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Performance of taiwanese domestic equity funds during quantitative easing (conferenceObject)

Access

info:eu-repo/semantics/closedAccess

Date

2016

Author

Tan, Ömer Faruk

Metadata

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Citation

Tan, OF. (2016). Performance of taiwanese domestic equity funds during quantitative easing. Conference: International conference on Business and Economics (ICBE2016). Jeju Natl Univ, Jeju, SOUTH KOREA. pp. 391-393

Abstract

This study is the first analysis on the performance of Taiwanese domestic equity funds during the period of January, 2009 and October, 2014. For the period, quantitative redirected capital flowed toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds' performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen's alpha method (1968). In testing market timing proficiency, we applied Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods. Jensen's alpha method (1968) was used to measure fund managers stock selection skills. The results of this study show that funds under-performed Taiwan's average annual market return significantly and demonstrates no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.

Source

International conference on Business and Economics (ICBE2016)

URI

https://hdl.handle.net/20.500.11779/996

Collections

  • Araştırma Çıktıları, WOS İndeksli Yayınlar Koleksiyonu [470]
  • MF, EEM, Bildiri ve Sunum Koleksiyonu [28]



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