A Study On Performance Persistence And Determinants Of Open-end Funds In China

Performance persistence of funds is defined that those which performed well in the past will keep their success in the future,whereas those which had poor performances in the past will keep going worse. On the basis of understanding the market structure of domestic open-end funds,we may found that whether investment earings expectations of open-end funds from past to the future will be existent through the analysis of its performance persistence,then it may provide reference for the investors'decision.Fuethermore,it can guide capital to flow to those which performed well and improve virtuous circle of open-end funds'industry. In addition, to a large extent we can bound and guide the fund management company's investment decision-making behavior,pay attention to the performance of sustainability of open-end funds and avoid its performance targets affected by short-term profit. At the same time it contributes to employ fund managers and performance evaluation in fund management companies. Further, with the development of the domestic fund industry we can select related factors of affecting performance persistence of open-end funds and determinants through stepwise regression analysis.That benefit open-end funds to solve the problems faced in development and maintain healthy, orderly, and rapid growth.By using parameter testing method and non-parameter testing method, the paper refers to the latest research results at home and abroad on the domestic open-end fund industry characteristics and selects 40 sample funds of earlist establishment,which make empirical test on the performance persistence of the open-end funds.Then,on the basis of the conclusions the paper applies stepwise regression analysis to determine the impact of open-end funds performance persistence's significant factors.The empirical result shows:Whether using CRn indicator or H index to act as criteria for judging,the open-end funds industry in our contry obviously transfers from the previous oligopoly market structure to the market structure of competitive factors that increase gradually,which results certainly frequent fluctuations of its performance. When we use non-parameter testing method, whether using risk-unadjusted yield indicator or risk-adjusted yield indicator to evaluate,though there exsist a small number of evaluation period of performance persistence, the domestic open-end funds'performance persistence overall is not strong. Meanwhile,there exhibit performance reverse phenomenon during evaluation period.On the relationship of performance persistence and stock index trend, the sample funds is obviously affected by stock index trend.In addition to,the open-end fund exhibit significant performance persistence in the late bull market, but the overall samples'performance persistence is not strong in most cases.Besides the impact of market factors the operation of the fund managers do exist certain differences on selecting time ability and optional coupons ability between fund managers which has an impact on performance persistence.However,these differences can not be long-term maintenance. By using parameter testing method,there exist performance persistence's evaluation period of sample funds that is not long in the late bull market,which shows performance that perform well is closely related to the period that stock index keep the strength.During the 21 performance persistence's period that determined by the parameter testing method,the paper with stepwise regression analysis founds growth investmentstyle of fund investment style classification and single fund's concentration of stock holdings during evaluation period are significant factors to performance persistence of domestic open-end funds.The paper is divided into six chapters.The first chapter introduces the structure,main content and research methods of this paper.It points out the innovation and realistic significanceof research.The second chapter is a review of recalling the representative results of research on performance persistence of academics at home and abroad.Meanwhile,it points the inadequacies to the domestic research in the area.The third chapter reviews domestic fund industry's development status and history and understands its market structure,which contributes to grasp the market environment factors on affecting its performance. The forth chapter that refers to previous research methods and results is empirical analysis of samplefunds,which determines performance persistence of domestic open-end funds. On the basis of combination of foreign and domestic research results of open-end funds, the fifth chapter which acts correlation coefficient between the adjacent performance persistence's period of sample funds as variable interpreted and act possible factors to be tested on performance persistence of sample funds as explain variable determines the significant factors that affact open-end funds by using stepwise regression analysis to make empirical test.Further,the paper analyst these factors in current operating environment of fund market in order to reveal deeply the reasons that affect domestic open-end funds.The sixth chapter is main conclusion,relevant policy recommendations and prospect of futher rearsch.