| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 88 === Most of the academic researches on domestic mutual funds are focus on the topics such as stock selection, and timing strategy. When mutual funds are getting popular recently, the questions of whether the movement of investor’ fund is corresponded to the performance of the mutual fund, and whether interactive influence exists between aggregate fund flows and market return are pop up. Thus, further study of the relation among funds flow, fund performance, and return are our target of this study.
We examine the relationship between individual fund performance and fund flows. We adopts pooling model to analyze on the sample series. The empirical results are as follows：
1. In equity mutual fund, when time frame of this study covering a full bull-bear market cycle, prior performance information, no matter for historical performance or risk-adjusted excess return, is positively related to the fund flows. If the time frame covering full study period, the result is same but less significant.
2. In bond mutual fund, concurrent performance is positively related to fund flows.
3. We find the movement of investor’ fund being positively corresponded to the best performance of the mutual fund in the equity mutual find market, and similar finding in the bond fund market, not significant though.
Regarding the exploring of the interactive influence between funds flow and market return, we use traditional vector autoregression model to investigate on the sample series through impulse response function and variance decompositions. The data covers equity mutual fund and bond mutual fund from September, 1996 to February, 2000.And the empirical results are as follows：
1. There is no evidence that feedback-trader relationship exists between equity mutual fund flows and stock market return.
2. There is no evidence that feedback-trader relationship between exists equity mutual fund flows and bond mutual fund flows.
3. There is no evidence that bond mutual fund flows positively influences the return of bond market, while the return of bond market does not influence the flows of bond
mutual fund.
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