| Since 1998, 22 security investment funds have been established hi China security market. This paper presents an empirical examination on the fund performance by taking a sample of 14 investment funds. We found that most Chinese security investment funds outperform market indices. Research result suggests that Chinese security investment funds' managers have access to private information. So the empirical evidence is not consistent with market efficiency hypothesis.This paper also examines another phenomenon in Chinese stockmarket------the effect of fund-holding-shares. We found that the largerthe percentage ownership of a stock held by investment fund, the higher the return of the stock.This paper includes five chapters as follows:Chapter 1: Introduction to development of Chinese investment fund. For the past ten years, Chinese investment fund industry has increased rapidly. This also brings some controversy issues. We discussed these issues in this chapter.Chapter 2: Literature review. This chapter reviews the development of performance evaluation methods for investment fund and describes the change of the market efficiency hypothesis. Fama (1991) had modified the traditional market efficiency hypothesis. Research of performance for fund is connected with the tests on private information of a new version of market efficiency hypothesis. Chapter 3: Models and methodology. In this chapter, we present themodels of performance evaluation used in this paper. I also describe the data and methodology for evaluating the performance of the funds.Chapter 4: Test for the effect of fund-holding-shares. In this chapter, I examine 174 stocks held by investment funds. I use three statistical methods to test this effect. Empirical evidence indicates that the effect exists in Chinese stock market.Chapter 5: Summary and suggestion. I interpret and discuss three empirical results. I also present some limits of this research paper and provide some suggestions. |
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