基金存在流动性择时能力吗?——基于中国主动管理开放式股票型基金的实证研究

Do Funds Have Liquidity Timing Ability?——Evidence from Chinese Actively Managed Open- ended Equity Funds

利用2001年10月至2014年2月中国主动管理开放式股票型基金的月度数据,对中国基金市场宏观层面的流动性择时能力进行实证研究。结果表明,中国基金存在显著为正的流动性择时能力;成长型基金和平衡型基金具有显著为正的流动性择时能力,而价值型基金则不存在;大盘基金与中小盘基金都具有显著为正的流动性择时能力。进一步研究发现,基金具有非对称性的流动性择时能力,即在市场流动性变好时,存在流动性择时能力;反之,则不存在。另外,中国基金市场不存在"被动流动性择时效应",说明流动性择时能力主要归因于基金的投资能力。

In this paper we study liquidity timing ability of Chinese actively managed open- ended equity funds based on the monthly data from October 2001 to February 2014.The overall sample of equity funds shows that liquidity timing ability is significantly positive. In detail,we find that both big and medium- small funds display significantly positive liquidity timing ability; both growth and balance funds perform significantly positive liquidity timing ability,but value funds do not. Our further findings indicate that the liquidity timing ability is asymmetric,that is,the funds display timing ability when the market liquidity turns better; whereas they do not when the market liquidity turns worse. Additionally,the funds do not have'passive liquidity timing effect',which means that the liquidity timing ability mainly ascribes to the investment ability of funds.