Long-term price linkages of the Top Ten RMFS and LTFS with the SET Index: a case of unidirectional granger causality relationship
by Parnward Banternghansa; Witsaroot Pariyaprasert
Title: | Long-term price linkages of the Top Ten RMFS and LTFS with the SET Index: a case of unidirectional granger causality relationship |
Author(s): | Parnward Banternghansa
Witsaroot Pariyaprasert |
Issued date: | 2015 |
Publisher: | Assumption University Press |
Citation: | AU-GSB e-JOURNAL 8, 2 (December 2015), 26-41 |
Abstract: |
The main objective of this research is to examine the response of the top 10 Retirement Mutual Funds (RMFs) and Long-term Equity Funds (LTFs) ranked by Morningstar Thailand on the percentage change in the Stock Exchange of Thailand's Index (SET Index) during the period from January 2011 to May 2014. To examine, Granger causality test is performed to verify the existence of the unidirectional causality relationship. The researcher found that return of SET Index Granger caused 5 out of Top 10 RMFs and 2 out of Top 10 LTFs. These findings will help investors to make decision on which funds to invest that best serve their preferences. However, the limitation to this study is that it does not indicate whether the change of one variable has negatively or positively affected the other variable. In any case, the practical implication for investors is for them to observe the changes of SET Index to study the movements of Net Asset Value (NAV) of mutual funds, which they could later apply and formulate their own strategies such that their portfolios are of similar composition to their preferable RMFs and LTFs portfolios to generate returns of their own. |
Subject(s): | AU-GSB e-Journal
AU-GSB e-Journal -- 2015 |
Keyword(s): | Long-Term Funds (LTFs)
Retirement Mutual Funds (RMFs) SET Index Return of SET Index Growth of mutual funds Investment strategy and investors initiative guidance |
Resource type: | Journal Article |
Extent: | 16 pages |
Type: | Text |
File type: | application/pdf |
Language: | eng |
Rights: | This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner. |
URI: | http://repository.au.edu/handle/6623004553/18024 |
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