| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 96 === Mutual funds instruments have become increasingly important, and shares in the funds now represent a major part of the household wealth. Stock mutual funds often diversify their investments in a wide range of stocks of specific markets. Thus, their net asset values are usually highly correlated with weighted stock price indices. To inspect mutual-fund managers’ expertise, this thesis employs VECM-GARCH(1,1) and VAR-GARCH(1,1) models to examine cointegration patterns and causality relationships between Taiwan’s stock funds and stock price indices, and use the uncovered relationship to forecast net asset values of mutual funds and/or the stock price indices. Moreover, our data spans include
a 10-year whole period, and an upward and a downward interval within the whole period.
Three major empirical findings of this thesis are as follows:
(1) Several funds’ net asset values are cointegrated with stock price indices, and most are in the downward period.
(2) In the whole and downward periods, many mutual funds’ net asset values have causal relationships with stock price indices. But in the upward period, the funds’ net asset values are seldom correlated with stock price indices.
(3) Judging from the Theil U criterion, the out-of-sample forecast performances are superior using the estimated VECM-GARCH(1,1) and VAR-GARCH(1,1) models.
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