Stock Selection and Timing Ability of the Taiwan Equity Funds—The Application of Stochastic Beta, GARCH, and Nonlinear GLS
Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53788#.VNMc3yzQrzE Author(s) Yeong-Jia Goo 1 , Feng-Huei Chang 2* , Kuo-Liang Chiu 3 Affiliation(s) 1 Department of Business Administration, National Taipei University, Taipei, Taiwan . 2 Department of Finance, Chihlee Institute of Technology, New Taipei, Taiwan . 3 Department of Integrated Marketing, Cathay Life Insurance Co., Ltd., Taipei, Taiwan . 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...