The Phenomenon of Abnormal Net Redemption in Chinese Fund Market

Abstract

Whether the phenomenon of abnormal net redemption exists in Chinese fund market has recently been a controversial issue. An empirical research, based on a multivariate mixed time series model, is conducted to find out the long-term and short-term effects of factors which influence net redemption rate. The empirical results indicate that the abnormal net redemption phenomenon in Chinese fund market does exist in both long term and short term. The influence in the short term (quarter) is significant, gradually fades with time, and eventually becomes relatively weak in the long term (annual). The research also analyses the relations between the net redemption rate and the factors of fund size, dividend, return rate of stock index and risk-free rate.