Thriving in a disrupted market: a study of Chinese hedge fund performance
Ying Sophie Huang,
Juan Yao and
Pacific-Basin Finance Journal, 2018, vol. 48, issue C, 210-223
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:48:y:2018:i:c:p:210-223
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