| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === ABSTRACT
The index fund has undergone tremendous growth in recent years and becomes a
popular investment tool in developed country. Passive portfolio management turns out
to be a new tendency instead of active management of the portfolio in foreign mutual
fund market. We aim at all index funds issued in Taiwan to research whether interactive
influence exists between their flows and stock market returns. Besides, we use
macroeconomic, market risk, and uncertainty variables to analyze its affection to flows.
This article investigates the interrelationship between index funds flows and stock
market return utilizing Granger causality method. To further investigate the
relationship between index fund investors’ risk perceptions and behavior, we use the
risk variables including option implied volatility and futures open interest to measure
the changing expectations about market risk and the dispersion of beliefs. The
empirical results are as follows:
1. Stock market return has affected flows into index funds. In contrast, flows into index
funds have not affected stock market return.
2. A significant negative relationship exists between futures open interest and flow of
Fuh Hwa -Fuh Hwa Fund.
3. Option implied volatility has not affected flows into index funds.
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