Influencing Factors of Change Rate of Individually Held Fund Units in Equity Funds
-- A Panel Analysis of 120 Funds from 2017 to 2021
DOI:
https://doi.org/10.54691/bcpbm.v25i.1754Keywords:
Equity fund, Individually held fund units, Redemption anomaly, Panel modelAbstract
Funds are one of the most actively traded instruments in China’s security market, and individual investors are the main force in fund purchases. A study of the factors affecting the change rate of individually held fund units in equity funds is conducive to the healthy operation of funds. This article uses the panel model to study the annual data of 120 funds from 2017 to 2021 as a sample and finds that the change rate of individually held units in equity funds is negatively correlated with fund performance, fund investment concentration and establishment year. This article also uses quadratic and segmented regressions to study the quadratic and segmented relationships between fund performance and dependent variables and use them as a basis to analyze the causes of "redemption anomalies".
Downloads
References
Wang Huijian, Zhang Bing, Zhou Anning. An empirical study on the redemption phenomenon of China’s open-end funds. Southern Economics, 2007(8).
Lu Rong, Chen Baizhu, Xu Longbing, Xie Xinhou. Fund Performance and Investors’ Choice: A Study on the Redemption Abnormal Phenomenon of China’s Open-end Funds. Economic Research, 2007(6).
Zhao Xu, Wu Chongfeng. Empirical Analysis and Evaluation of Open-end Fund Liquidity Redemption Risk. Operations Research and Management, 2003(12).
Li Yao, Yu Jinjie. External Effects of Open-end Fund Redemption Mechanism. Financial Research, 2004(12).
Mo Taishan. Do China’s open-end funds really have a “redemption anomaly”? ——An empirical test of the relationship between open-end fund performance and capital inflow. Investment Research, 2013(09).
Xiao Jun, Shi Jin. Fund performance and capital flow: Is there a “redemption phenomenon” in China’s fund market? Economic Research, 2011(1).
Wang Tao. An Empirical Analysis of Redemption Behavior of Open-end Funds in China. Economic Theory and Economic Management, 2007(06).
Tian Sui. An Empirical Analysis of the Redemption Phenomenon of China’s Open-end Funds and Discussion on Its Causes. Finance and Economics, 2006(07) .
Santini, Donald L., and Jack W. Aber, 1998, “Determinants of Net New Money Flows to the Equity Mutual Fund Industry”, Journal of Economics and Business.
Sirri, Erik R., and Peter Tufano, 1998, “Costly Search and Mutual Fund Flows”, Journal of Finance.
Greene, Jason T., Charles W. Hodges, and David Rakowski, 2001, “Redemption Policies and Daily Mutual Fund Flows”, Working Paper.
Chakarabarti, A. and H. Rungta, 2000, “Mutual Funds Industry in India: An In-depth Look into the Problems of Credibility, Risk and Brand”, Journal of Applied Finance.
Jensen M.C, 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance.
Hu, P., Jayant R. Kale and Ajay Subramanian, 2002, “Relative Risk Choices by Mutual Fund Managers”, Working Paper.
Chakarabarti, A. and H. Rungta, 2000, “Mutual Funds Industry in India: An In-depth Look into the Problems of Credibility, Risk and Brand”, Journal of Applied Finance.
Gruber, MartinJ., 1996, “Another Puzzle: The Growth in Actively Managed Mutual Funds”, Journal of Finance.
Barber brad, Odean Terrance and Zhen Lu, 2000, The behavior of mutual fund investors, working paper, university of Michigan.
Downloads
Published
Issue
Section
How to Cite
