THE RELATION BETWEEN BOND FUND INVESTOR FLOWS AND VOLATILITY

Joe-Ming Lee (), Ku-Hsieh Chen () and Jying-Nan Wang
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Joe-Ming Lee: Department of Applied Economics, Fo Guang University, Add. No. 160, Linwei Rd., Jiaosi Shiang, Yilan County 26247, Taiwan, ROC
Ku-Hsieh Chen: Department of Applied Economics, Fo Guang University, Add. No. 160, Linwei Rd., Jiaosi Shiang, Yilan County 26247, Taiwan, ROC
Jying-Nan Wang: Department of Applied Economics, Fo Guang University, Add. No. 160, Linwei Rd., Jiaosi Shiang, Yilan County 26247, Taiwan, ROC

The Singapore Economic Review (SER), 2016, vol. 61, issue 05, 1-13

Abstract: This study applies the panel smooth transition regression (PSTR) model to investigate the non-linear dynamic relationship between bond fund flows and investment volatility in Taiwan. Our empirical results are as follows. (1) A bond fund's net flow and volatility present a non-linear relationship, (2) Investors' behavior is different under the volatility threshold value and the control variables of asset of funds, management fees and the Sharpe indicator, (3) The different risk attributes of bond funds produce completely different investor behavior. In sum, the threshold of volatility is an important index to look at when investing in bond funds.

Keywords: Bond fund; PSTR model; volatility; fund's net flow (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1142/S0217590815501027

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