Research On China 's Open - End Funds Trading Strategy

Investment fund industry has achieved rapid development in our country. By the end of2012, China has70fund management companies, managing1208different types of funds. The net value of the fund assets is nearly3trillion Yuan. Stocks which are held by Fund are more than1.4trillion Yuan, and fund is the largest institutional investors in the mainland, so the research of China’s open-end fund trading strategies has important theoretical and realistic significance.The main purpose of this paper is open-end fund’s trading strategies, open-end fund’s trading strategies intensity and index returns, open-end fund and QFII’s trading strategies comparison. This paper has the following main conclusions:Firstly, Common stock fund, partial-stock fund, balance&partial-bond fund and index fund generally adopt momentum trading strategy significantly. The forward three kinds of funds’ trading strategies convergence, and fund’s trading strategies in China do not have remarkable difference.Secondly, Momentum trading strategies for different types of open-end funds in China do not cause by new funds’buying behavior, it mainly causes by fund managers’ behavior.Thirdly, in the rising index phase funds’ momentum trading enhance, while in the declining index phase funds’ momentum trading weaken.Finally, in open-end fund and QFII’s trading strategies comparison, we found QFII and open-end fund have taken the momentum trading strategies in our country’s stock market significantly, and this behavior extent the level of volatility in Chinese stock market. The trading strategy Index of two institutional investors has large fluctuation in different quarters. In the early period, the fluctuation of open-end fund’s trading strategy Index is greater than QFII’s. In the later period, the fluctuation of open-end fund and QFII’s trading strategy Index convergence.