Timing Ability in Fund of Mutual Funds Placements: Empirical Evidence from China

DOI

10.2991/978-94-6463-036-7_159How to use a DOI?

Keywords

Fund of mutual funds; Volatility; Timing

ABSTRACT

This paper examines Market timing ability in China's fund of mutual funds placements. We study the Treynor-Mauzy-Busse Model, which evaluate the market return timing and volatility timing at the same time. We use China's fund of funds data and compare empirical results of Treynor-Mauzy Model, Henriksson-Merton Model, Busse Model, and Treynor-Mauzy-Busse model. We find that most China's fund of funds have significant volatility timing ability, but there is not evidence to prove that they have the ability of market timing. The empirical results are consistent with those of previous models.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Cheng He
PY  - 2022
DA  - 2022/12/31
TI  - Timing Ability in Fund of Mutual Funds Placements: Empirical Evidence from China
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1080
EP  - 1084
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_159
DO  - 10.2991/978-94-6463-036-7_159
ID  - He2022
ER  -