Pacific-Basin Finance Journal ? February 2018 ? Volume 47

中国的共同基金是否有市场择时能力？

作者：Li Yi(Business School, Hunan Normal University, Changsha, China),

Zilan Liu(Business School, Hunan Normal University, Changsha, China),

Lei He(Business School, Hunan Normal University, Changsha, China),

Zilong Qin(Guosen Securities Co. Ltd Postdoctoral Programme, Shenzhen, Guangdong, China),

Shunli Gan(Business School, Hunan Normal University, Changsha, China)

摘要：本文从市场收益率、波动性和流动性三个维度对中国共同基金经理人的市场择时能力进行了研究。使用2005年7月到2016年6月的股票基金样本，我们发现了共同基金能够在市场波动性和流动性维度择时的有力证据。我们的研究结果表明，只有成长型基金才有市场收益的择时能力。我们还发现，在不同投资目标的基金中，平衡基金具有最显著的波动性择时能力，而成长基金具有最显著的流动性择时能力。我们的研究结果对其他解释变量也是稳健的，包括风格择时、非流动性持股和市场反应。Bootstrap分析表明我们的研究证据不能归因于运气。对于所有三种形式的市场择时，成功的择时往往具有更高的换手率。最后，通过样本外检验，我们发现中国股票型共同基金能够表现出样本外市场波动性和流动性择时能力的持续性。没有证据表明存在市场回报择时能力的持久性。

关键词：共同基金，市场择时，市场收益，波动性，流动性

Do Chinese mutual funds time the market?

Li Yi(Business School, Hunan Normal University, Changsha, China), Zilan Liu(Business School, Hunan Normal University, Changsha, China), Lei He(Business School, Hunan Normal University, Changsha, China), Zilong Qin(Guosen Securities Co. Ltd Postdoctoral Programme, Shenzhen, Guangdong, China), Shunli Gan(Business School, Hunan Normal University, Changsha, China)

ABSTRACT

This paper explores market timing abilities of Chinese mutual fund managers from the three dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July 2005 to June 2016, we find strong evidence that mutual funds can time the market volatility and liquidity. Our results show that only growth-oriental funds have the ability to time the market returns. We also find that among funds with different investment objectives, balance funds have the most significant volatility timing while growth funds have the most significant liquidity timing ability. Our findings are robust to alternative explanations, including style timing, illiquid holdings, and market reaction. Bootstrap analysis indicates that the evidence cannot be attributable to luck. For all three forms of market timing, a successful timer tends to have higher turnover rate. Finally, we find that Chinese equity mutual funds are able to demonstrate market volatility and liquidity timing persistence in the out-of-sample test. No evidence is found for the presence of return timing persistence.

Keywords: Mutual funds; Market timing; Market return; Volatility; Liquidity

原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X16302748#!

翻译：施懿