隨著金融與商業時代快速腳步的移動，理財工具也隨之多元化，而共同基金市場及股票市場的地位也逐漸重要。一般觀點認為股價指數的變動往往可視為未來景氣走向的一項重要指標，基金的投資可視為股市的重要籌碼。而股票型基金流量增加時是否會帶動股市報酬的上漲是一個相當值得探討的議題。 本研究採用Glosten、Jagnnathan and Runkle（1993）提出的GJR-GARCH模型探討說明共同基金流量與股市報酬率的關聯性，當股市報酬率上揚時，是否會影響到基金流量的變動；而基金流量增加時，是否會帶動股價指數的上漲。本文以國內股票型基金、債券型基金流量及股市報酬為樣本，研究期間為2001年1月至2008年12月底共96個月資料，來驗證Warther（1995）所提的兩個假說：1、回饋交易者（feedback-trader）假說，2、價格壓力（price pressure）假說。GARCH模型實證結果發現，基金的流量受股市報酬率的影響，但股市報酬率不受基金流量所影響，兩者的波動叢聚現象是顯著的。 With the rapid financial innovations, the financial instruments are becoming more diversified than ever. Mutual funds have attracted a vast number of investors and have been the main source of capital input to stock market. The purpose of this study is to investigate whether the fund flow have an impact on the stock market returns. This study uses the GJR-GARCH model, proposed by Glosten , Jannathan and Runle (1993) to discuss the relationships between mutual fund flow and the stock market returns. This study take the domestic stock funds and the stock market returns as the sample, and research period spans from January, 2001 to the end of December, 2008, to test Warther’s (1995) two hypotheses: first is feedback-trader hypothesis and second is price pressure hypothesis. The GARCH model results show that fund flow is significantly influenced by stock market returns, which support Wather's first hypthesis; however, the result that the stock market returns are not affected the fund flow render no support to the second one.
