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

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 particula...

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Veröffentlicht in:Asian economic and financial review 2014-02, Vol.4 (2), p.137
1. Verfasser: Wo-Chiang Lee, Joe-Ming Lee
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description 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.
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subjects Bond funds
Bond markets
Fees & charges
Investigations
Investment advisors
Mutual funds
Stochastic models
Variables
title The Measurement of the Relationship between Taiwan's Bond Funds' Net Flow and the Investment Risk -Threshold Autoregressive Model
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