聰明錢效果與市場波動－以台灣股票型基金為例

Abstract

本文除了探討台灣共同基金市場是否具有聰明錢效果之外，亦欲進一步觀察市場波動是否影響聰明錢效果。本研究分為兩大步驟：（1）以基金流向與基金績效來檢驗台灣股票型基金是否具聰明錢效果；（2）加入市場波動因子，了解市場波動對聰明錢效果的影響。實證結果指出：（1）樣本期間顯示聰明錢效果不存在；（2）儘管聰明錢效果不存在，但加入六個月移動平均所建置的市場波動因子能提升基金投資組合的短中長期超額報酬。

The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity mutual funds in Taiwan to measure if the smart money effect exists; (2) consider market volatility factor to take a look at the relationship between the smart money effect and market volatility. This study shows that (1) the smart money effect does not exist over the sample period, and (2) although the smart money effect does not hold, market volatility raises the excess return of fund portfolios.