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The Relation Between Bond Fund Investor Flows And Volatility

Author

Listed:
  • 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)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:wsi:serxxx:v:61:y:2016:i:05:n:s0217590815501027
    DOI: 10.1142/S0217590815501027
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    References listed on IDEAS

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