A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

Patrick Kuok-kun Chu () and Michael McKenzie ()
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Patrick Kuok-kun Chu: Faculty of Business Administration, L216 Luso Chinese Building, University of Macau, Taipa, Macao SAR, China
Michael McKenzie: Faculty of Economics and Business, H69 Economics and Business Building, The University of Sydney, New South Wales 2006, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2008, vol. 11, issue 04, 617-649

Abstract: This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.

Keywords: Pension funds; stock-selection performance evaluation; market-timing ability; conditional models; JEL Code: G20; JEL Code: G23 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219091508001507

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