中国开放式基金交易策略研究

发布时间：2018-01-06 10:28

本文关键词：中国开放式基金交易策略研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：证券投资基金业在我国近年来取得了非常快速的发展,截止2012年12月,我国资本市场中共有各类基金管理公司70家,管理各类投资基金1208支,管理各类基金资产净值近3万亿元,持有股票市值超过1.4万亿元,是中国内地股票市场的第一大机构投资者,在中国股票市场具有举足轻重的作用,因此对我国开放式基金的交易策略进行研究具有重大的理论与现实意义。本文以开放式基金为例,对我国开放式基金的交易策略、开放式基金交易策略强度与指数收益的关系、开放式基金与QFII的交易策略比较分析等几个方面进行了系统的研究,得到了以下主要结论： 1、我国普通股票型、偏股型、平衡与偏债型及指数型四类开放式基金普遍采取了显著的惯性交易策略,前三类基金的交易策略基本趋同,就基金的交易策略而言这几类基金并不具备十分显著的差异性。 2、指数上涨阶段大量新基金的建仓行为并不是导致我国不同类型开放式基金的惯性交易策略的主要原因,我国基金管理人自身的交易行为才是导致不同类型开放式基金采取惯性交易策略的主要原因。 3、在指数上涨阶段,开放式基金的交易策略指标明显增强,“追涨”的惯性交易策略显著；在指数下跌阶段,开放式基金的交易策略指标明显减弱,有时甚至采取“抄底”的反转交易策略。 4、通过对开放式基金与QFII在我国证券市场交易策略的对比研究,本文发现,QFII和开放式基金在我国证券市场均采取了显著的惯性交易策略,而这种“追涨杀跌”的行为也在一定程度上加剧了我国证券市场的波动水平。两类机构的交易策略指标的强弱在不同季度具有较大的波动,早期普通股票型开放式基金的交易策略指标波动幅度明显大于QFII,后期普通股票型开放式基金与QFII的交易策略指标波动幅度基本趋同。
[Abstract]:In recent years, the securities investment fund industry has made a very rapid development in our country. As of December 2012, there are 70 fund management companies and 1208 investment funds in the capital market of our country. With a net asset value of nearly 3 tillion yuan and holding more than 1.4 tillion yuan worth of shares, market value is the largest institutional investor in the mainland stock market and plays an important role in the Chinese stock market. Therefore, it is of great theoretical and practical significance to study the trading strategy of open-end funds in China. This article takes the open-end fund as an example, to our country open-end fund trading strategy, the open-end fund trading strategy intensity and the index income relations. This paper makes a systematic study on the trading strategies of open-end funds and QFII, and obtains the following main conclusions: 1. Four types of open-end funds in China, such as ordinary stock type, partial stock type, balance and debt type and index type, generally adopt the inertial trading strategy, and the first three kinds of funds' trading strategies basically converge. In terms of fund trading strategies, these funds do not have very significant differences. 2. The large number of new fund positions in the rising stage of the index is not the main reason for the inertial trading strategy of different types of open-end funds in China. The exchange behavior of fund managers in China is the main reason for different types of open-end funds to adopt inertia trading strategy. 3, in the stage of index rising, the trading strategy index of open-end fund is obviously strengthened, and the inertial trading strategy of "chasing up" is obvious; In the stage of index decline, the index of trading strategy of open-end fund is obviously weakened, and sometimes it even adopts "bottom-cutting" reverse trading strategy. 4. Through the comparative study of the trading strategies of open-end funds and QFII in China's securities market, this paper finds that both QFII and open-end funds have adopted significant inertial trading strategies in China's securities market. But this kind of behavior of "chasing after rising and killing down" also intensifies the fluctuation level of China's securities market to a certain extent. The strength and weakness of the trading strategy index of two kinds of institutions have great fluctuation in different quarters. The volatility of the trading strategy index of the early ordinary open-end stock fund is obviously larger than that of the QFII.The fluctuation range of the trading strategy index of the general open equity fund and the QFII is similar in the later stage.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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