An Empirical Study On The Market-Timing And Selectivity Ability Of Open-end Funds In China Based On T-M Model

In2001, the first open-end fund——" HuaAn Innovation "was born, which markedChina’s fund industry had been realized a historic leap from closed-end funds to open-endfund, from then on, open-end fund gradually replaced closed-end fund and become thedevelopment direction of fund market in China. Then, fund company emerged in largenumbers and type of fund emerged in endlessly.So far, type of funds have achievedcomprehensive development which included stock fund, bond fund,mixed fund, therecent index fund and Listed open-end fund, qualified domestic institutional investors(QDII), qualified foreign institutional investor (QFII) etc. Securities investment fundshave become the most influential and indispensable institutional investors in the securitiesmarket of China, its investment philosophy, investment strategy, management standardsand investment performance play a very important role on the stability and development inChina’s securities market. Therefore, this article makes an empirical analysis andassessment to the performance of different categories of open–end fund, which has thequite important practical significance.This paper makes some empirical analysis and research on the selectivity and markettiming ability of different kinds of open-end funds—totally128funds which set up before2006, in three periods, as well as statistical description, primarily by learning from thetheoretical model and approach by which domestic and foreign scholars studied on, andbased on the theory of CAPM. We find that the selectivity and market timing ability ofmany fund managers is very low, especially on the aspect of market timing ability, only afew of the fund managers have low selectivity ability. Then, we analyze the reason for thelow ability of fund manager in China’s fund industry, and put forward some relevantsuggestions for improvement.