Abstract
This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.
Highlights
There has been an endless debate on whether mutual fund managers have timing skills
This paper focuses on the timing ability of Chinese mutual funds, including market timing, volatility timing, and liquidity timing, and discusses the timing ability of funds with different investment styles and different periods
This paper uses the daily data of 324 open-end stock funds from January 1,2015 to December 31,2019 to test the market timing, volatility timing and liquidity timing, to test the timing ability of Chinese mutual fund managers, we used Active and Steady funds to test the timing ability of different types of funds, based on the Fabozzi and Francis (1979) and Pagan and Sossounov (2003) criteria for market rise and fall, the market is divided into different stages to study the timing ability of the funds in different periods, so as to make up for the lack of current research
Summary
There has been an endless debate on whether mutual fund managers have timing skills. Since the seminal paper of Treynor and Mazuy (1966), many scholars have conducted extensive research on the timing ability of funds. This paper uses the daily data of 324 open-end stock funds from January 1,2015 to December 31,2019 to test the market timing, volatility timing and liquidity timing, to test the timing ability of Chinese mutual fund managers, we used Active and Steady funds to test the timing ability of different types of funds, based on the Fabozzi and Francis (1979) and Pagan and Sossounov (2003) criteria for market rise and fall, the market is divided into different stages to study the timing ability of the funds in different periods, so as to make up for the lack of current research.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
