Financial tsunami on 2008 how to impact the global emerging market bond fund performance consistency and performance persistence.

• Main Authors: Chien, Hung-Hsin, 簡鴻信
• Other Authors: Jan, Yuh-Ling
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/30342894118118243009

碩士 === 國立臺北大學 === 企業管理學系 === 99 === To following with the financial structure improvement and economics growing strength, the emerging markets play a more important role in the world. It also attracts global investors’ eyes. The subprime mortgage, a alert to response the excessive financial operations in America and Europe, happened in U.S.A in April of 2007, and the bankrupt of Lehman Brothers Holdings Inc in September of 2008, a long history bank, caused the global financial tsunami still impacted us so far. During this time, the emerging markets have a vital characteristic of the financial risk aversion and let them grow up blooming. We can verify it from investing amounts growing doubled in the emerging marketing funds. The scholar studied continued in researching the fund performance in the past, and the emerging marketing was a relative newer research field. In this paper, we use the global emerging market bond funds as the samples. This purpose of this study was to investigate whether performance persistence and consistency existed during the financial tsunami of 2008. The paper uses three financial indicators of “Return”,” Sharpe ratio” and “standard deviation of net value” to analyze and classifies a long-term and a short-term period to verify fund performance persistence and consistency existed. It focuses on the financial tsunami, the significant financial issue, whether affected fund performance. Finally, it re-groups the specimens to identify the influence between fund performance persistence and the financial tsunami by using 5 non-financial indicators. This research adopts the method is coefficient correlation of Spearman to assay performance persistence. The research findings were summarized as follows: First, no matter in the long-term or the short-term period, Return and Sharpe ratio has performance consistency.Secord, the standard deviation of net value, a risk indictor, is obvious in long-term fund performance persistence.Third, considering the financial tsunami, Return and Sharpe ratio had the obvious negative coefficient correlation in both long-term and short-term fund performance persistence.Four, five non-financial indicators have different conclusions with analyzing the financial tsunami impact, especially in return for long-term and short-term fund performance persistence.