The Timing Of China's Securities Investment Fund Stock Picking Ability Of The Theoretical Discussion And Empirical Research

Ⅰ.The background and significanceActing as the institutional investors, the investment funds are gettingmore and more important with the development of the security market ofChina. It is not only a theoretical problem but also a practical concern. Inorder to help the investors to clarify whether the fund have the ability towin over the market and help the fund corporations to adjust theinvestment strategies, we need to evaluate the market timing ability andsecurity selection ability of the funds.Ⅱ.Content and structureThis research is carried out on the basis of previous researches abroad andthe institutional environment in China; it also applies the western welldeveloped portfolio theory, Capital Asset Pricing Model (CAPM) andArbitrage Pricing Theory (APT) to study the market timing ability andsecurity selection ability theoretically. According to the research purpose,52 closed-end funds and 8 open-end funds are picked out, and relevantdata are applied in the well developed Treynor-Mazuy model(T-M),Henriksson-Merton model(H-M) under single factor and three factorsrespectively to carry out regression analysis during a period from 30thAug. 2002 to 3 rd Sep. 2004. Based on the result of empirical analysis, theclosed-end funds of our country do not have security selection ability andmarket timing ability as a whole; for the 8 open-end funds, they are betterthan the closed-end funds in the security selection ability and markettiming ability, but as a whole, they do not have security selection abilityand market timing ability either. According to the result of empiricalanalysis, the thesis analyzes the reasons that the funds have no securityselection ability and market timing ability and puts forward some relatedsuggestions. The thesis is organized into four chapters.The first chapter briefly introduces general situation of the investmentfund and the security selection ability and market timing ability of funds.The second chapter introduces the theories of the security selection abilityand market timing ability of the funds and the domestic and internationalliteratures.The third chapter mainly does the empirical analysis to the securityselection ability and market timing ability of the funds. The chapterexplains the selection of model, source of data, selection of zone, the fundnet worth etc. In the empirical analysis, the thesis compares the differentresult between one-factor T-M model, H-M model and three-factor T-Mmodel, H-M model.According to the result of empirical analysis, the chapter 4 draws theconclusion and puts forward the related suggestions. This thesis considersthat the funds of our country do not have the security selection ability andmarket timing ability as a whole, but parts of them do have the ability.According to this, this thesis analyzes the main reasons that make thefunds do not have the security selection ability and market timing ability.At the same time, this thesis puts forward the related suggestions on howto improve it.Ⅲ.Methodology and innovationsThis thesis incorporates the theory research with the empirical analysis,qualitative analysis with quantitative analysis. The innovations in thisthesis are: (1)incorporating the theory study with the empirical analysis,and systematically explains the relationship between the securityselection ability and market timing ability of the funds and modernfinancial theories; (2)researching the security selection ability and markettiming ability of the funds in a big sample and a long time segment;(3)comparing the security selection ability and market timing ability ofopen-end funds and the closed-end funds; (4) researching respectivelyabout the security selection ability and market timing ability of the fundswith one-factor model and three-factor model, which make the conclusionhave stronger persuasion.Ⅳ.Limitation and future research directionSince the limits of the author's academic level, data and length,no-benchmark method and the characteristic index method, which are thelatest abroad research methods of evaluating the securit...