THE MEASUREMENT OF THE RELATIONSHIP BETWEEN TAIWAN’S BOND FUNDS’ NET FLOW AND THE INVESTMENT RISK –THRESHOLD AUTOREGRESSIVE MODEL
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 2
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 obligations in addition to the pursuit of profit. Finally, bond funds should have risk management professionals help run the funds.
Authors and Affiliations
Wo-Chiang Lee| Department of Banking and Finance, Tamkang University, New Taipei City, Taiwan, Joe-Ming Lee| Department of Banking and Finance, Tamkang University, New Taipei City, Taiwan
Keywords
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