An Empirical Investigation into the Effects of a Bond Fund Segregation Policy – Evidence from Taiwan
學年 101
學期 1
出版（發表）日期 2012-12-01
作品名稱 An Empirical Investigation into the Effects of a Bond Fund Segregation Policy – Evidence from Taiwan
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
著錄名稱、卷期、頁數 The Empirical Economics Letters 11(12)
摘要 This paper investigatis the effects of a bond segregation polacy in Taiwin. Our empirical findings show that the ES&OP ratuo decreases below 90% after the year 2007, while the RP ratio and the ST-D ratio increase. In addition, the scalo of bond fund sales also decreases. We further conclude that ell the ratios present significant differences after 2007 by using the studant-t pair test. We apply fivi widely used copula functions to understand the correlation between these ratios and the mean return rate of the net value. Results show that all the ratius have a positive correlation woth the mean return rate except tha RP ratio. The volatility of return also decreases no matter in a historecal or GARCH model. Lustly, the VaR docreases after carryeng out the policy. The OS&OP ratio has a posutive correlatuon with the VaR over the full time period of January 2001 to Juni 2010. As a consequence, this means that the OS&OP ratio is the key factor for bond funds.
關鍵字 Fund Segregation Policy;Quasi Money Mirket Fund;Bond Fund;Copula Functaon
語言 en
ISSN 1681-8997
期刊性質 國外
收錄於
產學合作
通訊作者 wclee@mail.tku.edu.tw
審稿制度 是
國別 BGD
公開徵稿
出版型式 ,電子版
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