An Empirical Analysis Of The Performance Evaluation Of China 's Open - Ended Equity Funds

Open-ended equity funds are the main target in China’s fund industry, therefore, empirical analysis results can describe the current mainly situation of China’s fund industry, on the other hand can roughly predict the industry trend, which can provide quantitative basis for decision-making for investors, service personnel or regulators.Firstly this paper analysis the rate of return, volatility, autocorrelation, symmetry of China’s open-end fund index, draw the conclusion that ARMA(1,1)- GARCH(1,1) model can be used to describe its characteristics. In the empirical analysis process, this paper testing of China’s fund index data based on the theory of foreign EACF model for empirical, proves that the theory can also be applied in Chinese fund industry.Secondly, The existing literatures mainly focus on incomplete samples or one-sided indexes.This paper analysis 125 open-end equity fund performance based on the traditional CAPM. In the analysis of performance persistence, non-parametric methods : performance dichotomy is chosen to meet the actual situation of China’s fund industry.Lastly, this paper summary and analysis the open-end fund market on the basis of the analytical results, aiming at the existing problems of the fund industry in our country and put forward related opinions and suggestions.This paper uses R as modeling analysis software, the programming statements are listed in the appendix of this paper, which describes the problems in detail which the author encountered in the empirical process, and solutions to the corresponding statement, hoping the future scholars can use the course of the study as reference in order to avoid similar problems.