Market Timing And Style Conversion Ability Study Of Our Country's Security Investing Funds

Fund market timing ability,means that fund managers adjust their portfolios,according to different market conditions,and then they can decrease the cost and increase the revenue.This ability can be divided into two aspects,positive timing ability and negative timing ability.The former means that if fund managers have timing ability,they will increase the market positions,according to the market conditions.And the latter means that timing ability can decrease fund manager's market positions.In general case,positive timing ability can increase fund manager's excess revenue,while negative timing ability will decrease their revenue.According to different market conditions,fund market timing ability can be divided into market revenue timing,volatility timing and liquidity timing,etc.The theoretical study of market revenue timing and volatility timing has been almost completed.So the study of them has moved to empirical study of different countries in recent years.And domestic scholars have also made empirical researches of our country's fund market,based on the theory and experience of foreign scholars.However,the study of liquidity timing is less than that of market revenue timing and volatility timing.What's more,researchers made empirical study with data of days.And we have never seen related test with high frequency data so far.It is incomplete that combined liquidity selection ability and stock scales preference,value stock preference,growth stock preference to study.So we need to research more.It is significant meaningful for investigating fund performance to research fund market timing ability.And it's also the vital characteristic to analysis fund manager's behavior.In this paper,we use Fama-French three factors model as the basis,and added the interaction item of different market conditions and market revenue into this model,to study market revenue timing ability,volatility timing ability,liquidity timing ability and investing style conversion ability from overall level and portfolio level.Market factor and scale factor in Fama-French three factors can be good explanations to the revenue in our country's fund market.As a result,we found significantly positive market revenue timing ability and negative liquidity timing ability in overall level in our country's stock fund market.And the liquidity timing ability is significantly positive both when market buyers have more liquidity and market sellers have more liquidity.In addition,there is significantly negative liquidity style conversion in our country's stock fund market,which means fund manager prefers growth stock when market liquidity is good.And fund managers mainly choose the period when market buyers have more liquidity.However,we don't find significant timing ability in the aspects of volatility and stock scale style conversion.In portfolio level,there are significantly positive market revenue timing ability and negative liquidity timing ability as well in our country's stock fund market.But it is different from that of overall level that,the regression result of volatility timing ability is significantly positive,while negative liquidity timing ability is from the market situation of that market buyers have more liquidity.What's more,although we don't find significant investing style conversion in overall level,we find significantly negative stock value style conversion ability when more buyers initiated trades in stock market,and fund managers are more likely to buy growth stock.When more sellers initiated trades in stock market,there is significantly positive stock scale style conversion ability,and fund managers are more likely to buy small-cap stock.And market factor and scale factor in Fama-French three factors can be good explanations to the revenue in fund portfolio level.