An Analysis of Market Volatility Timing Ability for Chinese Stock Funds

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

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Market volatility timing

Candlestick Forecasting for Investments ◽

10.4324/9781003145769-11 ◽

2021 ◽

pp. 47-61

Author(s):

Haibin Xie ◽

Kuikui Fan ◽

Shouyang Wang

Keyword(s):

Market Volatility ◽

Volatility Timing

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Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?

Risks ◽

10.3390/risks7040106 ◽

2019 ◽

Vol 7 (4) ◽

pp. 106 ◽

Cited By ~ 1

Author(s):

Shen ◽

Tsui ◽

Zhang

Keyword(s):

Group Performance ◽

Factor Models ◽

Garch Models ◽

Investment Funds ◽

Timing Ability ◽

Risk Effect ◽

Equity Funds ◽

Volatility Timing ◽

Managed Funds ◽

Country Specific

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically assess whether the funds under the CPF Investment Scheme outperform non-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML factors for non-US based funds are constructed from stock market data to exclude the contribution of the size effect and the BE/ME effect. The results show that volatility timing is one of the factors contributing to the excess return of funds. However, funds’ volatility-timing seems to be country-specific. Most of the Japanese equity funds and global equity funds under the CPF Investment Scheme are found to have the ability of volatility timing. This finding contrasts with the existing studies on Asian, ex-Japan funds and Greater China funds. Moreover, there is no evidence that funds under the CPF Investment Scheme show a better group performance of volatility timing.

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Do Mutual Fund Managers Time Market Sentiment?

International Journal of Financial Research ◽

10.5430/ijfr.v11n5p527 ◽

2020 ◽

Vol 11 (5) ◽

pp. 527

Author(s):

Jun-Hao Li ◽

Chun-Fan You ◽

Chin-Sheng Huang

Keyword(s):

Mutual Fund ◽

Market Timing ◽

Mutual Fund Managers ◽

Bear Market ◽

Market Sentiment ◽

Fund Managers ◽

Timing Ability ◽

Equity Funds ◽

Volatility Timing ◽

The Impact

This paper examines whether fund managers can adjust the exposure of portfolio to time market sentiment, thus expanding the new dimension of the study of mutual fund managers’ timing ability. Using the data of Chinese open-end equity funds from January 2010 to December 2019, based on the CICSI sentiment index developed by Yi and Mao (2009), we find strong evidence that Chinese mutual fund managers have sentiment ability during the sample period. In addition, the funds with positive sentiment timing ability outperforms those without such by 2.20% per year, and the longer the fund survives, the more likely for it to have sentiment timing ability. Our findings remain robust even after controlling the impact of bull and bear market on China’s A-share market in 2015, market timing, volatility timing and liquidity timing, and after using three new sentiment indicators to verify the finding, three indicators being the net buying amount of northward capital, the net buying amount of financing, and the net ratio of limit up.

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