A STUDY ON TAIWAN’S BOND MARKET INTEGRITY AND MARKET TIMING ABILITY - BASED ON THE ARMAX-GARCH MODEL
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 8
Abstract
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.
Authors and Affiliations
Wo-Chiang Lee| Department of Banking and Finance, Tamkang University 151, Yin-Chuan Road, Tamsui, New Taipei City, Taiwan, ROC, Joe-Ming Lee| Department of Banking and Finance, Tamkang University 151, Yin-Chuan Road, Tamsui, New Taipei City, Taiwan, ROC
Keywords
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- EP ID EP1847
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