Artikel
The market-timing ability of Chinese equity securities investment funds
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor-Mazuy and Henriksson-Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating 'private' timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor-Mazuy and Henriksson-Merton methods compared to the non-parametric procedure.
- Language
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Englisch
- Bibliographic citation
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 5 ; Year: 2017 ; Issue: 4 ; Pages: 1-18 ; Basel: MDPI
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Chinese securities
fund performance
market timing
non-parametric
conditional timing
- Event
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Geistige Schöpfung
- (who)
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Sherman, Meadhbh
O'Sullivan, Niall
Gao, Jun
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2017
- DOI
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doi:10.3390/ijfs5040022
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Sherman, Meadhbh
- O'Sullivan, Niall
- Gao, Jun
- MDPI
Time of origin
- 2017
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