Searching for the Determinants of Institutional Investors Portfolios

• Main Authors: fang kuang yu, 方光宇
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/51972941053670826015

碩士 === 國立中興大學 === 財務金融學系 === 93 === This study employs public, available data in order to searches for investment strategies which would lead to superior returns for investors. This study can be divided into two parts: First, a vector autoregression (VAR) model is developed to measure the relationship between market index returns and selected market variables. After the relationship is identified, investment strategies, based on the findings on the VAR model, are formed for mutual funds, security dealers, and foreign investors. Second, the performance of the individual stock based on the above investment strategies is examined. The finding shows that the performance of the portfolio of mutual funds is superior to the other two. When the market experiences an extreme drop in returns from 3.5% to 7% in the day before current day, this study finds that the three investment strategies can earn superior positive returns after deducting the transaction costs. In addition, the portfolio of mutual funds shows the best positive returns.