| Summary: | 碩士 === 國立交通大學 === 管理學院碩士在職專班經營管理組 === 94 === In the fast-growing mainland Chinese market, mutual funds are still newly-emerging financial intermediaries. After the Chinese government lifted the limitation the overall fund size in China has been increasing tremendously during the past one year due to soaring demands from local people as well as Taiwanese investors. This study computes monthly performance of 71 mutual funds (including 54 closed-end and 17 open-end mutual funds) in mainland China from December 2002 to December 2005. The panel data set is constructed mainly from China Securities Regulatory Commission, Shanghai Stock Exchange, Shenzhen Stock Exchange, People’s Bank of China, Hexun.com, and Chinafund websites.
This thesis is organized as follows: Chapter 1 introduces the motive and objective of the study as well as the current status of China mutual fund market. Chapter 2 is the history and the development of mutual funds market in China. Chapter 3 states the theoretical background by reviewing literature on performance evaluation of mutual funds in Taiwan and China. Chapter 4 is the research methodology, including hypothesis setup, definitions of financial performance indices, and the Mann-Whitney U test. Chapter 5 is the empirical analysis in which three research hypotheses verified. Chapter 6 contains the conclusion and suggestion.
Some mutual funds significantly outperformed the market stock index changes with respect to Sharpe, Jensen, and Treynor indices. Especially for the Jensen index, 49 significantly outperformed the Shengzhen stock price index, implying that the superior stock selection ability is a key factor for a mutual fund’s performance.
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