The market-timing ability of Chinese equity securities investment funds
| 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.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.description.status | Peer reviewed | en |
| dc.description.version | Published Version | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.articleid | 22 | |
| 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.doi | 10.3390/ijfs5040022 | |
| dc.identifier.endpage | 18 | |
| dc.identifier.issn | 2227-7072 | |
| dc.identifier.issued | 4 | |
| dc.identifier.journaltitle | International Journal of Financial Studies | en |
| dc.identifier.startpage | 1 | |
| dc.identifier.uri | https://hdl.handle.net/10468/5155 | |
| dc.identifier.volume | 5 | |
| 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 |
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