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<p>Does China’s capital market respond significantly to the launch of ChatGPT, despite its unavailability to Chinese users? In this study, we empirically examine this question using a standard difference-in-differences (DID) regression model and data from China’s stock funds. Our findings reveal that after the release of ChatGPT, the Sharpe ratios and abnormal returns of funds related to ChatGPT exhibited significant improvements. Moreover, fund performance responses varied significantly by ownership structures, investment styles, and historical returns. Mechanism analysis reveals that capital inflows into ChatGPT-related concept stocks and the increase in abnormal returns are critical determinants of the improved fund performance after the launch of ChatGPT.</p>

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Fund Performance Driven by ChatGPT: Evidence from Chinese Fund Market

  • 期刊论文

  • 发表日期：

    2025年7月4日

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  • Lulu Wang,
  • Aifan Ling

摘要

Does China’s capital market respond significantly to the launch of ChatGPT, despite its unavailability to Chinese users? In this study, we empirically examine this question using a standard difference-in-differences (DID) regression model and data from China’s stock funds. Our findings reveal that after the release of ChatGPT, the Sharpe ratios and abnormal returns of funds related to ChatGPT exhibited significant improvements. Moreover, fund performance responses varied significantly by ownership structures, investment styles, and historical returns. Mechanism analysis reveals that capital inflows into ChatGPT-related concept stocks and the increase in abnormal returns are critical determinants of the improved fund performance after the launch of ChatGPT.