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

Wo-Chiang Lee and Joe-Ming Lee

Asian Economic and Financial Review, 2014, vol. 4, issue 2, 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 obligations in addition to the pursuit of profit. Finally, bond funds should have risk management professionals help run the funds.

Keywords: Bond fund; Threshold autoregressive model; Funds’ net flow (search for similar items in EconPapers)
Date: 2014
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