An Empirical Investigation into the Effects of Bond

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Title:	An Empirical Investigation into the Effects of Bond
Authors:	Lee, Wo-chiang;Lee, Joe-ming
Contributors:	淡江大學財務金融學系
Keywords:	Fund Segregation Policy;Quasi Money Market Fund;Bond Fund;Copula Function
Date:	2012-04-22
Issue Date:	2012-07-18 09:18:53 (UTC+8)
Abstract:	This paper investigates the effects of a bond segregation policy in Taiwan. Our empirical findings show that the OS&OP ratio decreases below 30% after the year 2007, while the RP ratio and the ST-D ratio increase. In addition, the scale of bond fund sales also decreases. We further conclude that all the ratios present significant differences after 2007 by using the student-t pair test. We apply five widely used copula functions to understand the correlation between these ratios and the mean return rate of the net value. The results find that all the ratios have a positive correlation with the mean return rate except the RP ratio. The volatility of return also decreases no matter in a historical or GARCH model. Lastly, the VaR decreases after carrying out the policy. The OS&OP ratio has a positive correlation with the VaR over the full time period of January 2001 to June 2010. As a consequence, this means that the OS&OP ratio is the key factor for bond funds.
Relation:	第九屆兩岸金融市場發展研討會論文集
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Proceeding

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