Research On Market Timing Ability Of China Open-end Funds Based On H-M Model

At present,with the development of the fund market in the world.more and more domestic and overseas scholars have taken up large scale research on fund performance.Based on the fund achievement theory,the fund achievement is mainly affected by two factors,the ability of choosing stock and the ability of timing market.A large number of scholars study the open-end fund market timing ability.Many researches have studied the market timing ability of the open-end funds.Market timing ability means the fund can approximately predict about the direction of the future stock market,and then according to the result of the forecast to allocate the fund asset.when the future market have a rising trend,fund manager will reasonably allocating assets to improve the level of high-risk asset of the portfolio for higher profits.on the contrary,when the future market moving down,fund manager will improve the level of free-risk asset of the portfolio for reducing the risk of the portfolio level.This article researches the market timing ability of the open-end fund of our country,Firstly use the traditional H-M model to measure the timing ability of the open-end funds of our country.We deal with the relative date of 240 open-end funds between January 2008 and December 2013,and finally choose 170 open-end funds matching the research to conduct an empirical study.According to regress,we detect the timing ability value of sample funds.The empirical results indicate that most of the sample funds have negative timing ability,and only a small part sample funds have timing ability,but have a poor significance.Then further work be undertaken to detect the market timing ability based on the above data.We use the improved H-M model to construct the formula for calculating the timing ability.And in turn,we calculated the timing ability value of the sample funds that have positive timing ability.By the calculation we got the timing coefficient value ?.The size of ? means the relative strength of the timing ability.Based on the coefficient y,we observe the relationship between the timing ability and funds related attributes,such as funds return,and the funds size.The research shows there is positive relationship between timing ability and funds return,while a relative negative relationship can be seen for timing ability with the funds size.Finally based on the empirical conclusion,we make a theoretical explanation and put forward some related countermeasures and recommendations to improve the timing ability of open-end funds.