| Summary: | 碩士 === 國立暨南國際大學 === 國際企業學系 === 95 === Researchers of Taiwan and America mutual fund performance have often suggested that stock selection or market timing ability would not likely affect performance. However, research which has empirically documented the link between Taiwan and America is scant. Therefore, the aim of this article attempts to explore how Taiwan and America stock selection and market timing abilities, volatility timing and tacking error are compared. This research involved Treynor and Mazuy (TM, 1966), Busse (1999) and Ammann and Zimmermann (2001) models, comprised of Taiwan and America countries concerning mutual fund daily return. 216 Taiwan and 1482 America Open-End mutual funds participated in the study. The empirical analysis of the sets of samples was conducted through descriptive statistics and OLS in order to indicate the comparison between the two countries. Results of this study showed except check one year volatility timing Taiwan has fine than America. All of the results are America better than Taiwan. To conclude, this study may be of importance in explaining mutual fund managers’ ability between two countries, as well as in providing investors with a better understanding of mutual fund managers’ working ability.
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