Research On Securities Selection And Market Timing Ability Of Chinese Open-end Fund

At present, the open-end fund is popular with the individual investor and the organization investor, whose scale and quantity has gone far beyond the close-ended fund. It becomes mainstream variety which the fund market is worthy of the name, simultaneously also day by day becomes the organization investor which is most important and most has the development potential in Chinese stock market. It also plays an important role in improving investor structure of the stock market. Then, without doubt, it has very strong practical significance to performance analysis of open-end fund in China.Therefore, this paper's research significance lies in: discussing securities selection and market timing ability of Chinese open-end fund theoretically; attempting to evaluate securities selection and market timing ability of open-end fund in China from January 1, 2003 to December 31, 2006 through the international mature T-M model and the H-M model and extensive model; summarizing the rule and the characteristic of the Chinese open-end fund's investment management; discussing research technique and the model compatibility; and providing the gradual conclusion and the suggestion for the further research.The paper first reviews and summarizes theories and methods in evaluating securities selection and market timing ability systematically. Based on this, by evaluating the securities selection and market timing ability of 15 Chinese open-end fund open-end funds which are established earlier in China through the T-M model and the H-M single factor model, TM-FF3 and the HM-FF3 three factors models, and the TM-FF4 and the HM-FF4 four factors models which are created by the paper, it draws the following conclusion:In securities selection, sample open-end fund managers although have certain securities selection ability, but are not remarkable. In market timing ability, sample open-end fund managers only have quite weak ability.When, both securities selection ability and market timing ability of open-end fund managers have a higher relevance. It indicates that the conclusion models obtain is consistent basically. In other words, regression analysis result is insensitive to the model. Relevance analysis shows the intense negative nature between securities selection ability and market timing ability of open-end fund.