The liquidity timing ability of mutual funds

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dc.contributor.authorYin, Zhengnanen
dc.contributor.authorO’Sullivan, Niallen
dc.contributor.authorSherman, Meadhbhen
dc.contributor.funderUniversity College Corken
dc.date.accessioned2024-11-27T14:55:57Z
dc.date.available2024-11-27T14:55:57Z
dc.date.issued2024-06-08en
dc.description.abstractWe apply the nonparametric methodology of Jiang (2003) to test the market liquidity timing skills across individual equity mutual funds in three countries (the US, UK, and China). We calculate the monthly stock market liquidity using simple averages (across stocks) as well as the asymptotic principal component analysis (APCA) method based on six stock liquidity measures. Using an across-measure of market liquidity from APCA, we find a relatively small number of funds demonstrate statistically positive liquidity timing skills at a 5% significance level for the period of 2000–2021. After controlling for lagged market liquidity information, we still find a small number of mutual funds that have conditional liquidity timing ability using the nonparametric method.en
dc.description.statusPeer revieweden
dc.description.versionPublished Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid102201en
dc.identifier.citationYin, Z., O’Sullivan, N. and Sherman, M (2024) 'The liquidity timing ability of mutual funds', The North American Journal of Economics and Finance, 74, 102201 (22pp). https://doi.org/10.1016/j.najef.2024.102201en
dc.identifier.doihttps://doi.org/10.1016/j.najef.2024.102201en
dc.identifier.endpage22en
dc.identifier.issn1062-9408en
dc.identifier.journaltitleThe North American Journal of Economics and Financeen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/16683
dc.identifier.volume74en
dc.language.isoenen
dc.publisherElsevier Inc.en
dc.relation.ispartofThe North American Journal of Economics and Financeen
dc.rights© 2024, The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).en
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en
dc.subjectMutual fund performanceen
dc.subjectLiquidity timingen
dc.subjectLiquidityen
dc.subjectPrincipal component analysisen
dc.subjectNonparametric testen
dc.titleThe liquidity timing ability of mutual fundsen
dc.typeArticle (peer-reviewed)en
oaire.citation.volume74en
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