A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/79876

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/79876

題名:	A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model
作者:	Lee, Wo-chiang;Lee, Joe-Ming
貢獻者:	淡江大學財務金融學系
關鍵詞:	Bond fund;Timing ability;Selective ability;ARMAX-GARCH model JEL classification: G20;C12;C13
日期:	2012-12
上傳時間:	2013-01-15
出版者:	Asian Economic and Social Society
摘要:	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.
關聯:	Asian Economic and Financial Review 2(8), pp.991-1000
顯示於類別:	[財務金融學系暨研究所] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
991-1000(publication version).pdf		279Kb	Adobe PDF	309	檢視/開啟
index.html		0Kb	HTML	177	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章