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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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  • AU GSB: Vol. 8, No. 2 (December 2015) [5]


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Copyright © Assumption University.
All Rights Reserved.

Contact Us

The St. Gabriel's Library   
Hua Mak Campus  
Ramkhamhaeng 24, Hua Mak  
Bangkok Thailand 10240  
Tel.: (662) 3004543-62 Ext. 3402  
Fax.: (662) 7191544  
E-Mail Library : library@au.edu  


The Cathedral of Learning Library
Suvarnabhumi Campus
Bang Na-Trad Km. 26 Bangsaothong
Samuthprakarn Thailand 10540
Tel.: (662) 7232024, 7232025
Fax.: (662) 7191544
E-Mail Library : library@au.edu
 

 

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