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Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund

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  • Li, Yong
  • Benson, Karen
  • Faff, Robert

Abstract

We analyze the trading behavior of the Chinese National Social Security Fund (CNSSF) – a fund that operates in a highly political environment. With a particular focus on the financial crisis [2007(Q3)-2009(Q1)], we show that the CNSSF adopts a rebalancing strategy that achieves a balance between portfolio liquidity and growth.

Suggested Citation

  • Li, Yong & Benson, Karen & Faff, Robert, 2016. "Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund," Finance Research Letters, Elsevier, vol. 19(C), pages 217-221.
    • Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:217-221
    DOI: 10.1016/j.frl.2016.08.002
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    References listed on IDEAS

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    4. William L. Megginson & Veljko Fotak, 2015. "Rise Of The Fiduciary State: A Survey Of Sovereign Wealth Fund Research," Journal of Economic Surveys, Wiley Blackwell, vol. 29(4), pages 733-778, September.
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    9. Sofia A Johan & April Knill & Nathan Mauck, 2013. "Determinants of sovereign wealth fund investment in private equity vs public equity," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 44(2), pages 155-172, February.
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    Cited by:

    1. Ping‐Wen Sun & Yifan Shen & Meifen Qian & Wu Yan, 2021. "Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1993-2029, April.

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    More about this item

    Keywords

    Social security fund; Trading strategy; State-sponsored investors; Investment constraints;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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