Empirical Analysis on the Impact of Informed Trading on Chinese Open Fund Performance

Lei Xia (), Cui-cui Liu and Li-li Qing
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Lei Xia: Jiangxi Science and Technology Normal University
Cui-cui Liu: Huazhong University of Science and Technology
Li-li Qing: Jiangxi Science and Technology Normal University

Chapter Chapter 9 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 87-93 from Springer

Abstract: Abstract Informed trading is that insiders use their own proprietary information (private information) to trade stocks based on asymmetric information in the market and use the price difference to profit. This paper studies the relationship between investment behavior of open funds and the performance of funds in China market. Using the measurement of the probability of informed trading in Easley et al. (1996). The empirical test shows that there is a significant negative relation between the open funds’ PIN and the performance. This result means that the participation in informed trading of open funds can’t increase their performance.

Keywords: Fund performance; Informed trading; Informed trading probability; Open fund; Trade_PIN (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38442-4_9

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DOI: 10.1007/978-3-642-38442-4_9

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