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Author: 高佩佩
Arthariya Korsakul
Thesis Title: Active Trading and Fund Performance in Bear and Bull Markets
Active Trading and Fund Performance in Bear and Bull Markets
Advisor: 陳俊男
Chun-Nan Chen
Committee: 陳俊男
Chun-Nan Chen
謝劍平
Joseph C.P.-Shieh
林軒竹
hsuanchu-Lin
李竹芬
Chufen-Li
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2020
Graduation Academic Year: 108
Language: 英文
Pages: 45
Keywords (in Chinese): fund performanceturnover rateactive tradingmarket state
Keywords (in other languages): fund performance, turnover rate, active trading, market state
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  • In this study, I investigate the relationship between active trading of Taiwan domestic mutual funds, as measured by buy (sell) turnover rates and fund performances under bull and bear market states. The endogeneity issue has been taken into consideration and therefore, the study employs 2SLS regression model using manager tenure as an instrumental variable. The results suggest no evidence between buy (sell) turnover rates and fund performances, implying that turnover rate is not a good determinant in explaining the effect of fund performance for Taiwan funds. The results also show the negative and significant relationship between bear market and fund performance. Thus, Taiwan funds tend to perform better during the bull market, regardless of the level of fund active trading.


    In this study, I investigate the relationship between active trading of Taiwan domestic mutual funds, as measured by buy (sell) turnover rates and fund performances under bull and bear market states. The endogeneity issue has been taken into consideration and therefore, the study employs 2SLS regression model using manager tenure as an instrumental variable. The results suggest no evidence between buy (sell) turnover rates and fund performances, implying that turnover rate is not a good determinant in explaining the effect of fund performance for Taiwan funds. The results also show the negative and significant relationship between bear market and fund performance. Thus, Taiwan funds tend to perform better during the bull market, regardless of the level of fund active trading.

    Table of Contents Abstract……………………………………………………………I Acknowledgement…………………………………………………II Table of Contents………………………………………………III List of Tables……………………………………………………V List of Figures…………………………………………………VI Chapter 1: Introduction 1.1 Background of the study……………………………………1 1.2 Taiwan mutual fund market…………………………………3 1.3 Significant of the study……………………………………7 1.4 Structure of research………………………………………7 Chapter 2: Literature Review 2.1 Active trading…………………………………………………9 2.2 Fund turnover ratio and fund performance…………………11 2.3 Fund performance and market states…………………………12 Chapter 3: Data and Methodology 3.1 Data and sources…………………………………………………15 3.2 Variables…………………………………………………………15 iv 3.3 Descriptive Statistics…………………………………………18 3.4 Classification market states…………………………………19 3.5 Method………………………………………………………………21 Chapter 4: Empirical Results 4.1 Fund Performances by Buy Turnover Rates…………………24 4.2 Fund Performances by Sell Turnover Rates…………………25 4.3 Fund performance and buy turnover rate in bear market……26 4.4 Fund performance and sell turnover rate in bear market…29 Chapter 5: Conclusion…………………………………………………32 References………………………………………………………………34

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