TY - JOUR
T1 - Political constraints and trading strategy in times of market stress: Evidence from the Chinese national social security fund
AU - Li, Yong
AU - Benson, Karen
AU - Faff, Robert
N1 - 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:
© 2016
Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 2016/11/1
Y1 - 2016/11/1
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/84994158200
U2 - 10.1016/j.frl.2016.08.002
DO - 10.1016/j.frl.2016.08.002
M3 - Article
AN - SCOPUS:84994158200
SN - 1544-6123
VL - 19
SP - 217
EP - 221
JO - Finance Research Letters
JF - Finance Research Letters
ER -