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An Empirical Study on the Informed Trading and the Performance of Mutual Fund

Author: PengQing
Tutor: KongDongMin
School: Huazhong University of Science and Technology
Course: Finance
Keywords: Probability of Informed Trading (PIN) Mutual Fund Performance
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 42
Quote: 0
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Abstract


Securities investment fund refers to funds through the issuance of shares in the form of pooled funds, which is managed by the fund trustees and the fund managers, with a portfolio approach to professional financial management, benefit sharing and risk-sharing. Informed trading means the market has the characteristics of asymmetric information. Insiders use their private information that they owned to trade stock and the difference of price to profit. The scope of private information can include fundamental information of listed companies, stock holders of distributed information, emergency information and analytical information obtained by the change of securities price.From the angle of informed trading, this paper studies the relationship between investment behavior of funds and the performance of funds in the Chinese market. Using the measure of the probability of informed trading in Easley et al. (1996), I study the relationship between the probability of informed trading and the performance of mutual fund in Chinese stock markets. I use the mean of PIN of the individual stocks of mutual fund portfolios as the PIN of the mutual fund. The empirical test shows that there is a significant negative relation between the mutual funds’PIN and the performance. This result means that the participation in informed trading of mutual funds (or as the informed traders themselves) can’t increase their performance.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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