碩士 / 輔仁大學 / 金融與國際企業學系金融碩士班 / 99 / This study explored the relationship that the exchange rate rises to depreciate and Conditional volatility impact on Fund Performance. Used a total of seven currencies against the U.S. dollar, and 15 Fund's investment portfolio weekly return for the study. During the study period from June 11, 1996 to play October 8, 2010 to date, dominated by weeks of trading data. At the same time using unit root test, linear regression model and GARCH-in-mean model to empirical analysis.
After the evidence obtained the main conclusions are: (A) when the exchange rate will usually go up when the fund weekly return based on the national currency to the valuation will rise, the currency appreciation and fund performance was positive relationship. (B) When the U.S. dollar will rise when the dollar-denominated fund portfolio performance decline, the U.S. dollar has appreciated an inverse relationship with the fund performance. (C) That there are 11 weeks of the Fund's portfolio return volatility of the exchange rate will be significantly greater with the lower profit.
| Identifer | oai:union.ndltd.org:TW/099FJU00214037 |
| Date | January 2011 |
| Creators | Kuo,Manting, 郭曼婷 |
| Contributors | Han,Chienshan, 韓千山 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 44 |
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