Examination of volatility timing ability on Chinese open-end equity mutual funds

Show simple item record

dc.contributor.advisor Boabang, Francis
dc.coverage.spatial China
dc.creator Zhao, Yuliang
dc.date.accessioned 2012-09-29T17:52:01Z
dc.date.available 2012-09-29T17:52:01Z
dc.date.issued 2012
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24697
dc.description 1 online resource (v, 47 leaves) : ill.
dc.description Includes abstract and appendix.
dc.description Includes bibliographical references (leaves 33-35).
dc.description.abstract The purpose of this study is to examine whether there is a significant empirical evidence to confirm the existence of the volatility timing ability on Chinese open-end equity mutual fund managers. Daily data are collected through the Bloomberg terminals and the website of Hexun over the period June 1, 2006 to June 1, 2012. The final sample includes 62 open-end equity mutual funds, Shanghai-Shenzhen CSI 300 Index, and the interest rate of one-year government bond. We applied TM and HM model by adding one volatility timing variable to examine the volatility timing ability of Chinese mutual fund managers. The results of this study confirm there is significant evidence to support the Chinese open-end equity mutual funds have the volatility timing ability. This implies that fund managers can reduce the market exposure of the fund assets allocation when the market volatility is increasing. We found that excess fund return and the market volatility are negatively correlated; second, there is evidence of market timing ability of Chinese open-end equity mutual funds managers, but their market timing ability is poor; third, the Chinese open-end equity funds outperform the market but only with very small extent. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Examination of volatility timing ability on Chinese open-end equity mutual funds en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


Files in this item

 
 

This item appears in the following Collection(s)

Show simple item record