期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2012-12-01 |
| 作品名稱 | A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model |
| 作品名稱（其他語言） | |
| 著者 | Lee, Wo-chiang; Lee, Joe-Ming |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Asian Economic and Social Society |
| 著錄名稱、卷期、頁數 | Asian Economic and Financial Review 2(8), pp.991-1000 |
| 摘要 | Due to the market’s integrity and lack of liquidity of Taiwan’s bond market, a bond manager finds it difficult to flexibly adjust portfolio allocation and systemic risk. No matter in the T-M model, T-M ARMAX-GARCH model, or H-M ARMAX-GARCH model, this study’s results show that most bond funds do not have selective ability and significant systemic risk and timing ability, except for the H-M model. Hence, we recommend that Taiwan’s bond market should develop more investment products, improve liquidity in the market, and enlarge the operating space of the fund manager. |
| 關鍵字 | Bond fund;Timing ability;Selective ability;ARMAX-GARCH model JEL classification: G20;C12;C13 |
| 語言 | en_US |
| ISSN | 2305-2147 2305-2147 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | 李沃牆(wclee@mail.tku.edu.tw) |
| 審稿制度 | 是 |
| 國別 | PAK |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/79876 ) |