The dynamic interactive relationship between inflationand mutual fund return - approach by panel smoothtransition model
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === In this study, we investigate the impact of inflation to mutual fund return in Taiwan market by using panel smooth transition model. We choose two major types of mutual fund, equity fund and bond fund to be the research targets. The monthly data for the obser...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10039295345470202591 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === In this study, we investigate the impact of inflation to mutual fund return in Taiwan market by using panel smooth transition model. We choose two major types of mutual fund, equity fund and bond fund to be the research targets. The monthly data for the observation period are from 1998 August to 2008 June. We regard Taiwan CPI(Consumer Price Index) as the state variable and use panel smooth transition model to research the relationships of equity fund and bond fund return with the other explanatory variables (the return of Taiwan Weighted Stock Index and interest rate) within different inflation state.
The results of study show that it reveals positive correlation on the return of equity fund and CPI growth rate when CPI growth rate locates in the transition area (-0.1618%∼1.616%). The relationship will become weak gradually and change to negative correlation while CPI growth rate is higher than the transition point 1.616 but it is not very obviously in this model. Regard the relative study of bond fund, no matter what CPI growth rate is, it always shows positive correlation on bond fund return and interest rate.
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