Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds

Kedong Yin, Xuemei Li (), Bohong Li and Fan Zhang
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Kedong Yin: School of Economics, Ocean University of China, Qingdao, China, 266100.
Xuemei Li: School of Economics, Ocean University of China, Qingdao, China, 266100.

Journal for Economic Forecasting, 2017, issue 2, 62-78

Abstract: According to international capital market statistics, shock effects from stock price volatility are a principal determinant of investment style drift in open-end funds. Data for 266 open-end funds were selected from China’s capital market between 2008 and 2014. The R/S analysis method and the box fractal dimension were utilised to produce a drift index of investment style (DIIS). Based on the empirical results, three conclusions are noteworthy. First, the six types of pure style CITIC assets index return series have a long-term memory characteristic in the daily, weekly and monthly dimensions; the fractal characteristic of the pure value style of the asset is more significant than that of the pure growth style. Second, the 266 open-end funds are heterogeneous with respect to investment style drift; the serious investment style of the open-end fund was associated with about one third of these funds. Third, the foreign stock index lasted for a long time. HSI 000001, 399001 and 000300 contribute about half of all the variables to DIIS; they are the main factors in investment style shift. Further, the shock effect of international stock price volatility to DIIS exhibited a long-term time-lag effect; while, the domestic series has stronger shock effect on fluctuation range of DIIS.

Keywords: open-end fund; investment style property; investment style drift; international stock price；shock effect (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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