A Test of Efficiency of the Closed-end Mutual Funds Market in China
The aim of this paper is to test the efficiency of the closed-end of mutual funds market in China. It presents the performance of the closed-end mutual funds during the period from 2nd, Jan. 2003 to 31st, Dec. 2005. The paper first introduces the theoretical basis for this study, such as Markowitz P...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20377/ |
| _version_ | 1848792066999451648 |
|---|---|
| author | Yang, Mingming |
| author_facet | Yang, Mingming |
| author_sort | Yang, Mingming |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The aim of this paper is to test the efficiency of the closed-end of mutual funds market in China. It presents the performance of the closed-end mutual funds during the period from 2nd, Jan. 2003 to 31st, Dec. 2005. The paper first introduces the theoretical basis for this study, such as Markowitz Portfolio Selection theory, CAPM theory, Random walk theory and EMH theory. And then conventional measures, Jensen�������¢��â����â�¬��â����â�¢s Alpha, Treynor Index and Sharpe Ratio, are chosen to evaluate the performance of sample data. The sample in this study is all of the 54 closed-end mutual funds set up in China.
The test result is: although, the test statistics based on the sample data employed in this study shows strong-form efficiency in China�������¢��â����â�¬��â����â�¢s closed-end mutual funds market, which obviously goes against the reality given the defections in China�������¢��â����â�¬��â����â�¢s emerging capital market. This study provides empirical evidence supporting the critiques on the CAPM. |
| first_indexed | 2025-11-14T18:38:30Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20377 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:38:30Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-203772018-01-31T19:25:46Z https://eprints.nottingham.ac.uk/20377/ A Test of Efficiency of the Closed-end Mutual Funds Market in China Yang, Mingming The aim of this paper is to test the efficiency of the closed-end of mutual funds market in China. It presents the performance of the closed-end mutual funds during the period from 2nd, Jan. 2003 to 31st, Dec. 2005. The paper first introduces the theoretical basis for this study, such as Markowitz Portfolio Selection theory, CAPM theory, Random walk theory and EMH theory. And then conventional measures, Jensen�������¢��â����â�¬��â����â�¢s Alpha, Treynor Index and Sharpe Ratio, are chosen to evaluate the performance of sample data. The sample in this study is all of the 54 closed-end mutual funds set up in China. The test result is: although, the test statistics based on the sample data employed in this study shows strong-form efficiency in China�������¢��â����â�¬��â����â�¢s closed-end mutual funds market, which obviously goes against the reality given the defections in China�������¢��â����â�¬��â����â�¢s emerging capital market. This study provides empirical evidence supporting the critiques on the CAPM. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20377/1/06MAlixmy3.pdf Yang, Mingming (2006) A Test of Efficiency of the Closed-end Mutual Funds Market in China. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Yang, Mingming A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title | A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title_full | A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title_fullStr | A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title_full_unstemmed | A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title_short | A Test of Efficiency of the Closed-end Mutual Funds Market in China |
| title_sort | test of efficiency of the closed-end mutual funds market in china |
| url | https://eprints.nottingham.ac.uk/20377/ |