An analysis of mutual fund managers' timing abilities-evidence from Chinese equity funds

Abstract

This paper examines Chinese mutual fluid managers' market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity fluids from 2015 to 2019. we find evidence that mutual fluid managers can time the market. Among the fluids with different investment styles, the active fluids have better market and liquidity timing ability, whereas the steady fluids have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M). volatility, and liquidity timing models. It is especially for the active fluids, nearly half of which have liquidity timing ability in the fall period. Among the fluids with stock selection ability, the fluids with market timing ability can outperform than the fluids with other timing ability.