An Empirical Study of the Relation between Mutual Fund Flows、Stock Marker Returns and Interest Rates

• Main Authors: Jia-Rong Wu, 吳佳蓉
• Other Authors: Chin-Chao Hung
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/88329227727777110220

碩士 === 長榮大學 === 經營管理研究所 === 97 === This research is analyzes the relation between mutual fund flows、stock market returns and interest rate, uses the research technique contains the examination time series material whether presents the stationary state VAR of model the ADF simple root examination, the confirmation hypothesis, again auxiliary confirms result of the return model by the Granger causal relation examination, further, in order to explain capital flows, the GARCH model, adopted by Bollerslev(1986). The real diagnosis result discovered that, Does not support the price pressure hypothesis, namely the stock fund overall current capacity is unable to affect the stock market reward; Support back coupling transaction hypothesis, namely stock market reward to influence fund current capacity; As well as does not support postal collects a bureau year time surely to store the interest rate the change to reveal the influence mutual fund overall current capacity, but the a bureau year time surely to store the interest rate.