 Timing market confidence in the Chinese domestic security marketYao Zheng, Eric Osmer and Yidan Bai The Quarterly Review of Economics and Finance, 2021, vol. 82, issue C, 298-311 Abstract: This paper analyzes Chinese mutual fund managers’ ability to time aggregate market confidence in China’s securities market. To measure aggregate market confidence in the Chinese market, we construct a Composite Investor Confidence Index (CICI) based on investor confidence surveys from institutional and individual investors. The study finds that managers successfully shift their fund exposure relative to shifts in the aggregate confidence level in the market. Additional analysis shows that top confidence timers outperform bottom confidence timers by more than 4% per year. The study also finds that mutual funds possessing confidence timing ability tend to be younger funds that are larger in size and have higher expense ratios. Our findings remain robust after controlling for market, liquidity and volatility timing, as well as confidence reaction. Keywords: Aggregate market confidence; Timing ability; Mutual funds; Fund characteristics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:82:y:2021:i:c:p:298-311 DOI: 10.1016/j.qref.2021.09.002 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.