A study on the lead-lag relationship among Mutual Fund Flows、Mutual FundReturns and Stock Market Returns and the influential factors of Mutual FundReturns.
碩士 === 玄奘大學 === 財務金融學系碩士班 === 98 === This study uses the VAR model to examine the relationship among mutual fund flow rate, mutual fund return and stock market return. The sample of this study covers the monthly data of mutual fund flow rate, mutual fund return and stock market return from July 2000...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79431017188519179511 |
| Summary: | 碩士 === 玄奘大學 === 財務金融學系碩士班 === 98 === This study uses the VAR model to examine the relationship among mutual fund flow rate, mutual fund return and stock market return. The sample of this study covers the monthly data of mutual fund flow rate, mutual fund return and stock market return from July 2000 to June 2009. The empirical results reveal that stock market return is affected by the prior period mutual fund return and the mutual fund flow rate is influenced both by the prior period of mutual fund flow
rate and the mutual fund return of two periods ahead. However, the mutual fund return is neither affected by mutual fund flow rate nor by stock market return. It implies that mutual fund return has more information content and it leads the other two factors. Moreover, this study also uncovers the influential factors of mutual fund return. The results show that the turnover rate of mutual fund, fund size and Jensen’s αhave significant impact on mutual fund return.
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