An analysis of asymmetric correlation between mutual fund returns and the market

Hamlet, Matthew Stephen. (2006). An analysis of asymmetric correlation between mutual fund returns and the market Honours Thesis, School of Business, The University of Queensland.

       
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Author Hamlet, Matthew Stephen.
Thesis Title An analysis of asymmetric correlation between mutual fund returns and the market
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2006
Thesis type Honours Thesis
Total pages 89
Language eng
Subjects 1503 Business and Management
Formatted abstract The objective of this thesis is to formally examine whether mutual fund returns are asymmetric and to test whether they display lower tail dependence with the Australian stock market. A model free test of asymmetry proposed by Hong, Tu and Zhou (2006) is applied to a set of Australian mutual fund returns. A Clayton copula is also fitted to the data to obtain a measure for lower tail dependence. The analysis shows that there is clear evidence of lower tail dependence for the majority of mutual funds in the sample and for the mutual fund market as a whole. The degree of lower tail dependence is significantly greater than that present in the market. A subsequent regression of several possible determinants of fund dependence suggests that managers have some ability to reduce the fund asymmetry and increase their management fees accordingly. However, there is strong evidence that their ability to reduce the lower tail dependence is dwarfed by an amplification effect, where the mutual fund magnifies the dependence structures present in the assets in their portfolio.
Additional Notes Variant title: Asymmetric correlations of mutual fund returns.

 
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Created: Tue, 16 Nov 2010, 12:38:41 EST by Muhammad Noman Ali on behalf of The University of Queensland Library