Quarter-End Reversals in Chinese Funds’ Heavily Held Stocks
Summary
This study examines whether Chinese mutual funds’ heavily held A-share stocks rise near quarter-end and then reverse early in the next quarter. Instead of testing fund returns alone, it measures cumulative abnormal returns and excess trading volume for stocks around quarter-end, then relates the reversal to fund ownership and stock characteristics. The reported sample covers 2009 to early 2017, and the analysis uses regression models, market-period comparisons, and alternative event windows.
The recap reports stronger reversals among stocks with greater fund involvement, including higher portfolio weights and ownership by more funds within a fund family. It also describes differences around year-end and after the 2015 market crash, when tighter oversight coincided with weaker reversal patterns outside year-end. The evidence is historical and observational: the proposed window-dressing motive is an interpretation, and results vary across periods and specifications. The findings concern a past Chinese market sample and do not establish that the pattern persists or is directly tradable today.
Key ideas
- The analysis measures stock-level abnormal returns and trading volume around quarter-end rather than relying only on fund-level returns.
- Heavily fund-owned stocks showed larger reported price reversals around quarter-end.
- Higher portfolio weights and more fund-family ownership were associated with larger reversals.
- The pattern differed between year-end and other quarter-ends, and changed after the 2015 market crash.
- Results were tested across market conditions and alternative event-window lengths, but remain historical and observational.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.