Research On Stock Optional And Market Timing Abilities Of Social Insurance Funds In China

According to the annual report of the National Council for social security fund in 2016,since the national social security fund has access to domestic market access,more than 40% of the total investment income is derived from stock investment,and its annual yield is nearly 9%.Such a record can be second to none in the entire fund industry.Why is the social security fund so impressive? Is it because of the timing ability of its fund managers? Or is it the ability of fund managers to select stocks that are underestimated?In order to answer the above questions,this paper analyzes from two perspectives: on the one hand,this paper is based on the theory that the choice of stock income is greater than the timing income in the process of rising,and the timing of the decline process is greater than the stock selection income,and the stock selection ability and selection is demonstrated from the change trend between the market value of the social security fund and the Shanghai Composite Index.On the other hand,this paper selects the stock holding data of China's social security fund in 2008 Q1-2017 for the 40 quarter of Q4 as the main research object,and uses the H-M-FF3 model to make an empirical study on its stock selection ability and timing ability and related changes.By testing the change of the social security fund in different stock markets and the significant degree of the stock selection ability coefficient and the timing ability coefficient,this paper summarizes the changing situation of the stock selection ability and timing ability of the social security fund in China.Finally,in order to make the empirical conclusion more accurate,this paper uses the market capitalization factor and the book value ratio to replace the market value factor and the circulation book value ratio factor to carry on the robustness test.Finally,the test results are in high agreement with the empirical conclusions.The results of this paper from two perspectives show that the manager of social security fund in China has a good stock selection ability,but the ability of timing is not outstanding or even.In addition,in the stage of rising,the stock selection ability of the social security fund is obviously stronger than the timing ability,but in the process of falling,its timing ability is not prominent,that is,in the whole process,the stock selection ability of the social security fund is outstanding,but the timing ability is not obvious,and its stock selection benefit is far greater than the timing income.At the same time,the small and medium investors in our country can pay close attention to the related shares held by the social security fund in real time.Most of these stocks are undervalued by the market,and have strong robustness and good returns.But when they buy and sell,the social security fund does not have good timing and its operation is dynamic,so it is necessary.Small and medium investors should rely on their own experience and market environment to carefully consider and proceed with prudent operation.