教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題:A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model
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
語言英文(美國)
ISSN2305-2147;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
國別巴基斯坦
公開徵稿
出版型式,紙本
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