Timing Ability in Fund of Mutual Funds Placements: Empirical Evidence from China

Cheng He ()
Additional contact information
Cheng He: Tianjin University Of Technology

A chapter in Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), 2022, pp 1080-1084 from Springer

Abstract: ABSTRACT This paper examines Market timing ability in China's fund of mutual funds placements. We study the Treynor-Mauzy-Busse Model, which evaluate the market return timing and volatility timing at the same time. We use China's fund of funds data and compare empirical results of Treynor-Mauzy Model, Henriksson-Merton Model, Busse Model, and Treynor-Mauzy-Busse model. We find that most China's fund of funds have significant volatility timing ability, but there is not evidence to prove that they have the ability of market timing. The empirical results are consistent with those of previous models.

Keywords: Fund of mutual funds; Volatility; Timing (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:advbcp:978-94-6463-036-7_159

Ordering information: This item can be ordered from
http://www.springer.com/9789464630367

DOI: 10.2991/978-94-6463-036-7_159

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().