Empirical Analysis On Volatility Timing Ability Of Open-End Funds

With the rapid development of China's capital markets, securities investment funds in the financial markets become increasingly obvious influence. Science and rational evaluation of the Fund's performance and confirm what factors affect the Fund's ability to return to the fund management company. investors, the supervisory authority's decision provides a wealth of information memento. Investment funds and time capability is an important aspect of fund performance evaluation. Already on the optional ability to study when no securities investment funds with significant and time, but in reality the fund manager has some ability to choose when it is an indisputable fact, theory and practice makes the gap between scholars and time phenomenon more in-depth thinking, Busse to the volatility and time model, is typical. However, the model did not consider Busse income and time, the introduction of this model in earnings volatility and time and time factor, yield and time in order to separate the influence of factors, volatility and time to explore the fund manager's ability to affect the performance of the Fund. If the manager can grasp the combined market volatility, fund managers who can change the Fund's investment portfolio to avoid systemic risk thereby increasing the Fund's excessive compensation.In this paper, by the end of 2002 before the 15 stocks open-end securities investment funds, as a sample, January 4, 2003 to November 3, 2005 for the sample, by improving Busse optional fluctuations in the model, time-varying volatility from the perspective of our open investment funds when the optional ability to empirical study. Research shows that our open-end fund has a certain degree of volatility and time, but rather weak. In addition, through the introduction of traditional research in volatility and time and time factors, we found that the results were better than Busse optional fluctuations in the model. This paper discusses the different investment styles of fund volatility and time tests were conducted and found that fluctuations in the value of investment funds and time-best performance.