The Market-Timing Ability of Chinese Equity Securities Investment Funds

Meadhbh Sherman, Niall O’Sullivan and Jun Gao
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Meadhbh Sherman: Department of Economics, University College Cork, Cork T12YN60, Ireland
Niall O’Sullivan: Department of Economics, University College Cork, Cork T12YN60, Ireland
Jun Gao: Department of Economics, University College Cork, Cork T12YN60, Ireland

IJFS, 2017, vol. 5, issue 4, 1-18

Abstract: This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating ‘private’ timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor–Mazuy and Henriksson–Merton methods compared to the non-parametric procedure.

Keywords: Chinese securities; fund performance; market timing; non-parametric; conditional timing (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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