本文利用持股比率資訊，將擇時能力之衡量分為(1)與市場同步移動(Co-movements)之衡量與(2)持股水平配合市場變化之情形之衡量。本文發現，四種傳統模式在經過Newy & West方法加以修正後，在本研究設定的標準下，並無法完全測出基金之擇時能力；有些基金一直維持高持股比率，卻未隨市場之變化而調整持股；有些基金隨市場之變化而調整持股，但卻維持偏低之持股比率。此兩種類型皆未能掌握市場多空之變化，擇時能力較差。

This study measures the market timing ability through the following two indicators: (1) the co-movement between a fund's stock holding change and the market index and (2) the speed of the adjustment of a fund's stock holding level when market condition changes. According to the above two timing ability indicators, this study finds that after the Newy & West modification, the traditional four models cannot measure funds' timing ability correctly.

持股比率; 封閉型基金; 擇時能力

Stock holdings; Market timing; Close-end mutual funds