The Empirical Research On Liquidity Timing Ability Of The Open-end Equity Fund In China

As a index to test the invest ability of the fund managers,timing ability is one of the most important aspect of the fund' performance evaluation,it is well known that mutual fund manager attempt to improve mutual fund performance through the timing changes in market conditions such as returns and volatilities.Fund managers could adjust their portfolio exposures by forecasting market liquidity correctly in order to obtain excess returns.This paper will explore the fund' timing ability from a novel perspective--market liquidity timing ability.In this paper,we choosing the open-ended funds' monthly data from January 2012 to November 2016,study the market liquidity timing ability of fund managers by constructing liquidity timing model based on Fama-French three factors model.We use both of Amihud illiquidity index and turnover ratio to mesaure the market liquidity.After controlling the factors such as return timing,volatility timing and passive liquidity timing,the author obtains the conclusion that Chinese securities investment fund has significant positive market liquidity timing ability.We further find that the market liquidity timing ability of growth fund is significantly better than the value funds while the hybrid fund's market liquidity timing ability is slightly better than the stock funds.At the same time,we also find that the market liquidity timing ability of sample funds have asymmetric characteristics--Funds often have more excellent market liquidity timing ability when the market liquidity get worse.