Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds

Aifan Ling, Xinrui Huang and Ling, Boya (Vivye)

The North American Journal of Economics and Finance, 2022, vol. 63, issue C

Abstract: This paper discusses the connection between public equity fund characteristics and performance reactions to COVID-19 using data over 1300 equity funds across 105 Chinese fund companies. Empirical evidences from over 20 fund characteristics show that the liquidity, diversification and pre-2020 Sharpe ratio, fund management abilities, agency costs can determine the fund immunity to COVID-19. Based on these characteristics mentioned, our empirical results can explain why COVID-19-induced drop in fund performance is milder among open-end funds, active funds, ETFs, and growth funds, and also can explain why funds controlled by private companies or by sino-foreign joint ventures or by companies with more independent directors of financial experiences perform better in the pandemic. Our work also provides some valuable suggestions for investors and regulators confronting an exogenous shock.

Keywords: Fund characteristic; COVID-19; Fund performance; Fund immunity; Sharpe ratio (search for similar items in EconPapers)
JEL-codes: G12 G32 M14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001577

DOI: 10.1016/j.najef.2022.101822

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