Abstract
This study investigates how mutual funds impact the stock market by analyzing the relationship between mutual fund investment behaviours (holding and trading) and stock returns and realized volatility in the Chinese market. It is found that stocks widely held or bought by mutual funds can earn higher excess return, and more important, the trading measures outperform the holding measures, which is evident by portfolio analysis and Fama-MacBeth regressions. Moreover, the proportional holding measure and trade measures positively and significant predict the future realized volatility. Meanwhile, a weak asymmetric effect in the share-trade measure is found.
| Original language | English |
|---|---|
| Title of host publication | 2025 First Conference on Contemporary Financial Development Trends and Transformations (CFDTT) |
| Publication status | Submitted - May 2025 |