Research on Volatility of Open-Ended Funds in Chinese Financial Market

Abstract

In this paper, we construct an integrated index for open-ended funds to describe the total return of Chinese fund market. By using multivariate GARCH model, we study the volatility relationship between the stock open-ended fund and bond open-ended fund of China. The results show that there is the volatility persistence between the index of stock open-ended funds and the integrated stock index in Chinese stock market, but no persistence between the stock open-ended funds and bond open-ended funds. This truth also indicates that present stochastic shocks in stock market have a long range effect to the future volatilities in stock open-ended fund index, whereas the effect to volatilities between the stock open-ended funds and the bond open-ended funds will go out quickly. We also present that there is no co-persistence between the stock market and open-ended fund market in China.