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

In: Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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  • Cheng He

    (Tianjin University Of Technology)

Abstract

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.

Suggested Citation

  • Cheng He, 2022. "Timing Ability in Fund of Mutual Funds Placements: Empirical Evidence from China," Advances in Economics, Business and Management Research, in: Yushi Jiang & Yuriy Shvets & Hrushikesh Mallick (ed.), Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), pages 1080-1084, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-036-7_159
    DOI: 10.2991/978-94-6463-036-7_159
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