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: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
語言英文
ISSN1681-8997
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
國別孟加拉
公開徵稿
出版型式,電子版
相關連結
SDGs
  • 就業與經濟成長
Google+ 推薦功能,讓全世界都能看到您的推薦!