TY  - JOUR
AB  - Purpose The purpose of this paper is to empirically analyze the “market-neutral” characteristics of the market-neutral strategy hedge funds in Chinese A-share market.Design/methodology/approach The analyses in the paper are conducted to study the market-neutral characteristics by means of index analysis, correlation analysis, β-neutral analysis and the three-factor model analysis.Findings The results show that the performance advantage of the market-neutral strategy hedge funds is obvious. Most market-neutral strategy funds are exposed to market risks and the α strategy funds also have obvious style factor exposure; strictly speaking, all of the market-neutral strategies have not reached the “market-neutral” requirements. This paper also finds that Chinese trading restrictions on stock index futures in September 2015 have a significant impact on Chinese market-neutral strategy hedge funds.Originality/value The conclusion of this paper has a certain reference value for understanding the risk characteristics and possible problems of hedge funds in emerging markets, and also has important reference value for investors.
VL  - 8
IS  - 1
SN  - 2044-1398
DO  - 10.1108/CFRI-04-2017-0033
UR  - https://doi.org/10.1108/CFRI-04-2017-0033
AU  - Huang Xucheng
AU  - Sun Jie
PY  - 2017
Y1  - 2017/01/01
TI  - Are Chinese market-neutral strategy hedge funds really market neutral?
T2  - China Finance Review International
PB  - Emerald Publishing Limited
SP  - 21
EP  - 42
Y2  - 2024/05/06
ER  -