English  |  正體中文  |  简体中文  |  Items with full text/Total items : 50122/85141 (59%)
Visitors : 7881897      Online Users : 43
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23518


    Title: Tests of market timing and selectivity of mutual funds in Taiwan: a cointegration approach
    Other Titles: 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
    Authors: 林景春;謝文良
    Contributors: 淡江大學財務金融學系
    Keywords: 時機;共同基金;台灣;共整合;Timing;Mutual Fund;Taiwan;Cointegration
    Date: 1997-06
    Issue Date: 2009-11-30 17:42:41 (UTC+8)
    Publisher: 暨南國際大學
    Abstract: 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.
    Relation: 中國財務學會一九九七財務金融研討會論文集,南投
    Appears in Collections:[財務金融學系暨研究所] 會議論文

    Files in This Item:

    File SizeFormat
    Tests of Market Timing and Selectivity of Mutual Funds in Taiwan A Cointegration Approach_英文摘要.docx17KbMicrosoft Word99View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback