| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 86 === Title of Thesis：The Market-timing and Selectivity Total Page
：140 Performance of Mutual Fund-Time
Series Application of
Transfer Function and VARMA
Keyword：Mutual Fund Performance, Transfer Function
VARMA, Market timing
Name of Institute：Graduate Institute of Money, Banking and
Finance, Tamkang University
Graduate date：June/1998 Degree conferred：Master
Name of student：Han-Yang Chen Advisor：Dr. Gin-Chung Lin
Dr. Yang-Cheng Lu 陳漢洋
林景春 博士 盧陽正 博士
Abstract：
Traditionally, We used Ordinary Leasted Squared (OLS)to run
Herriksson and Merton (1981) model or similar models ,such as ,
Treynor and Mazuy(1966), Fabozzi and Francis (1979),Chang
and Lewellen (1984) etc., were up against
residual autocorrellation. It would led to muuual fund
performance evaluation incorrectly , so, we must use Transfer
Function to improve traditional method. In addition, the study
use holding- stock ratio of mutual fund to evaluate market-
timing performance . Taking advantage of Causality
(Granger;1969),if series X Granger cause series Y , I meant
that series X leading series Y. This study made use of two
serieses-mutual fund holding-stock ratio and market return to
evaluate market-timing performance of mutual fund . If ,
mutual fund holding-stock ratio series leading market return
, we firmly believed the mutual fund handing good market
timing performance, conversely, it would not . The
conclusions of the study listed below:
1. In Transfer Function, only Capital Small and Medium Cap Fund
have significant selectivity in 13 closed mutual funds, and 8
mutual funds had, too , in 37 opened mutual funds . In
market-timing performance , grand total 11
opened mutual funds significant. 2. In Causality
test , only Grand Pacific Fund , have significant
market-timing performance in 13 closed mutual funds , and 8
mutual funds had ,too, in 37 opened mutual funds.
3. In 50 stock mutual funds. Only 2 mutual funds have good
market- timing and selectivity performance under
Causality test and Transfer Function test.
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