Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds

被引：7

作者：

Wang, Hu ^{[1
]}

Li, Shouwei ^{[1
]}

Ma, Yuyin ^{[1
]}

Jiang, Shuyang ^{[2
]}

机构：

[1] Southeast Univ, Sch Econ & Management, Nanjing 211189, Jiangsu, Peoples R China

[2] Nanjing Univ Posts & Telecommun, Sch Management, Nanjing 210003, Jiangsu, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2022年 / 60卷

关键词：

Investor sentiment; Fund crashes; Market timing and stock selection abilities; Market illiquidity; ASSET FIRE SALES; TIMING ABILITY; CROSS-SECTION; MUTUAL FUNDS; PERFORMANCE; RETURNS; RISK; LIQUIDITY; VOLATILITY; PURCHASES;

D O I：

10.1016/j.najef.2022.101662

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper aims to detect the impact of investor sentiment on the open-end fund crashes, drawing on the open-end stock funds and partial stock funds of China for the 2009-2019 period. The results show that the rise of investor sentiment will significantly increase the risk of the open-end fund crashes, which remains valid after robustness tests. Further researches indicate that the market timing and stock selection abilities of fund managers weaken the positive impact of investor sentiment on the open-end fund crashes, and the market illiquidity promotes the positive impact of investor sentiment on the open-end fund crashes.

引用

页数：10

共 50 条

[31] Empirical Research on Transfer Behavior of Benefits from Closed-end Funds to Open-end Funds
He Yiqing
Liu Hongliang
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2, 2008, : 1124 - 1129
[32] Does investor sentiment affect stock pricing? Evidence from seasoned equity offerings in China
Luo, Changqing
Li, Zijing
Liu, Lan
NATIONAL ACCOUNTING REVIEW, 2021, 3 (01): : 115 - 136
[33] Performance changes following top management turnover: Evidence from open-end mutual funds
Khorana, A
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2001, 36 (03) : 371 - 393
[34] Does ownership structure affect performance? Evidence from Chinese mutual funds
Mamatzakis, Emmanuel
Xu, Bingrun
REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2021, 56 (04) : 1399 - 1435
[35] Does ownership structure affect performance? Evidence from Chinese mutual funds
Emmanuel Mamatzakis
Bingrun Xu
Review of Quantitative Finance and Accounting, 2021, 56 : 1399 - 1435
[36] Investor sentiment and volatility of exchange-traded funds: Evidence from China
Yang, Chunpeng
Chi, Jun
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (01) : 668 - 680
[37] Does online investor sentiment impact stock returns? Evidence from the Chinese stock market
Lv, Yanzhao
Piao, Jingzhe
Li, Boning
Yang, Meijuan
APPLIED ECONOMICS LETTERS, 2022, 29 (15) : 1434 - 1438
[38] Study of Chinese open-end funds performance evaluation on the conditional asymmetric response model
Yu Xiangqian
PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A AND B: BUILDING CORE COMPETENCIES THROUGH IE&EM, 2007, : 943 - 945
[39] Empirical Research on Securities Selection and Market Timing Ability of Chinese Open-end Funds
Zhang, Xiaofeng
Lv, Ling
Liu, Tian
Zhang, Rui
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 714 - 720
[40] How does regret affect investor behaviour? Evidence from Chinese stock markets
Deuskar, Prachi
Pan, Deng
Wu, Fei
Zhou, Hongfeng
ACCOUNTING AND FINANCE, 2021, 61 : 1851 - 1896

← 1 2 3 4 5 →