The Research Of Calendar Effects Of Open-end Equity Funds In China

Financial awareness was strengthened with the improvement of the living standard. The fund as one of the most important financing products has attracted extensive attention worldwide and it has been highly developed in capital market.The thesis positively investigates issues of calendar effects of open-end equity funds connecting with the practice of China. Based on efficient markets hypothesis, abnormal phenomena in capital market is analyzed theoretically, revealing principal influencing factors from endogenous and exogenous aspects. The article emphasizes on the analysis of exogenous factors, from which calendar effects are drawn. The feature of agency problems especially in fund markets triggers abnormal rise and fall of fund prices as a result of different objects between fund managers and fund holders and information asymmetry. The excess earning rate of fund net values is significantly positive at the end of calendar and significantly negative on the next day. Theoretical analysis and the cause of attracting more purchase are evidenced with an empirical analysis for a sample of open-end equity funds from 2002 to 2010. Finally, conclusions are summarized and the paper gives suggestions to different participants in capital markets such as investors, fund managers, regulators and assessment agency.