Research on Market Timing Ability of Chinese Open-end Fund

Based on Fama-French three-factor model with ameliorated C-L method and considered market volatility, this paper examines the performance of 15 open-end funds on a weekly basis over the period Jan 1st, 2003 to June 30th, 2005. It employs condition 0 method to inspect the funds´ volatility timing ability and return timing ability. Analytical conclusions show that our balance type funds´ timing skill precedes the stock type. Funds´ scale does not matter much for performance, which illustrates that the fund management companies have not consciously transfer profits to those small funds. Nor does funds´ style matter much for performance, which demonstrates that Chinese funds don´t have obvious styles. The timing indexes are obviously negatively correlating with the stock selection indexes. Open-end mutual funds have volatility market timing ability while don´t have return market timing ability. Mutual funds allocate too many risky assets in short position market, which leads to the poor performance