A study on mutual funds' performance deciding factors under bull vs bear markets
| Autor: | Lan-hsin Cheng, 鄭嵐馨 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 This study explores the characteristic factors of domestic equity mutual funds'' performance under bull and bear markets. This paper also tests whether the phenomenon of seasonal effects exist. The sample for this paper consists of 130 funds'' monthly data from November 2007 to December 2011 and 74 funds'' quarterly data from March 1999 to December 2011. Then we divide bull and bear markets according to Fabozzi (1977) and Francis (1979)''s arguments. The distinction of fund types is divided into general, technology, medium and small-sized. And we use Panel Data to analyze. Empirical results show that: 1. Significant factor of the various types of funds affect the performance of the Fund is not the same under different markets. It helps us to improve the model explanatory power if we take fund types and bull and bear markets into consideration. 2. Data type, length will affect the estimated results. Although the same variables which estimates presented in the results in both models are not entirely consistent, there is still a certain degree of correlation. 3. Domestic equity funds the January effect phenomenon exist but it is negative related to fund performance. Quarterly effect display different results under the bull and bear markets. It’s a positive effect under bull market. While is negative effect under bear market. It indicates that the fund manager actively out of the stock market has a positive impact on fund performance only under bull market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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