An Empirical Investigation into the Effects of Bond
學年 100
學期 2
發表日期 2012-04-21
作品名稱 An Empirical Investigation into the Effects of Bond
作品名稱（其他語言）
著者 Lee, Wo-chiang; Lee, Joe-ming
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 第九屆兩岸金融市場發展研討會
會議地點 浙江杭州, 中國
摘要 This paper investigates the effects of a bond segregation policy in Taiwan. Our empirical findings show that the OS&OP ratio decreases below 30% after the year 2007, while the RP ratio and the ST-D ratio increase. In addition, the scale of bond fund sales also decreases. We further conclude that all the ratios present significant differences after 2007 by using the student-t pair test. We apply five widely used copula functions to understand the correlation between these ratios and the mean return rate of the net value. The results find that all the ratios have a positive correlation with the mean return rate except the RP ratio. The volatility of return also decreases no matter in a historical or GARCH model. Lastly, the VaR decreases after carrying out the policy. The OS&OP ratio has a positive correlation with the VaR over the full time period of January 2001 to June 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 Market Fund; Bond Fund; Copula Function
語言 zh_TW
收錄於
會議性質 兩岸
校內研討會地點
研討會時間 20120421~20120422
通訊作者
國別 CHN
公開徵稿 Y
出版型式 紙本
出處 第九屆兩岸金融市場發展研討會論文集
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77752 )

機構典藏連結
SDGS 產業創新與基礎設施