@article{1e38d3d5302249c8914301670dba344f,
title = "Political constraints and trading strategy in times of market stress: Evidence from the Chinese national social security fund",
abstract = "We analyze the trading behavior of the Chinese National Social Security Fund (CNSSF) – a fund that operates in a highly political environment. With a particular focus on the financial crisis [2007(Q3)-2009(Q1)], we show that the CNSSF adopts a rebalancing strategy that achieves a balance between portfolio liquidity and growth.",
author = "Yong Li and Karen Benson and Robert Faff",
note = "Funding Information: We thank Professor Tom Smith (UQ), Professor Murillo Campello (Connell) and Professor Alexander Ljungqvist (NYU) for their insightful comments. We also appreciate the feedback from participants at the 5th Financial Markets and Corporate Governance Conference 2014 and the Asian Financial Association Annual Conference 2014. We also appreciate the research support provided by Security Times, China and Australian Research Council DP 150102339 , Accounting and Finance Association of Australia and New Zealand Research Grant, 2016–2017, “A new non-parametric model for measuring portfolio downside risk”. Publisher Copyright: {\textcopyright} 2016 Copyright: Copyright 2016 Elsevier B.V., All rights reserved.",
year = "2016",
month = nov,
day = "1",
doi = "10.1016/j.frl.2016.08.002",
language = "English",
volume = "19",
pages = "217--221",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",
}