China's Stock-based Open-end Fund Performance Persistence Empirical Research

With China's rapid development of the fund industry,fund performance continuing research into the substantive areas of the securities markets the focus of attention.For investors,fund research historical performance can be sustained for the future provide the basis for the investment-fund management companiescan take to strengthen management, improve their management level;as a regulator for the healthy decelopment of the fund industry formulate corresponding policies and measures:and the performance of the Fund continuing to test the effectiveness of the capital market one way.This paper mainly applies the non-perametric test parameters and test methods,for the 42 China's stack-based open-end funds in from 2005 to 2007,to make the empirical research of sustained performance.Selecting net income of the sample Funds' investment and risk-adjusted rate of return as the performance indicators,costructing the compesite index,from the Shanghai and Shenzhen A-share indexes and the CITIC A bond index,as a market benchmark,selecting the savings deposit rate as risk-free interest rate,the author firstly conduct the parametric and non-parametric test on the Fund performance during different intervals,and builds the sustained performance indexes of the single fund to evaluate its degree with the longitudinal regression method as a supplement to conduct the significant tests.On those bases,she tests and analyzes the economic value of existing sustained performance in different periods,and tries to seek out the influence of these systemic factors for sustained performance.Through the above empirical study,the author finds that China's stock-based open-end funds have a quarter-long sustained performance at present,a part of funds show the significant performance sustainability in the current market environment,fund Performance Persistence could create the 'hot hands strategy' for inwestors in the short term,and there is a significant positive correlation between the Fund Performance Persistence and its cost rate while a negative correlation with its turnover rate.Based on all those studies,the author provides the corresponding recommendations to the Government regulatory authorities,the fund management companies and the investers.In this paper,the main innovation is the integrated use of various methods to conduct the empirical analyais for the fund Performance Persistence of China's stock-based open-end funds.At the same time,the author's attempts to test the fund market Performance Persistence, evaluate the Persistence of single fund and analyze the influence of its factors,provide a new approach for the government to test the securities market as well as the fund companies' to evaluate its managers,and create a new strategy for the investors.