Research on Performance Appraisal Comparison Between ETFs and Other Open-Ended Funds in China Based on DEA Model

doi:10.3969/j.issn.1005-6378.2019.03.009

JOURNAL OF HEBEI UNIVERSITY (Philosophy and Social Science) ›› 2019, Vol. 44 ›› Issue (3): 51-60.DOI: 10.3969/j.issn.1005-6378.2019.03.009

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Research on Performance Appraisal Comparison Between ETFs and Other Open-Ended Funds in China Based on DEA Model

YAN Yi¹, FENG Xin-hai², TANG Zhen-zhen²

1.College of Graduate, Hebei University, Baoding, Hebei 071002; 2.College of Economics, Hebei University, Baoding, Hebei 071002, China

Received:2019-02-25 Online:2019-05-25 Published:2019-05-25

Abstract

Abstract: The ETFs market of China is immature compared with that of developed market, and thus it has still not been widely accepted and recognized by investors. This paper designs a performance evaluation system for stock open-ended funds based on the previous researches of fund performance appraisal. To create the performance system,three research methods are combined in this paper: traditional fund performance appraisal method, principal component analysis(PCA), and data envelopment analysis(DEA). The sample intervals in this paper cover three different market scenarios(bull market, bear market and oscillating market). It has enriched the fund performance evaluation theory and provided advice to investors, fund managers and regulators. In order to promote and develop Chinas ETF market.

Key words: ETF, open-end funds, performance appraisal, DEA model

CLC Number:

F830.91

YAN Yi, FENG Xin-hai, TANG Zhen-zhen. Research on Performance Appraisal Comparison Between ETFs and Other Open-Ended Funds in China Based on DEA Model[J]. JOURNAL OF HEBEI UNIVERSITY (Philosophy and Social Science), 2019, 44(3): 51-60.

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Research on Performance Appraisal Comparison Between ETFs and Other Open-Ended Funds in China Based on DEA Model

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