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Open Stock Investment Funds In China An Empirical Study On The Performance Persistence

Posted on:2009-06-21Degree:MasterType:Thesis
Country:ChinaCandidate:X B TangFull Text:PDF
GTID:2199360278468940Subject:Finance
Abstract/Summary:PDF Full Text Request
Persistence of mutual fund performance is the phenomenon that the fund had good performance early will have relatively good performance in the next period of time, and the fund had poor performance early will have relatively poor performance in the next period of time. Which are people often said that the stronger is still strong, and the weaker is still weak. Study of the persistence of mutual fund performance has very important significance in the theoretical and practical area. The effectiveness and predictability of mutual fund rating system can be tested by the empirical research for the persistence of fund performance.Based on the research of other scholars, and according to the development status of fund market of China, this paper chooses 39 open-end funds investing in stocks as samples and the period from June 2004 to June 2008 as study interval. First, this paper uses the two-way table analysis method and the regression coefficient method to study the overall persistence of the sample funds; second, It introduces a relatively new research method - scan statistic method, and uses this method for 39 sample funds to separately carry out individual persistence study and quantify the strength of persistence; Finally, it analyzes likely impact factors on fund performance persistence, and get the impact factors.Test results show that fund performance is obvious persistence during 6 months, but it is not obvious more than 12 months, even some of the funds have significant reversal phenomenon. Despite the persistence of the open-ended equity funds performance is not strong on the whole, still a small portion of the funds exist a degree of persistence, because they are significantly better than randomly throwing coins to get losing or winning sequence. This paper also analyzes the impact factors of open-end stock fund performance persistence. Value investment style in the fund investment style and the operation duration of fund are the two most significant factors on kinds of factors for affecting our national fund performance persistence, but other factors don't have significant effect on the fund performance persistence.
Keywords/Search Tags:mutual fund performance, persistence, determinants
PDF Full Text Request
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