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Actively Managed Stock Mutual Funds and Market Efficiency Evidence from China
- 1 Columbia University
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Abstract
I examine the ability of stock selection and time selection in the Chinese A-share Stock Market. I find that significant timing skill of the Chinese stock mutual funds on the HML factor, but not the SMB factor in the time period between 2003 and 2020. I construct the Fama-French model, 4-factor model, Treynor-Mazuy model, and Henricksson-Merton model in the whole sample period between 2003 and 2020, as well as three sub-sample periods to examine the significance of different factors and how they perform in each sub-sample period. I also generate the cumulative return and average of the MOM factor. I find that the MOM factor’s average returns are more positive in the latest sub-sample period, from 2017 to 2020.
Keywords
Chinese A-share stock market, Fama-French factors, momentum factor, Treynor-Mazuy model, Henricksson-Merton model, market timing, factor timing
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Cite this article
Li,Q. (2024). Actively Managed Stock Mutual Funds and Market Efficiency Evidence from China. Journal of Fintech and Business Analysis,1,56-63.
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Journal：Journal of Fintech and Business Analysis
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