中國開放型基金績效與總體經濟因子之關係研究─套利定價理論之應用

Abstract

本文以中國基金市場為研究範圍，利用套利定價理論之架構，探討中國基金報酬率與總體經濟因子之間的關係。本文以總體經濟因子未被預期到的部分定義變數，選取未預期通貨膨脹率(UI)、未預期工業生產增長速度(UIP)、未預期M1變動率(UMS)、未預期社會消費品零售總額變動率(URS)、未預期油價變動率(UOP)、未預期進出口總值變動率(UT)、違約風險貼水(UPR)、利率期限結構變動(UTS)與滬深300指數報酬率未被其他因素解釋的部分(URM)等九個因子，應用已知總體經濟因素法，進行兩階段迴歸。 結論有以下幾點： 1.第一階段迴歸實證結果發現，本文所建構的九因子模型對中國基金報酬的解釋力不錯，修正後複判定係數皆相當高。此外，由樣本分期分析的實證結果也發現，在不同景氣循環下，總體經濟因子對基金報酬的影響程度也會不同。 2.在第二階段迴歸實證研究中，樣本全期與分期的分析結果皆顯示中國基金市場存在有風險貼水不為零之共同因子，在樣本全期的分析中，僅未預期油價變動率與滬深300指數報酬未被其他因子解釋的部分呈現有價，樣本前期僅市場報酬率有顯著不為零之風險貼水；而樣本後期為未預期工業增加值增加速度、未預期M1變動率、未預期油價變動率與未預期進出口值變動率顯著存在有風險貼水。 3.以分期結果看來，套利定價理論的實證結果並不一致，可能是因為中國資本市場還沒有達到成熟與充份競爭的階段，市場中仍存在套利機會。

This paper focuses on the mutual fund market in China with the application of APT(Arbitrage Pricing Theory) to discuss the relationship between performance of open-end fund portfolio and macroeconomic factors. This study chose unexpected inflation, unexpected growth rate of value-added of industry, unexpected growth rate of M1 supply, unexpected growth rate of total retail sales of social consumer goods, unexpected change rate of oil price, unexpected growth rate of trade volume, risk premia, term structure, and the component of return of Shanghai and Shenzhen 300 Index return which was not explained by other factors as exogenous variables, using two-pass regression as the methodology. Besides, the study divided the sample period into two sub-periods, the first is the booming period, and the second is the recession and recovering period. The empirical results of the first-pass regression showed that explanatory power of the nine-factor model is good, and the adjusted R2 is high. Besides, the impact of economic factors on fund returns will be different in different business cycles. The empirical results of the second-pass regression showed that there existed economic factors of non-zero risk premia in China fund market. In the whole sample period, only unexpected change rate of oil price and Shanghai and Shenzhen 300 Index return have non-zero risk premia. In the first sub-period, only Shanghai and Shenzhen 300 Index return have non-zero risk premium. In the second sub-period, unexpected growth rate of value-added of industry, unexpected growth rate of M1 supply, unexpected change rate of oil price and unexpected growth rate of trade volume have non-zero risk premia. The empirical results of the application of APT in China fund market in two sub-periods was not persistent. The reason might be that China capital market is not in a mature and fully competitive condition, so there are still a lot of opportunities of arbitrage in the market.