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Int. J. Financial Stud. 2017, 5(4), 22; doi:10.3390/ijfs5040022

The Market-Timing Ability of Chinese Equity Securities Investment Funds

Department of Economics, University College Cork, Cork T12YN60, Ireland
Author to whom correspondence should be addressed.
Academic Editor: Nicholas Apergis
Received: 28 August 2017 / Revised: 22 September 2017 / Accepted: 27 September 2017 / Published: 17 October 2017
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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. View Full-Text
Keywords: Chinese securities; fund performance; market timing; non-parametric; conditional timing Chinese securities; fund performance; market timing; non-parametric; conditional timing

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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Sherman, M.; O’Sullivan, N.; Gao, J. The Market-Timing Ability of Chinese Equity Securities Investment Funds. Int. J. Financial Stud. 2017, 5, 22.

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