淡江大學機構典藏:Item 987654321/79876

淡江大學機構典藏

Menu Search
Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/79876


    Title: A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model
    Authors: Lee, Wo-chiang;Lee, Joe-Ming
    Contributors: 淡江大學財務金融學系
    Keywords: Bond fund;Timing ability;Selective ability;ARMAX-GARCH model JEL classification: G20;C12;C13
    Date: 2012-12
    Issue Date: 2013-01-15
    Publisher: Asian Economic and Social Society
    Abstract: Due to the market’s integrity and lack of liquidity of Taiwan’s bond market, a bond manager finds it difficult to flexibly adjust portfolio allocation and systemic risk. No matter in the T-M model, T-M ARMAX-GARCH model, or H-M ARMAX-GARCH model, this study’s results show that most bond funds do not have selective ability and significant systemic risk and timing ability, except for the H-M model. Hence, we recommend that Taiwan’s bond market should develop more investment products, improve liquidity in the market, and enlarge the operating space of the fund manager.
    Relation: Asian Economic and Financial Review 2(8), pp.991-1000
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model.pdf279KbAdobe PDF310View/Open
    index.html0KbHTML261View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.
    DSpace Software Copyright © 2002-2004  MIT &  HP  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback