Goo, Yeong-Jia and Chang, Feng-Huei and Chiu, Kuo-Liang (2015) Stock Selection and Timing Ability of the Taiwan Equity Funds—The Application of Stochastic Beta, GARCH, and Nonlinear GLS. Modern Economy, 06 (02). pp. 153-164. ISSN 2152-7245
ME_2015020415161584.pdf - Published Version
Download (1MB)
Abstract
This study simultaneously examines funds’ selectivity, beta stationary, and timing decisions by the modified method of Chen and Stockum (1986). We adopt GARCH, generalized least square (GLS), and a nonlinear parameter-estimator model to increase the estimate efficiency. The results indicate that up to 86% of the funds have stochastic betas, over 99% show positive but insignificant selectivity, and 83% indicate negatively significant market-timing ability. This suggests that Taiwan domestic-equity fund managers, on average, do not have stock selectivity and timing ability, which seems to support the efficient market hypothesis.
Item Type: | Article |
---|---|
Subjects: | Open Research Librarians > Multidisciplinary |
Depositing User: | Unnamed user with email support@open.researchlibrarians.com |
Date Deposited: | 14 Jul 2023 12:06 |
Last Modified: | 20 Sep 2023 09:40 |
URI: | http://stm.e4journal.com/id/eprint/1433 |