The impact of monetary policy changes on mutual fund returns
碩士 === 國立中正大學 === 財務金融所 === 94 === This study aims to examine whether monetary policy changes impact the performance of mutual funds in the emerging Taiwan market. It is found that all mutual funds, including domestic and international, exhibit a higher mean return, lower risk, higher Sharpe ratios...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77445284161067677896 |
| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 94 === This study aims to examine whether monetary policy changes impact the performance of mutual funds in the emerging Taiwan market. It is found that all mutual funds, including domestic and international, exhibit a higher mean return, lower risk, higher Sharpe ratios and Treynor ratios under expansive monetary policy environments. Regression results show that domestic mutual fund returns are significantly related to local monetary policy. Furthermore, after controlling the possible impact of macro factors on the association between monetary policy dummy variable and mutual fund returns, we still found that the significant influence of monetary policy on domestic mutual fund returns remains robust.
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