EconPapers    
Economics at your fingertips  
 

Thriving in a disrupted market: a study of Chinese hedge fund performance

Ying Sophie Huang, Juan Yao and Yu Zhu

Pacific-Basin Finance Journal, 2018, vol. 48, issue C, 210-223

Abstract: We study a group of newly-emerged hedge funds in China, focusing on their performance and growth under a series of recent regulatory changes. These include the implementation of short sale restrictions and a circuit breaker. We find that the funds in our sample generally outperformed the stock market despite these regulatory disruptions. The best-performing equity-related strategies were long-short and multiple strategies. Our results indicate that the ability to sell short is important for all funds adopting equity-related strategies other than the long strategy. The imposition of short sale restrictions significantly reduced hedge fund performance, and the performance differential between “winner” and “loser” funds converged over time. The evidence suggests that the regulatory changes have greatly affected the hedge fund industry in China.

Keywords: Chinese hedge funds; Fund performance; Short sale restrictions (search for similar items in EconPapers)
JEL-codes: G15 G18 G20 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X1730389X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:48:y:2018:i:c:p:210-223

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
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-03-30
Handle: RePEc:eee:pacfin:v:48:y:2018:i:c:p:210-223