| Summary: | 碩士 === 國立中興大學 === 企業管理學系 === 84 === This paper applied Interven tion model developed from the
Transfer Function and Outlier model to prob into the effects of
a mutual fund operating by diffeerent managers. The time of the
samples was from Jan. 1, 1993. This paper selected the closed
funds which invested inTaiwan stock market. So there are 14
funds selected by the procedure. The purposes of this paper
are: 1. Whether the changes of managers would resultion the
unusual ruturn? And how about the long-run effects? 2.
Test the corelation between the weighted stock price index
and the effects of the samples. 3. Whether the variances were
different in the different periods of managers? 4. Find
the outliers, and analysis the reasons of outliers. When the
fund managers change, there is no consistent effects inthe
return of funds. The total changes of the samples are 24 times,
but the unusual return exists by 7 times in the short-run and by
7 times in the long-run. The corelation between the weighted
stock price index and fund return is positive. Outliers exactly
exist in the periods thatwe selected, and they actually affected
the value of observations. So it was necessary to adjust the
outliers in time series. The variances of different periods
were different in most of the samples, and we also found that
variances and fund effect were not positive corelation.
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