Empirical Analysis On The Market Timing Ability Of Chinese Stock Open-End Fund

With the rapid development of capital market in China, open-end fund is exerting an increasingly prominent effect in capital market. Therefore, scientific and reasonable assessments of fund performance as well as the examination of factors influencing it, which hence provide scientific information to funds companies, investors and relevant authorities of supervision, have become a hot point in question. The capability of properly market timing ability, being an important aspect of judging fund performance, is thus studied from a variety of perspectives in this thesis.The fund sector in China is developing rapidly and soundly. Nevertheless, the performances of various funds differ considerably. In view of the sources of funds performances, these differences, to a large extent, are caused by fund managers' different capacities in timing ability. Consequently, it turns out to be of great consequence to research on such capacity.This thesis consists of six chapters:Chapter 1 introduces the background and significance of the research, makes a survey of its development at home and abroad, and puts forward the foundation, methodology as well as framework of the current research.Chapter 2 briefly introduces the definition, characteristics and classifications of open-end fund. Based on the sources of fund performances, it also defines the capacity in selecting and operating funds as well as its relationship with evaluation of fund performances.Chapter 3 reviews the theoretical basis of the research on capacity of selecting funds, and introduces the major models of the research and select the proper models.Chapter 4 involves case study, including research design, as well as result analysis. Comprising three parts, it examines the capacity of selecting open-ended stock funds, and verifies the relativity between the result and the corresponding model. It indicates an obvious deficiency on the whole in the capacity of selecting stock funds properly in the applications of H-M Model and TM-FF3 Model, either examined from a general view or in specific phase of application. In the meantime, the result from monthly statistics indicates a practically total absence of this capacity. In addition, after studying the stages of remarkable changes in the market, it still proves an unnoticeable capacity in proper selection and operation of stock funds even during the phases of sustainable declining or mounting of market, however, this capacity seems mildly stronger in the latter phase than that in the former one.Chapter 5 summarizes and expounds on the findings the current research.Chapter 6 reviews and summarizes the whole thesis, coordinate conclusion and analyse the innovation and shortage.