Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan
碩士 === 國立臺灣大學 === 財務金融學研究所 === 104 === The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity m...
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ndltd-TW-104NTU053040212019-05-15T23:01:18Z http://ndltd.ncl.edu.tw/handle/8xrx92 Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan 聰明錢效果與市場波動-以台灣股票型基金為例 Shih-Ying Cheng 鄭詩穎 碩士 國立臺灣大學 財務金融學研究所 104 The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity mutual funds in Taiwan to measure if the smart money effect exists; (2) consider market volatility factor to take a look at the relationship between the smart money effect and market volatility. This study shows that (1) the smart money effect does not exist over the sample period, and (2) although the smart money effect does not hold, market volatility raises the excess return of fund portfolios. 胡星陽 2016 學位論文 ; thesis 36 zh-TW |
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碩士 === 國立臺灣大學 === 財務金融學研究所 === 104 === The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity mutual funds in Taiwan to measure if the smart money effect exists; (2) consider market volatility factor to take a look at the relationship between the smart money effect and market volatility. This study shows that (1) the smart money effect does not exist over the sample period, and (2) although the smart money effect does not hold, market volatility raises the excess return of fund portfolios.
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author2 |
胡星陽 |
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胡星陽 Shih-Ying Cheng 鄭詩穎 |
author |
Shih-Ying Cheng 鄭詩穎 |
spellingShingle |
Shih-Ying Cheng 鄭詩穎 Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
author_sort |
Shih-Ying Cheng |
title |
Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
title_short |
Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
title_full |
Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
title_fullStr |
Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
title_full_unstemmed |
Smart Money Effect and Market Volatility-A study on Equity Mutual Funds in Taiwan |
title_sort |
smart money effect and market volatility-a study on equity mutual funds in taiwan |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/8xrx92 |
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