Abstract：Financial time series usually exhibit a characteristic known as volatility clustering. In this paper, we analyze open-end funds selectivity and market timing ability under volatility clustering , through adding GARCH(Generalized Auto-Regressive Conditional Heteroskedastic) model to T-M (Treynor and Mazuy) and H-M(Henriksson and Merton) models ,using the weekly returns of 15 open funds established before 2003. Conditioning on timing volatility, we find that traditional T-M and H-M models overestimate the fund managers' selectivity and the systemic risk of portfolio. Therefore, in order to measure more precisely funds performance or the selectivity and timing ability, GARCH effect should be considered.
收稿日期: 2007-02-25
引用本文:
刘建桥,陈方正,孙文全. 基于时变的我国开放式基金选股和择时能力定量分析[J]. , 2007, 46(2): 0-0.
刘建桥,陈方正,孙文全. Quantitative analysis on selectivity and timing abilities of China open-end mutual fund under volatility clustering. , 2007, 46(2): 0-0.
