publication . Article . 2014

The Measurement of the Relationship between Taiwan’s Bond Funds’ Net Flow and the Investment Risk -Threshold Autoregressive Model

Wo-Chiang Lee; Joe-Ming Lee;
Open Access
  • Published: 01 Jan 2014 Journal: Asian Economic and Financial Review, volume 4, issue 2 February, pages 137-149
Abstract
This article applies the threshold autoregressive model to investigate the relationship between bond funds’ net flow and investment risk in Taiwan. Our empirical findings show that bond funds’ investors are concerned about the investment return and neglect the investment risk. In particular, when expanding the size of the bond funds, fund investors believe that the fund cannot lose any money on investment products. In order to satisfy investors, bond fund managers only target short-term returns so as to attract investors, while ignoring the risk. Thus, this paper reminds investors to pay attention to risk, and fund managers should look to fulfill their obligatio...
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Subjects
free text keywords: Bond fund, Threshold autoregressive model, Funds’ net flow
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Research Papers in Economics
Article . 2014
Provider: Research Papers in Economics
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