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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93775

    Title: An empirical study on the risk management, market timing ability, and threshold effect of bond funds in Taiwan
    Other Titles: 台灣債券型基金之風險管理、擇時能力與門檻效果之實證研究
    Authors: 李喬銘;Lee, Joe-Ming
    Contributors: 淡江大學財務金融學系博士班
    李沃牆;Lee, Wo-Chiang
    Keywords: 債券型基金;基金分流政策;門檻效果;Bond Fund;Fund Segregation Policy;copula function;ARMAX-GARCH Model;Threshold effect
    Date: 2013
    Issue Date: 2014-01-23 13:30:52 (UTC+8)
    Abstract: 本論文探討台灣債券型基金之風險管理、並檢定其擇時能力與門檻效果。首先,我們使用五個COPULA函數檢驗債券型基金實施分流政策對於風險與收益之影響。接著使用ARMAX-GARCH 模型檢驗債券市場的完整性和債券型基金擇時能力。最後,本文應用門檻自我迴歸模型(Threshold Autoregressive Model) 檢驗台灣債券型基金分流政策前後的基金流量和投資風險之間的門檻效果關係。
    而在擇時能力的實證結果顯示,由於台灣債券市場結構完整性和缺乏流動性,影響到債券經理人認為難以靈活調整投資組合的分配和系統性風險,造成除HM模型外,無論是在TM模型,TM-ARMAX-GARCH模型或HM ARMAX-GARCH模型下,大部分債券型基金均不具備選股能力和顯著的系統性風險及擇時能力。因此,本文建議台灣的債券市場應該開發出更多的投資產品,提高市場的流動性,並擴大基金經理人的操作空間。
    This dissertation discusses an empirical study on the risk management, market timing ability, and threshold effect of bond funds in Taiwan. First, we apply five widely used copula functions to understand the correlation between the OS&OP ratios and the mean return rate of the net value, as well as the VaR of Taiwan’s bond segregation policy. Second, we investigate bond market integrity and market timing ability in Taiwan’s bond market via the ARMAX-GARCH model. Third and finally, this paper constructs the threshold autoregressive model to investigate the relationship between bond funds’ net flows and the investment risk before and after the bond segregation policy.
    From examining the VaR of bond funds in Taiwan, findings show that the OS&OP ratio has a positive correlation with their VaR. This implies that the OS&OP ratio serves as an absolute key factor for bond funds. In fact, after Taiwan’s bond segregation policy in year 2007, investors had to immediately deal with a bond market of scarce liquidity. We thus conclude that the bond fund segregation policy significantly reduced the risk for investing in bond funds.
    Taking a look at the market timing ability of bond funds in Taiwan, the results show that due to market integrity and the lack of liquidity in Taiwan’s bond market, a bond manager finds it difficult to flexibly adjust for any 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 present that most bond funds do not have selective ability, timing ability, nor significant systemic risk, except for the H-M model. Hence, we recommend that Taiwan’s bond market should develop more investment products, in order to improve liquidity in the market and to enlarge the operating space of bond fund managers.
    For the measurement of the relationship between bond funds’ net flow and the investment risk of bond funds in Taiwan, the findings herein show that bond fund investors are concerned about their investment return while neglecting investment risk. In particular, when a bond fund expands its size, investors believe that the fund cannot lose any money on investment products. In order to satisfy such a belief, bond fund managers only target short-term returns so as to attract more or new investors, while ignoring any risk. Thus, this paper recommends that investors pay attention to risk and that fund managers should fulfill their obligations in addition to the pursuit of profit. Moreover, bond funds should include risk management professionals to help run the funds.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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