An Empirical Study Of The Selectivity And Market Timing Of The Chinese Open-end Funds

Using the Treynor-Mazuy model and Henriksson-Merton model, this paper presents an empirical analysis of the selectivity and market timing performance of a sample of 16 Chinese open-end funds. The results show that overall the funds have some selectivity ability, but have negative market timing ability. According to the relativity analysis, we can find that the results are not sensitive to the models, and stock selection ability is markedly inversely related to market timing ability.