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A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

Author

Listed:
  • Patrick Kuok-kun Chu

    (Faculty of Business Administration, L216 Luso Chinese Building, University of Macau, Taipa, Macao SAR, China)

  • Michael McKenzie

    (Faculty of Economics and Business, H69 Economics and Business Building, The University of Sydney, New South Wales 2006, Australia)

Abstract

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.

Suggested Citation

  • Patrick Kuok-kun Chu & Michael McKenzie, 2008. "A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 617-649.
    • Handle: RePEc:wsi:rpbfmp:v:11:y:2008:i:04:n:s0219091508001507
    DOI: 10.1142/S0219091508001507
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    Citations

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    Cited by:

    1. Chu, Patrick Kuok Kun, 2010. "The price linkages between the equity fund price levels and the stock markets: Evidences from cointegration approach and causality analysis of Hong Kong Mandatory Provident Fund (MPF)," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 281-288, September.
    2. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.

    More about this item

    Keywords

    Pension funds; stock-selection performance evaluation; market-timing ability; conditional models; JEL Code: G20; JEL Code: G23;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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