共同基金發行機構特性對基金績效與淨申購金額之影響—以中國大陸為例

Abstract

本篇論文主要目的係研究中國基金管理公司的股東結構屬性對於旗下所管理基金的超額報酬與淨申購流入是否構成影響。在基金超額報酬模型的部分，本文使用追蹤資料模型(Panel Data Model)進行分析，且使用Hausman檢定判定固定效果模型(Fixed Effect Model)或隨機效果模型(Random Effect Model)何者估計較佳；在基金淨申購流入模型的部分，本文則採用動態追蹤資料模型(Dynamic Panel Data Model)分析，以系統性一般動差估計法(System GMM)，搭配兩階段WC-Robust設定進行實證研究。 本文研究的資料屬於非平衡追蹤資料(unbalanced panel data)，最長的時間範疇可從2002年4月延續至2010年12月，橫斷面資料則包括180檔中國國內開放式股票型基金(排除指數型基金)，且資金成立時間需達12月以上方列入樣本中。此外為考量外資、商業銀行、證券公司的實際控股權，本文將合資、銀行系、證券系基金管理公司的定義區分為廣義與狹義來探討。 實證結果發現狹義下的合資基金管理公司所管理的基金績效表現較佳，即外資股東擁有較高的實際控股權時，旗下所管理的基金超額報酬也將越高。此外無論在廣義或狹義下的合資基金管理公司所管理的基金淨申購流入均高於其它基金，即合資屬性確實為基金吸引到更多的投資者申購。銀行系基金管理公司則是在狹義下其所管理的基金淨申購流入會較高，說明當商業銀行實際控股權較高時，基金淨申購率較能反映銀行渠道帶來的綜效。至於證券系基金管理公司則是無論在廣義或狹義下，其旗下所管理的基金績效表現均無顯著異於其它基金，表示證券系的屬性並沒有為旗下基金帶來更優異的超額報酬。

The main purpose of this research is to investigate if the features of shareholders of asset management companies in China market, such as joint-venture, bank, and security-owned, would have influences on its funds’ performance and net cash flow. For the empirical model of fund performance, panel data model with fixed effect or random effect model justified by Hausman test is used in this research. And for the empirical model of fund net cash flow, this research applies dynamic panel data model with system GMM, and chooses two-step WC-robust estimators. The sample of this research belongs to unbalanced panel data, the longest time period could be traced back to April 2002, amount to 104 months until December 2010. As for the cross-sections, 180 domestic open-ended equity funds with duration more than twelve months in China market are included, but exclusive of index fund. Additionally, general and special definitions of joint-venture, bank, and security-owned asset management companies are applied to this research in order to differentiate the impacts on fund performance and net cash flow under shareholders with/ without effective controlling power. The empirical result reveals the funds under special defined joint-venture asset management companies have superior fund performance than others, and the net cash flow are statistically significantly higher than others no matter under general and special definitions. As for bank-owned asset management companies, their funds’ net cash flow only significantly higher than others under special definition, implying that only commercial bank with effective controlling power, the synergy of commercial bank as shareholders could be obviously revealed. But for funds under security-owned asset management companies, the feature of security firm doesn’t provide statistically significantly support with fund performance no matter under general and special definition.