A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model

Due to the market's integrity and lack of liquidity of Taiwan's bond market, a bond manager finds it difficult to flexibly adjust portfolio allocation and systemic risk. No matter in the T-M model, T-M ARMAX-GARCH model, or H-M ARMAX-GARCH model, this study's results show that most bo...

Full description

Saved in:
Bibliographic Details
Published inAsian economic and financial review Vol. 2; no. 8; p. 991
Main Authors Lee, Wo-Chiang, Lee, Joe-Ming
Format Journal Article
LanguageEnglish
Published Karachi Asian Economic and Social Society 01.12.2012
Subjects
Bond funds
Bond markets
Capital assets
Corporate bonds
Equity funds
Government bonds
Investment advisors
Investment policy
Market timing
Mutual funds
Scandals
Securities markets
Stochastic models
Stock exchanges
Online AccessGet full text

Cover

More Information
Summary:Due to the market's integrity and lack of liquidity of Taiwan's bond market, a bond manager finds it difficult to flexibly adjust portfolio allocation and systemic risk. No matter in the T-M model, T-M ARMAX-GARCH model, or H-M ARMAX-GARCH model, this study's results show that most bond funds do not have selective ability and significant systemic risk and timing ability, except for the H-M model. Hence, we recommend that Taiwan's bond market should develop more investment products, improve liquidity in the market, and enlarge the operating space of the fund manager.
ISSN:2305-2147
2222-6737