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A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model

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  • Wo-Chiang Lee
  • Joe-Ming Lee

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.

Suggested Citation

  • Wo-Chiang Lee & Joe-Ming Lee, 2012. "A Study on Taiwan's Bond Market Integrity and Market Timing Ability - Based on The Armax-Garch Model," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 2(8), pages 991-1000.
    • Handle: RePEc:asi:aeafrj:v:2:y:2012:i:8:p:991-1000:id:945
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    Cited by:

    1. Joe-Ming Lee, 2013. "Evidence from Business Strategy of Mutual Fund Managers after the Financial Crisis - Panel Smooth Transition Regression Model," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 3(3), pages 48-58, March.
    2. Joe-Ming Lee & Ku-Hsieh Chen & Jying-Nan Wang, 2016. "The Relation Between Bond Fund Investor Flows And Volatility," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(05), pages 1-13, December.

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