Mutual fund type and stock index long-term relation research and impulse response
碩士 === 東吳大學 === 經濟學系 === 92 === In recent years，the mutual fund market develops rapidly gradually， by the Investment method of the mutual fund to stabilize the property of growth，be favor by the investor gradually，in addition，the mutual fund scale that domestic approve is increaseingly huge at the...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15056422321603461331 |
| Summary: | 碩士 === 東吳大學 === 經濟學系 === 92 === In recent years，the mutual fund market develops rapidly gradually， by the Investment method of the mutual fund to stabilize the property of growth，be favor by the investor gradually，in addition，the mutual fund scale that domestic approve is increaseingly huge at the present time，it categorize is also gradually diversified with type，with concentration market and over-the-counter market for invest the object fund net sum，easily several hundred billion，will conduce the stock market fluctuant considerable of the degree，hence，this paper adopts ADF Unit Root Test 、Johansen Cointegration Test、Impulse Response Analysis to find out the stock fund 、bond fund、balance fund net asset value to the long-term relation and impulse Response of the stock index、otc index and abroad area fund。Synthesize various substantial evidence results and analysis，induce the textual conclusion as follows：
First，the Johansen Cointegration Test empirical results show that stock fund、bond fund、balance fund and stock index、otc index and abroad area fund exist long-term stability equilibrium relationship。
Second，the Impulse Response Analysis empirical results show that stock fund and stock index is positive related and impulse response is the most significant；Bond fund and stock index is negative related and impulse response is the most significant， actual market condition are satisfied。As far as，balance fund and stock index is positive related and impulse response is the most significant，but balance
fund must be a proportion that sees the stock and bond that fund manager invests due to fund why，decide to be affected by the stock market or bond market why，then affect the balance fund''s impulse response degree。
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