The Effects of Global Economic Indicators to the Performance of ETFs and the Return of Asset Allocation of Mutual Fund

• Main Authors: HUNG, TSUNG-MING, 洪崇銘
• Other Authors: SHIH, YI-CHENG
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/dw3kt7

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 106 === As a show window of economy, the stock market can reflect the expected value of the market and companies after assessed by investors when the economy changes. Kostolany’s analogy “Stock market and economy is like a man walking his dog. The man walks slowly, the dog runs back and forth.” However, the ups and downs in the market are actually a difficult circumstance for investors. Through the economic indicators, the trend of the stock market can effectively be predicted of or highly linked to, and then grasp the trend or the best allocation to avoid becoming worried or selling low. In this research the unit root test, the least square estimation, OLS, etc. are used to review the impact on the performance of ETFs and the return of fund investors, and whether the asset allocation of individual are also highly correlated with the economic indicators regularly released by major economies in the world. Empirical results discovered the selected indicators in this reaserch are significantly correlated to global equity ETF. Although there is no explanatory power for the total bond ETF, as long as investing ETFs by asset allocation, the model in this reaserch can be refered to assess decisions, including UK’s GfK Consumer Confidence Index, the seasonally adjustment Industrial Inventories Index and Total Machinery Orders in Japan are the global economic indicators significantly correlated to. After conducting a regression analysis to the return of asset allocation of all levels and the average of fund investors, the three indicators above are achieved the same results in all fund investor dependent variable models, a significant correlation also found between the return of 2 levels investors and the indicator of Freight traffic Growth Rate in China. The overall test results are highly consistent. For fund investors are recommended to refer to the model and economic indicators established in this reaserch as a basis for making investing decisions.