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Empirical Analysis on the Impact of Informed Trading on Chinese Open Fund Performance

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Lei Xia

    (Jiangxi Science and Technology Normal University)

  • Cui-cui Liu

    (Huazhong University of Science and Technology)

  • Li-li Qing

    (Jiangxi Science and Technology Normal University)

Abstract

Informed trading is that insiders use their own proprietary information (private information) to trade stocks based on asymmetric information in the market and use the price difference to profit. This paper studies the relationship between investment behavior of open funds and the performance of funds in China market. Using the measurement of the probability of informed trading in Easley et al. (1996). The empirical test shows that there is a significant negative relation between the open funds’ PIN and the performance. This result means that the participation in informed trading of open funds can’t increase their performance.

Suggested Citation

  • Lei Xia & Cui-cui Liu & Li-li Qing, 2013. "Empirical Analysis on the Impact of Informed Trading on Chinese Open Fund Performance," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 87-93, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-38442-4_9
    DOI: 10.1007/978-3-642-38442-4_9
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