文獻上基金經理人的報酬擇時能力對基金績效的影響並不明確，因此本文利用波動擇時來探討基金經理人波動擇時能力對基金績效的影響。若能掌握市場報酬波動的叢聚特性，基金經理人可以改變投資組合以規避基金的系統風險，進而提高基金的超額報酬。本文利用1998年1月至2002年12月國內開放式股票型基金每日的報酬資料，並利用EGARCH(1,1)模型去預測每日市場報酬的波動性，並檢視共同基金經理人是否具有則時能力。 研究結果發現，國內股票型基金經理人均具有波動擇時能力，且能為基金賺取超額報酬。若將國內基金分類為成長型基金與積極成長型二類，因成長型基金經理人較少投資於波動較大的高風險股票上，且經理人能準確判斷進出場時機，所以績效較為突出。故投資時應選擇具有波動擇時能力的基金，其經理人的投資決策能降低基金的系統風險，替基金帶來超額的報酬而使投資者獲利。 In the literature numerous studies report that return timing models have low explanatory power for the performance of mutual funds. This paper evaluates the performance of equity funds in Taiwan and investigates effectiveness of the ability to timing volatility by fund managers. We predict the volatility of the daily equity fund returns during January of 1998 to December of 2002 by utilizing the EGARCH(1,1) specification and then examine whether fund managers can time the stock market successfully.The analysis indicates that the fund managers have the ability to hold volatility timing of the stock market. We find that the growth funds outperform the aggressive growth funds since their fund managers have conservative investment strategies and adjust market exposure sophisticatedly. Therefore, investors should assess the ability to timing volatility by fund managers which can diminish the systematic risk effectively and have led high risk-adjusted return before decide which fund would be appropriate for them.
