Effect of Exchange Traded Funds’Liquidity on the Performance of Open-End Mutual Funds

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题名:	Effect of Exchange Traded Funds’Liquidity on the Performance of Open-End Mutual Funds
作者:	Liao, Yu-Ting
贡献者:	財務金融學系
关键词:	Exchange traded funds;market turnover;market liquidity
日期:	2016
上传时间:	2016-08-12 08:32:38 (UTC+0)
出版者:	亞洲大學
摘要:	This paper investigate the impact of market turnover and market liquidity of exchange traded funds (ETF) on the flow and return of the same type mutual funds. We obtain data mainly from Taiwan Economic Journal (TEJ) and Taiwan Stock Exchange (TWSE). The data is monthly basis ranging from January 2003 to December 2015. Results from regression analysis show that both market turnover and liquidity of ETF have negative effects on the flow of mutual funds and hence there exists a substitution effect between ETF and mutual funds. In addition, we find high market turnover of ETF is associated with low returns of mutual funds while high ETF liquidity is related to high returns of mutual funds.
显示于类别:	[財務金融學系] 博碩士論文

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