成長快速，基金之總資產規模也已突破一兆新台幣，因此國內對於基金的研究議題，已逐漸由原本對個別基金選股與擇時策略的探討，改朝向整體基金流量和市場報酬間互動關係之探討，但是影響整體基金流量除了市場報酬外，可能也受其他因素的影響，如個人所得和利率。由於國內對於基金流量的相關文獻較為缺乏，因此，本研究將分別從個別和整體的觀點，一同來探討共同基金流量之決定因素。故本論文將分為兩個部分個別進行研究。 本研究結論大致如下： 1.個別基金之當期流量和基金之前期超額報酬呈非線性函數關係，而且在成立滿４年及８年以上之基金，其函數型態呈正向的凸性圖形。 2.影響個別基金之流量因素，會因基金成立年限不同而有所差異。8年期以上的基金，其基金流量和產業成長率呈顯著正相關。而2年期基金，其基金流量和基金相對規模比率呈顯著負相關。 3.整體基金流量對股票市場報酬無顯著的影響；但前三期的股票市場報酬率正向影響當期的總體基金流量。同時實證也發現，當期的股票市場報酬率對總體基金流量的影響為負相關。 4.在不考慮落後期數的影響下，薪資所得的變動對整體基金流量有正向的影響。[[abstract]]A Study on Determinants of Mutual Fund Flows from Individual and Aggregate Viewpoint ABSTRACT The industry of domestic mutual fund has undergone tremendous growth in recent years. Thus, the academic researches on domestic mutual funds are gradually changed from discussing stock selection and timing strategy into the correlation between aggregate mutual funds flows and market returns. Except market returns can influence aggregate mutual funds, it may be effected by another factors such like personal income and interest rates. We will investigate the determinants of mutual fund flows from individual and aggregate viewpoint. The empirical results are as follows： 1.The flow-performance relationship appears nonlinear. Nonlinear graphs are convex for 4-years-old funds and over 8-years-old funds. 2.The determinants of individual mutual fund flows will differ among the age of mutual funds. For over 8-years-old funds, the industry growth rate is significant and positively related to mutual flows. For 2-years-old funds, the ratio of related scale is significant and negatively related to mutual flows. 3.There is no evidence that aggregate mutual fund flows have affected stock returns, while the stock returns with 3-month lag have positively affected aggregate flows. We also find that the concurrent relation reflects stock returns affecting aggregate flows is negative. 4.Personal income is positively related to aggregate mutual fund flows