Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds

According to international capital market statistics, shock effects from stock price volatility are a principal determinant of investment style drift in open-end funds. Data for 266 open-end funds were selected from China's capital market between 2008 and 2014. The R/S analysis method and the box fractal dimension were utilised to produce a drift index of investment style (DIIS). Based on the empirical results, three conclusions are noteworthy. First, the six types of pure style CITIC assets index return series have a long-term memory characteristic in the daily, weekly and monthly dimensions; the fractal characteristic of the pure value style of the asset is more significant than that of the pure growth style. Second, the 266 open-end funds are heterogeneous with respect to investment style drift; the serious investment style of the open-end fund was associated with about one third of these funds. Third, the foreign stock index lasted for a long time. HSI 000001, 399001 and 000300 contribute about half of all the variables to DIIS; they are the main factors in investment style shift. Further, the shock effect of international stock price volatility to DIIS exhibited a long-term time-lag effect; while, the domestic series has stronger shock effect on fluctuation range of DIIS.