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Panel Data Analysis of Performance of QDII Equity Funds in China

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Listed:
  • Jin, Hui
  • Cao, Yanka

Abstract

Based on a sample of 16 QDII Equity Funds in China established before 2010, this paper evaluates the performance of these funds during 2009 to 2013 by risk-adjusted measures of return and analyzes the influencing factors of performance using panel data models. Empirical study shows that most Chinese QDII funds almost get no excess return compared to risk-free rate, and exchange rate is the main factor affecting the fund performance. Industrial and regional concentration on asset allocation have positive effects to fund performance, which indicates that QDII funds’ activities do not meet the principle of risk diversification and may increase the risk in long term investment. Although the size of fund is limited by the approved QDII quota, there is only low correlation between size and performance，which implies that the current quota policy is suitable for fund companies.

Suggested Citation

  • Jin, Hui & Cao, Yanka, 2014. "Panel Data Analysis of Performance of QDII Equity Funds in China," MPRA Paper 55855, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:55855
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    References listed on IDEAS

    as
    1. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
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    3. Driessen, Joost & Laeven, Luc, 2007. "International portfolio diversification benefits: Cross-country evidence from a local perspective," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1693-1712, June.
    4. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    5. Fletcher, Jonathan & Marshall, Andrew, 2005. "An empirical examination of the benefits of international diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 455-468, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    QDII Equity Funds; Risk-adjusted Performance Measures; Influencing Factors; Panel Data Analysis;
    All these keywords.

    JEL classification:

    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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