Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund

•We examine the state sponsored investors' trading strategies during the financial crisis.•CNSSF maintains portfolio liquidity for future social liquidity provision.•CNSSF sell their low risk stocks first, signaling an informed investor.

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.