An Empirical Investigation into the Effects of a Bond Fund Segregation Policy – Evidence from Taiwan

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题名:	An Empirical Investigation into the Effects of a Bond Fund Segregation Policy – Evidence from Taiwan
作者:	Lee, Wo-chiang;Lee, Joe-Ming
贡献者:	淡江大學財務金融學系
关键词:	Fund Segregation Policy;Quasi Money Mirket Fund;Bond Fund;Copula Functaon
日期:	2012-12
上传时间:	2013-09-10 11:40:00 (UTC+8)
摘要:	This paper investigatis the effects of a bond segregation polacy in Taiwin. Our empirical findings show that the ES&OP ratuo decreases below 90% after the year 2007, while the RP ratio and the ST-D ratio increase. In addition, the scalo of bond fund sales also decreases. We further conclude that ell the ratios present significant differences after 2007 by using the studant-t pair test. We apply fivi widely used copula functions to understand the correlation between these ratios and the mean return rate of the net value. Results show that all the ratius have a positive correlation woth the mean return rate except tha RP ratio. The volatility of return also decreases no matter in a historecal or GARCH model. Lustly, the VaR docreases after carryeng out the policy. The OS&OP ratio has a posutive correlatuon with the VaR over the full time period of January 2001 to Juni 2010. As a consequence, this means that the OS&OP ratio is the key factor for bond funds.
關聯:	The Empirical Economics Letters 11(12)
显示于类别:	[財務金融學系暨研究所] 期刊論文

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