Research On China Stock Open-end Funds’ Behavior Of Painting The Tape At Quarter-end

Painting the tape refers to an irrational investment behavior that the security investment funds and other institutional investors take a series of methods to improve their investment performance for their own interests at the end of one period, so as to deceive investors, and gain more profits. Normally, the security investment funds have the function of stabilizing the security market, promoting security market resource allocation efficiency and operating efficiency. However,the security investment funds is a kind of delegated investment, which causes the fund manager and fund investors to present a Principal-agent relationship. This relationship will produce information asymmetry and moral hazard problems,and cause fund managers to maximize their own interests, rather than maximize fund investors value. The paper studies the irrational investment behavior(Painting the tape) of security investment funds under delegated investment mode, to reflect the problems that exist in the process of China security investment funds’ development, provide the reference for individual investors and regulators, and promote the healthy development of China’s fund industry.The paper uses a database of the stock open-end fund from 2006 to 2014, to study the behavior of painting the tape by China security investment funds.Analyzing as the following two aspects: First, regress the stock open-end fund daily abnormal return ratio with the method of Carhart et al. which is used to study "Painting-the-tape" of funds, then judge whether the fund exists "Painting-the-tape" behavior; Second, use the method of independent sample T-test to analyze Bulk-holding stocks Quarter-end daily abnormal return ratio of stock open-end fund, then test funds’ painting-the-tape behavior and judge the extent and tendency of funds boosting its Bulk-holding stocks’ price.After analyzing empirical results, the paper obtains following conclusions:the Strengthen ETF is widespread "Painting-the-tape" behavior at the last three days of Quarter-end, and this behavior doesn’t exist reversal effect at the beginning of next Quarter. The main reason of this behavior is“Benchmark-Beating”. Other types of stock open-end funds don’t exist this behavior; there is little difference limiting funds boosting stock prices through Closing Mechanism in Shenzhen stock exchange or Shanghai stock exchange; "Margin purchase and short sale"(MP&SS) curbs the Non-Quarter-end trading period stock price boosting, but it’s not obvious at Quarter-end trading period. In addition, stocks’ average abnormal return ratio which target "MP&SS" is higher than the Non-MP&SS stocks at Quarter-end, the price discovery function of "MP&SS" transaction needs to improve and enhance; the stock that targets "MP&SS", turnover ratio is higher than 3% and circulated stock value is less than 5 billion, their prices are boosted the most serious at Quarter-end.