Chapter 21

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

Kin-Yip Hoa, Yanlin Shia and Zhaoyong Zhangb,    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,    kin-yip.ho@anu.edu.au; yanlin.shi@anu.edu.au; zhaoyong.zhang@ecu.edu.au

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 ...

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