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Abstract:
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The main objective of this independent study was to study the effect of risk on the rate of return of retirement mutual funds RMF), including KFLRMF KS50RMF KEQRMF and KTHAICGRMF, under a stock market investment policy of Kasikorn Asset Management Company Limited. In the study, the daily secondary data of the net asset value (NAV) from January 2014 – December 2018 were collected by using economic models, namely GARCH, GARCH-M, TGARCH-M, and EGARCH-M, to forecast the time series data. The results of the study indicated that the risk affected directly towards on the rate of return of Retirement Mutual Fund “KS50RMF, KEQRMF and KMSRMF” with statistical significance. When comparing among the mutual funds it was found that the KMSRM had the greatest effect of risk on the rate of return with a coefficient value at 15.644, leading to the highest rate of return of the KMSRMF during the period of the study. KEQRMF and KS50RMF had the effect of risk on the rate of return with a coefficient value at 9.418 and 6.142 respectively. This shall comply with the risk premium theory in which investors will receive a higher rate of return when investing in funds with a higher risk (High Risk High Return). In conclusion, the model that best suits the data of return rate of the mutual fund KS50RMF, KEQRMF and KMSRMF is GARCH-M, while GARCH is the most applicable for KFLRMF. However, as for the KTHAICGRMF, the statistically significant relationship in the model has not been found during this study.
Keywords: Risk, Rate of return, Mutual fund, Volatility estimation, GARCH Model
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