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    題名: Tests of market timing and selectivity of mutual funds in Taiwan: a cointegration approach
    其他題名: 無基準基金評估方法-台灣基金持股與市場報酬之共積關係
    作者: 林景春;謝文良
    貢獻者: 淡江大學財務金融學系
    關鍵詞: 時機;共同基金;台灣;共整合;Timing;Mutual Fund;Taiwan;Cointegration
    日期: 1997-06
    上傳時間: 2009-11-30 17:42:41 (UTC+8)
    出版者: 暨南國際大學
    摘要: This paper avoids the problem of benchmark selection by employing a new approach to evaluate the performance of mutual funds. The selectivity and the timing ability of 40 open-end and closed-end funds in Taiwan are tested. We proxy the timing ability of individual fund as the cointegration relationship between the fund's overall percentage holding of stock and the lagged index of market. A significant cointegration relationship implies that the fund managers rebalance portfolio ahead of market trend. The selectivity is judged by the cointegration between fund's percentage holdings of individual industry sectors and indexes of corresponding sectors one period later. We found that only about 1/3 of open-end funds show market timing ability. The percentage holdings of the rest of funds either are unrelated to the market index or even move in the opposite direction. Similar results apply to closed-end funds in spite of their flexibility in controlling cash reserves. Of eight tested industry sectors, no fund shows more than 4 pairs of cointegration relationship between the percentage holdings by sectors and the lagged indexes of the corresponding sectors, which implies an unsatisfactory selectivity ability. For open- end funds, the frequency distribution of selectivity by industrial sectors is very similar to that of close-end funds, implying that both types of funds receive the same information and process in the similar manner. Also, it is interesting to note that funds with good timing ability do not necessarily show superior selectivity, and vice versa. In summary, the evaluation using our new approach indicates that the mutual funds in Taiwan generally do not possess dominant ability in timing or selectivity.
    關聯: 中國財務學會一九九七財務金融研討會論文集,南投
    顯示於類別:[財務金融學系暨研究所] 會議論文


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