Title: The new empirics of the relationship between operating strategy and economic volatility of Taiwan's mutual fund industry

Authors: Shiu-Wan Hung; Chiao-Ming Li; Ming-Yi Shen

Addresses: Department of Business Administration, National Central University, Add. No. 300 Jung-da Rd., Jung-Li City, Taoyuan 320, Taiwan ' Department of Business Administration, National Central University, Add. No. 300 Jung-da Rd., Jung-Li City, Taoyuan 320, Taiwan ' Department of Business Administration, National Central University, Add. No. 300 Jung-da Rd., Jung-Li City, Taoyuan 320, Taiwan

Abstract: This study reappraises the relationships among long-term performance, mutual fund business management, and economic shocks by taking 108 stock funds in Taiwan during 2007-2015 as observations. We find strong evidence of a nonlinear relationship between long-term performance and volatility index (VIX). Long-term performance is different under the volatility index threshold value and the control variables of turnover ratio, Sharpe ratio, and fee. Moreover, we note that fund managers cannot effectively overcome economic volatility. Frequently in the case of the best economic conditions, the fund managers can achieve better investment performance, but during an economic downturn they are unable to overcome worsening economic conditions, indicating that fund managers' operating strategy and professional ability need to be strengthened.

Keywords: mutual fund; volatility index; economic volatility; operating strategy.

DOI: 10.1504/IJEF.2018.092203

International Journal of Electronic Finance, 2018 Vol.9 No.2, pp.134 - 142

Received: 23 Mar 2017
Accepted: 20 Mar 2018

Published online: 24 May 2018 *

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