Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195656 
Year of Publication: 
2017
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 5 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-18
Publisher: 
MDPI, Basel
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.
Subjects: 
Chinese securities
fund performance
market timing
non-parametric
conditional timing
JEL: 
G11
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
603.93 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.