 Do Chinese mutual funds time the market?Li Yi, Zilan Liu, Lei He, Zilong Qin and Shunli Gan Pacific-Basin Finance Journal, 2018, vol. 47, issue C, 1-19 Abstract: This paper explores market timing abilities of Chinese mutual fund managers from the three dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July 2005 to June 2016, we find strong evidence that mutual funds can time the market volatility and liquidity. Our results show that only growth-oriental funds have the ability to time the market returns. We also find that among funds with different investment objectives, balance funds have the most significant volatility timing while growth funds have the most significant liquidity timing ability. Our findings are robust to alternative explanations, including style timing, illiquid holdings, and market reaction. Bootstrap analysis indicates that the evidence cannot be attributable to luck. For all three forms of market timing, a successful timer tends to have higher turnover rate. Finally, we find that Chinese equity mutual funds are able to demonstrate market volatility and liquidity timing persistence in the out-of-sample test. No evidence is found for the presence of return timing persistence. Keywords: Mutual funds; Market timing; Market return; Volatility; Liquidity (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:pacfin:v:47:y:2018:i:c:p:1-19 DOI: 10.1016/j.pacfin.2017.11.002 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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