美台共同基金交易弊端之探討
Date Issued
2004
Date
2004
Author(s)
章碩麟
DOI
zh-TW
Abstract
Mutual fund is one of the most popular used wealth and retirement fund management financial instruments in United States of America. In early 2003, the fraud happened in U.S. mutual fund industry heavily damaged the confidence and trust of investors. Many large and well-reputation fund houses involved in late trading and market timing transactions, which led to the consequence of damaging interest of general fund investors. The case happened in the U.S. which encouraged us to examine if there is any similar case existing in mutual fund industry in Taiwan.
There are two focuses in this essay, first one mostly concentrated on fraud relating to transactions, including late trading and market timing, and which caused the consequences of agency problem led by mutual interest under financial conglomerates. The second focus is to find out similar cases happened in Taiwan by case-study approach, and further to come out feasible measurement as audit point.
There are 3 purposes of this study, firstly we want to analysis how the fraud have taken place in U.S. mutual industry and try to identify what is the risk involving in mutual fund transactions. We secondly would like to compare the differences of mutual fund regulation and supervisory system between U.S.A. and Taiwan, and the conclusion of this analysis might provide a feasible solution for further improvement or enhancement to the industry in Taiwan. The third purpose is to analysis the quantitative correlation between fund transaction activities with fraud in order to find out reliable auditing parameter or checking points.
Base on in-depth case study and through comparison the system of these 2 countries, we have reached the conclusions as following,
1.The current regulation doses not cover the part of monitoring client transactions.
2.The awareness of protecting the best interest of investors is apparently not satisfied within this industry. Some evidences show that most of the SITCs do not take a serious enough attitude and discipline toward disciplined fund transaction rule.
3.There is plenty of room for improving fund governance which has not been taking very seriously in the past.
4.We provide regression model to audit abnormal transaction volume which might be caused by possible fraud or arbitrage behavior.
At last, our suggestions based on this research are,
1.We suggest all funds to disclosing more transaction related information and data in the regular monthly report to SITCA. An enhanced operational control, especially on transactional procedure, should be implemented in industry operation guideline.
2.Fund governance should be enhanced. The system of independent director and supervisor should be implemented into fund industry. Custodian bank should also be responsible for supervising fund management on behalf of beneficiaries.
3.More strict control over transactions from internal employees is needed. A minimum 90 day holding period restriction to all internal employees will effectively prevent inside trading from happening.
4.To prevent form “Time zone arbitrage” happening in offshore funds, we suggest adjusting the definition of fund business day according to designated markets.
5.We suggest to implementing “fair value adjustment” system to avoid any possible distortion of NAV caused by significant news released after market closed.
Subjects
共同基金
Mutual Fund
Type
thesis
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