中国投资基金波动择时能力的实证研究

Abstract

Abstract: Timing ability is an important index to evaluate an investment fund’s performance.In this paper,we introduce the return timing factor into Busse’s volatility timing model,and employ the model to investigate China’s investment funds.Our empirical results shows that,not only China’s investment funds have significant volatility timing abilities,in particular for the open-end funds,but also the modified models are superior to classical models.

Key words: fund, conditional market volatility, volatility timing

CLC Number:

F830

MA Chao-qun, FU An-li, YANG Xiao-guang. Empirical Study on Volatility Timing Ability of China’s Investment Funds[J]. Chinese Journal of Management Science, 2005, (2): 22-28.

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Empirical Study on Volatility Timing Ability of China’s Investment Funds

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