An empirical study on the relationshipof bond funds and equity funds
碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === The main purpose of this study is to investigate the relationships between returns of equity funds and those of bond funds by employing VAR model .The empirical results are as follows: 1.The exhibits negative relationship between the returns of equity funds and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57089598705168095574 |
| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === The main purpose of this study is to investigate the relationships between returns of equity funds and those of bond funds by employing VAR model .The empirical results are as follows:
1.The exhibits negative relationship between the returns of equity funds and those of bond funds . Thus implies that investors can diversify the investment risk by allocating their investments into two kinds of funds.
2.The results of impulse response show that the mutual impulse response exhibit delayed phenomenon. However， overall speaking ， the relationship converges in opposite direction.
3.The variance decomposition show that results of roughly 13% of the variance of the return of equity fund can be explained by the return of bond fund . Thus the return of bond fund can be regarded a leading index of equity funds.
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