The market-timing ability of Chinese equity securities investment funds

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dc.contributor.author Sherman, Meadhbh
dc.contributor.author O'Sullivan, Niall
dc.contributor.author Gao, Jun
dc.date.accessioned 2017-12-08T13:33:48Z
dc.date.available 2017-12-08T13:33:48Z
dc.date.issued 2017-10-17
dc.identifier.citation Sherman, M., O’Sullivan, N. and Gao, J. (2017) 'The market-timing ability of Chinese equity securities investment funds', International Journal of Financial Studies, 5(4), 22 (18pp). doi: 10.3390/ijfs5040022 en
dc.identifier.volume 5
dc.identifier.issued 4
dc.identifier.startpage 1
dc.identifier.endpage 18
dc.identifier.issn 2227-7072
dc.identifier.uri http://hdl.handle.net/10468/5155
dc.identifier.doi 10.3390/ijfs5040022
dc.description.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. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher MDPI en
dc.relation.uri http://www.mdpi.com/2227-7072/5/4/22
dc.rights © 2017, the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/) en
dc.rights.uri http://creativecommons.org/licenses/by/4.0/
dc.subject Chinese securities en
dc.subject Fund performance en
dc.subject Market timing en
dc.subject Non-parametric en
dc.subject Conditional timing en
dc.title The market-timing ability of Chinese equity securities investment funds en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Meadhbh Sherman, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: M.Sherman@ucc.ie en
dc.internal.availability Full text available en
dc.description.version Published Version en
dc.description.status Peer reviewed en
dc.identifier.journaltitle International Journal of Financial Studies en
dc.internal.IRISemailaddress M.Sherman@ucc.ie en
dc.identifier.articleid 22


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© 2017, the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/) Except where otherwise noted, this item's license is described as © 2017, the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/)
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