Open-ended Securities Investment Fund Volatility Timing Ability Empirical Research

Security funds gradually become one of important institution investors in Chinese securities business. At the end of year 2005 the investment of security funds amounts to over 20 percent of total current stock market value . As one of the types of security funds , open-ended security funds of which the volume and circulation respectively reach to 70% and 80% of security funds', now dominate the fund industry . How to evaluate the performance of security funds rationally has always been the focus of scholars. Although there are many models have been put forward , for investors fund manager's ability of selecting high income securities as well as adjusting portfolio according to the changes of security market is of the greatest importance . As a common part of security funds' performance evaluation , the analysis of volatility timing ability of open-ended funds is useful for the estimation of fund companies' management level as well as the appraisal of investment targets and to some extend makes sure that whether security funds really exert their advantages and become a tower of strength in the security market. As a particular part, the analysis of volatility timing ability of open-ended funds is good for investors to make clear the proportion of "selectivity "and "volatility timing"of the whole performance , so as to choose fund companies and fund managers .This paper widely uses empirical approach and comparative analytical method to analyze the volatility timing ability of stock and mixed open-ended funds with daily and monthly data. Firstly discuss whether the funds have volatility timing ability .It falls into six parts: single-factor model and multi-factor model regression,different types of funds,different ages of funds,different market circumstances,different types of data and even different funds. Secondly concentrate on the relation between the timing ability and the whole performance of open-ended funds . The results show that 72 open-ended funds have no ability of volatility timing entirely but the multi-factor model is more effective than the single one;With the division of types of funds and market circumstances we still cannot find the evidence of volatility;Only 35 funds with less than 2 years' operation shows volatility timing ability;daily data is more effective than monthly data on estimating the volatility timing ability of funds;volatility timing ability cannot improve current performance of the funds and cannot predict the performance of the next period neither .