The Dynamic Interactive Relationship between Turnover Rates、Fund size and Mutual Fund Performance - Approach by Panel Smooth Transition Model

• Main Authors: Ya-Yi Chan, 詹雅貽
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/07997920733642811296

碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === In this paper, we examine the asymmetrical nonlinear relationships, this paper employs the Panel Smooth Transition Regression Model (PSTR) technique developed by Gorzaíez,Teräsvirta and Dijk (2004,2005).We assume fund turnover rate and fund size for transition variable in this model to investigate the smooth transition threshold effect between fund turnover rate、fund size and fund performance. The results as follow: First, panel smooth transition regression model between fund turnover rate and fund performance jumps abruptly at 15.9642%, because the transition speed is up to 50.1666, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between fund size and fund performance produces a smooth transition at (thousands), because the transition speeds are 7.0579and 167.19981 that make the model form smooth transfer and jump process close to transition threshold value. Third, no matter fund turnover rate is high or low or fund with large size, decreasing fund fee ratio and increasing net fund value are better influences of fund performance. Forth, This research suggests that when misery index is high to invest large fund size will get better fund performance.