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Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds

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Listed:
  • Kedong YIN

    (School of Economics, Ocean University of China, Qingdao, China, 266100.)

  • Xuemei LI

    (School of Economics, Ocean University of China, Qingdao, China, 266100.)

  • Bohong LI
  • Fan ZHANG

Abstract

According to international capital market statistics, shock effects from stock price volatility are a principal determinant of investment style drift in open-end funds. Data for 266 open-end funds were selected from China’s capital market between 2008 and 2014. The R/S analysis method and the box fractal dimension were utilised to produce a drift index of investment style (DIIS). Based on the empirical results, three conclusions are noteworthy. First, the six types of pure style CITIC assets index return series have a long-term memory characteristic in the daily, weekly and monthly dimensions; the fractal characteristic of the pure value style of the asset is more significant than that of the pure growth style. Second, the 266 open-end funds are heterogeneous with respect to investment style drift; the serious investment style of the open-end fund was associated with about one third of these funds. Third, the foreign stock index lasted for a long time. HSI 000001, 399001 and 000300 contribute about half of all the variables to DIIS; they are the main factors in investment style shift. Further, the shock effect of international stock price volatility to DIIS exhibited a long-term time-lag effect; while, the domestic series has stronger shock effect on fluctuation range of DIIS.

Suggested Citation

  • Kedong YIN & Xuemei LI & Bohong LI & Fan ZHANG, 2017. "Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 62-78, June.
    • Handle: RePEc:rjr:romjef:v::y:2017:i:2:p:62-78
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    References listed on IDEAS

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    1. Pop Izabela Luiza & Hordău Anne Marie, 2017. "Financial Investments in Romania. A Comparative Analysis between Open-end Mutual Funds and Bank Deposits," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 620-626, December.

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    More about this item

    Keywords

    open-end fund; investment style property; investment style drift; international stock price；shock effect;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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