Fund Turnover Rate And Yield Related?

In recent years,China’s public fund market is booming,and public fund has become an important institutional investor in China’s securities market.As an indicator to measure the holding stock average time and trading frequency,turnover rate began to come into people’s attention.Looking at the global stock market,there are significant differences in the turnover rate of stock transactions among different countries.,and the turnover rate of China is much higher than the global average level.Under the background of high turnover rate of stock trading in China,there are very few researches on turnover rate of public funds in China.Most of the existing literatures take the turnover rate of funds as a control variable to study,and there are few researches on the direct relationship between turnover rate of funds and return rate.This paper studies the relationship between turnover rate and return rate of public funds,and the research object is the open-ended common equity fund with a stock position of more than 80%.In this paper,the lagged turnover rate of the fund is taken as the explanatory variable,and the net growth rate of the fund in the current period is taken as the explained variable.With reference to the research conclusions of domestic and foreign scholars,relevant control variables are selected.Finally,a linear regression model is built based on Pastor’s model.The samples were selected from the plainvanilla equity funds under the open fund classification of Wind database,and the time span is from the first half of 2016 to the first half of 2021.The semi-annual data of 11 reporting periods of 200 funds were obtained.The sample data were tested by unit root test,cointegration test,heteroscedasticity test and multicollinearity test,and the twoway fixed effects model was used for regression.The empirical results show that the turnover rate of the fund lagging one period is positively correlated with the current rate of return at the significance level of 1%.Every 1 unit increase in the lagged turnover rate of the fund will cause the current rate of return to increase by 0.74%.The model fits well and passes the robustness test.In order to further study the relationship between turnover rate and return rate of different types of public funds,this paper classifies the samples according to time peiod,fund market value attribute and style attribute to study the heterogeneity of fund turnover rate.The results show that the positive correlation between turnover rate and return rate is stronger in bear market than in bull market and volatile market,and the turnover rate coefficient of large-cap and growth funds is larger.To sum up,by studying the relationship between the lagged turnover rate of common equity fund and the current rate of return,this paper finds that there is a significant positive correlation between them,that is,the fund can improve its performance through active position adjustment,and this positive correlation still stands in the heterogeneity test.In the bear market,the turnover coefficient of large cap and growth funds is greater.Although public funds are expected to stabilize the market through long-term investment,market characteristics such as high volatility of China’s stock market may lead to better performance of public funds with high turnover rates,which means that we need a more prudent assessment of the market role of public funds.