The Market-timing and Selectivity Performance of Mutual Fund- Time Series Application of Transfer Function and VARMA

• Main Authors: Chen, Han-Yang, 陳漢洋
• Other Authors: Lin Gin-Chung, Lu Yang-Cheng
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/41151014918092305222

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.