Handbook of Asian Finance

Chapter 21

What Drives the Time-Varying Performance of Japanese Mutual Funds?

Kin-Yip Ho^a, Yanlin Shi^a and Zhaoyong Zhang^b,    ^aThe Australian National University, Research School of Finance, Actuarial Studies and Applied Statistics, ANU College of Business and Economics, Canberra, ACT 0200, Australia,    ^bEdith Cowan University, School of Business, Faculty of Business and Law, 270 Joondalup Drive, Joondalup WA6027, Australia,    [e-mail]; [e-mail]; [e-mail]

Abstract

In this chapter, we review the performance of Japanese mutual funds with the most recent data and examine the time-varying volatility and the leverage effect of Japanese mutual funds over the business cycle by using a Markov Regime-Switching ...