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Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund

Yong Li, Karen Benson and Robert Faff

Finance Research Letters, 2016, vol. 19, issue C, 217-221

Abstract: We analyze the trading behavior of the Chinese National Social Security Fund (CNSSF) – a fund that operates in a highly political environment. With a particular focus on the financial crisis [2007(Q3)-2009(Q1)], we show that the CNSSF adopts a rebalancing strategy that achieves a balance between portfolio liquidity and growth.

Keywords: Social security fund; Trading strategy; State-sponsored investors; Investment constraints (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2016
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