The Study of the Performance Persistence of Domestic Mutual Funds

• Main Authors: Lee, Shu-Ping, 李淑萍
• Other Authors: Lin, Cho-Min
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/33039737344030730523

碩士 === 嶺東科技大學 === 財務金融研究所 === 95 === The purpose of this study was to investigate whether performance persistence exists among domestic mutual funds. A total of 43 mutual funds available during Jan 1st, 2000 and Dec 31st, 2006 were selected as the research subjects. These mutual funds were categorized into four types, including the general type, technology type, medium and small type, and balanced type, to analyze if there was any difference in performance among different types of mutual funds. The daily return and returns over last month, last 3 months, last 6 months, last 9 months, last year, last 2 years, last 3 years, and last 4 years were selected and processed with panel unit root test to find out if persistence existed in the short-term, mid-term, and long-term performances of domestic mutual funds and provide a reference for investors in the future. The research findings were summarized as follows: (1) The phenomenon of performance persistence was more significant in the mid-term and long-term periods of general type, balanced type, and technology type of mutual funds, investors were suggested to trace the performance over the last 9 months and 1 year or even the performance over the last 3 years or 4 years. (2) Due to performance persistence of medium and small type of mutual funds was a short-term phenomenon, it was suggested that investors could refer to the performance over the last 6 months.