The Empirical Study of Relationship Between Bond Funds And Economic Variables

• Main Authors: Yvonne Chu, 瞿玉娟
• Other Authors: Kuo-Jung Fung
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/49857996485950095128

碩士 === 實踐大學 === 企業管理研究所 === 92 === Participants in securities market have concerned about bond funds again after United Securities Investment Trust Corporation event on July, 2004. Duing to macroeconomic variables are critical indicators when observing social total behavior; while the change in financial market has close relationship with macroeconomic indicators. As bond fund getting one of the mainstream products in financial market, allocation of capital fund becomes an inevitable trend. This study investigates the relationship between short and long term investment return in bond fund by monitoring the movement of macroeconomic variables to provide a safety predictor for investors and fund managers to predict and examine the performance of their profile. Samples in this study confined in the period from January of 1998 to December of 2003, Including 4 limited redeemable period bond funds and 31 unlimited redeemable period bond funds, with monthly data in time serial related to macroeconomic variables, namely, 10-year government bond yield rate, consumer price index, exchange rate, leading index, 6-month USD LIBOR(London Interbank Offering Rate) , M1b index, government bond repo (Re-purchase Agreements) rate, stock indexes, unemployment rate, and l0-year US government bond yield rate etc., to examine the dynamic relationship between the return on bond funds. In the beginning, Unit Root Test is applied to ensure the Stationarity of the data, later, after Cointegration Test, there has no long-run equilibrium been found, whereas in Vector Autoregression, short-run relationship is identified among variables. In the meantime, in Impulse Response Analysis examination, summary has suggested that most of macroeconomic variables has negative impacts on the return ratio of bond fund, but lessened after 3-5 periods, in Variance Decomposition, results suggest 10-year Taiwan government bond has higher to the limited redeemable period bond funds while exchange rate has higher exogeneity to the variables of unlimited redeemable period bond funds return. The findings from Granger Causality Test indicate 6-month USD LIBOR surpasses the rate of return on unlimited redeemable period bond funds, stock market index higher than consumer price index, 6-month USD LIBOR outshines repo rate of Taiwan government bond, economic leading indicators tops 10-year Taiwan Government bond and government bond repo rate, whereas 10-year Taiwan Government bond outperforms government bond repo rate.