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Empirical study on volatility timing skills in Chinese mutual fund market
Zhao, Yang
Date: 2012
Type: Text
Abstract:
The purpose of this study is to investigate the volatility timing skill in Chinese mutual fund industry. Mutual fund is the most prevalent investment over the past 20 years and has evolved rapidly with booming economy. Volatility timing skill is the fund managers' ability to capture abnormal returns by predicting the market volatility and correspondingly adjusting the fund's risk exposure. The present study used Busse's single-factor and multi-factor models to test the existence of volatility timing skill. Among Chinese mutual fund managers, according to the results, only two funds confirm the existence of volatility timing skill. Finally the research concludes that Chinese mutual fund market is not mature and has its own particularity so as to limit the application of volatility timing skill in Chinese mutual fund market.
Description:
1 online resource (123 leaves) : ill.
Includes abstract and appendix.
Includes bibliographical references (leaves 31-33).