The empirical analysis of different types of mutual funds - domestic equity，foreign equity and foreign bond

• Main Authors: Pi-Yuea Hsieh, 謝碧月
• Other Authors: Yen-Shin Cheng
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/46636045887002216745

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This essay studied three types of mutual funds, including domestic equity funds, foreign equity funds, and foreign bond funds. Based on the chosen samples, we analyzed the difference of investment attributes, calculated their return, risks, probability of positive return, t-test and etc., as per their different investment time periods and rolling styles of investment selected. We adopted VAR model and Grange causality test to check its long-run relationship of three funds. The empirical resulted showed as follows: 1. Among the three types of funds, the foreign equity funds had the highest return and risk, accumulated returns, and Sharpe values. 2. In sampled periods, the correlation coefficient of all funds had showed a positive linear values, the coefficient of the returns between foreign equity fund and bond fund is the highest, that of domestic equity fund and foreign bond fund is the lowest. 3. In t-test, it is showed that the average return of foreign equity fund is higher than that of domestic equity fund, that of the latter is higher than foreign bond fund. All of the above two t-tests are not outstanding in statistical t-test. But the test of the average return of foreign equity funds is obviously higher than that of foreign bond funds. 4. Rolling effect: the longer the investment period, the better the return of equity fund than bond fund. In which, the return of foreign equity fund is higher than that of domestic equity fund in longer times. When the time is longer, the chance of positive return of all fund is higher. 5. In VAR model and Granger causality test, except the case of the foreign bond fund can affect the foreign equity fund, it demonstrated that there is independently related between the domestic equity fund and foreign equity fund, and domestic equity fund and foreign bond fund.