Research On Market Timing Ability Of China Open-end Funds

With the development of fund market in China more and more mature, the research of domestic scholars on fund market is also more and more, such as fund style research, fund performance research, fund fees research, fund managers' behavior research and fund selection ability and timing ability research and so on. At present, quite some scholars mainly study the open-end fund market timing ability, namely the fund can approximately predict about the direction of the future market, and then according to the forecast of the future of asset allocation, when the future have a rising trend, reasonably allocating assets to improve the level of risk of the portfolio:on the contrary, when moving down, reducing the risk of the portfolio level.Using the improved T-M model and portfolio holdings data,102 open-end funds in January 2008-December 2013 were deal with, and using the bootstrap statistics, their timing ability factors were detected. The empirical results indicate that the samples have timing ability, but most of the funds display negative timing ability. Then 102 funds into bond funds, hybrid funds and, and timing measurement, the study found that the hybrid funds and equity funds have positive timing ability, and securities funds timing ability mostly negative; Followed by an extension of the timing ability research, we combine timing ability with fund investment style and risk size. With dispatch based on network data, the fund investment style into growth fund, balanced funds and value funds, study found that timing ability of growth fund is negative, balanced funds and value funds have positive timing ability; To the size of the standard deviation as a measure of risk indicators, study found that the greater the risk of funds, the better of timing ability. Based on the empirical conclusion, making a simple theory, and putting forward some helpful policy recommendations to improve the timing ability of open-end funds.