共同持股对我国基金家族收益和风险的影响研究

发布时间：2018-03-02 01:10

本文关键词： 基金家族共同持股条件在险值随机波动面板向量自回归　出处：《福州大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国基金业正处于快速成长的阶段,且已成为我国资本市场的重要组成部分。基金家族化是我国基金业发展的一个趋势,并且正影响着基金经理和投资者的投资行为。一方面,基金家族的目标是基金家族的利益最大化,这与基金家族旗下基金的利益最大化并不完全一致；基金家族与投资者没有直接的代理和被代理的关系却能够直接影响到投资者的资金投向。另一方面,投资者在同一基金家族内再投资可以享受到更低的交易成本和信息搜索成本。因此,关注基金家族整体的收益和风险对基金家族管理者、投资者和监管当局都十分必要。本文分析发现影响基金之间共同持股的众多原因中,基金家族化是其中一个重要原因。在计算各基金家族的内部共同持股比率和外部共同持股比率之后,检验证明了各基金家族的内部和外部共同持股比率之间都存在显著的差异。并从理论上证明了内部和外部共同持股比率对基金家族收益和风险有非线性的影响。最后,回顾和整理了收益和风险度量理论,确定实证模型。本文选取了2003年9月1日至2012年12月31日的二十个基金家族的各项数据进行实证检验。首先,采用相对收益率衡量基金的收益,把各基金家族的相对收益率的密度函数与正态分布和t分布比较,并进行JB检验,发现基金家族的相对收益率存在尖峰厚尾现象。其次,利用随机波动(SV)模型分别计算扰动项服从正态分布、t分布和GED分布时的波动率。并在计算和检验各不同分布下各基金家族的在险值(VaR)和条件在险值(CVaR)后,选择CVaR-SV-t模型来计算各基金家族的风险。再次,采用静态面板数据模型分析,得到单位风险收益与内部和外部共同持股比率的关系,并求出最优的内部和外部共同持股比率。最后,按照内部和外部共同持股比率的高中低选取三组样本,使用面板向量自回归(Panel VAR)模型分析收益对风险的脉冲响应,得到内部和外部共同持股比率适中时,增加单位风险能够带来较高的收益；内部和外部共同持股比率较低时,增加单位风险能够带来较低的收益；内部和外部共同持股比率较高时,增加单位风险反而会降低收益。
[Abstract]:The fund industry in China is growing rapidly and has become an important part of the capital market in our country. Fund family is a trend in the development of fund industry in China, and it is affecting the investment behavior of fund managers and investors. The goal of the fund family is to maximize the benefit of the fund family, which is not completely consistent with the benefit maximization of the fund family's fund. The relationship between the fund family and the investor has no direct agency or agency, but it can directly affect the investment of the investor. On the other hand, Investors who reinvest in the same fund family can enjoy lower transaction costs and information search costs. Investors and regulators are both necessary. This paper analyzes and finds out that there are many reasons that affect mutual shareholding among funds. One of the important reasons is the familization of funds. After calculating the internal co-ownership ratio and the external co-shareholding ratio of each fund family, The test proves that there are significant differences between the internal and external co-shareholding ratios of each fund family, and theoretically proves that the internal and external co-shareholding ratios have nonlinear effects on the income and risk of the fund family. This paper reviews and collates the theory of income and risk measurement, determines the empirical model. This paper selects the data of 20 fund families from September 1st 2003 to December 31st 2012 to carry on the empirical test. The relative rate of return is used to measure the return of the fund, the density function of the relative return of each fund family is compared with the normal distribution and t distribution, and the JB test is carried out, and it is found that the relative rate of return of the fund family has the phenomenon of peak and thick tail. Secondly, By using the stochastic volatility model, the volatility of the perturbed terms under normal distribution and GED distribution is calculated respectively. After calculating and testing the risk value of each fund family under different distributions, and the condition of the condition is the risk value of Cvar. The CVaR-SV-t model is chosen to calculate the risk of each fund family. Thirdly, the relationship between the unit risk return and the internal and external co-ownership ratio is obtained by using the static panel data model. Finally, three groups of samples are selected according to the internal and external co-shareholding ratio, and the panel vector autoregressive panel VAR-model is used to analyze the impulse response of income to risk. When the internal and external co-ownership ratio is moderate, the increase of unit risk can bring higher income, and when the internal and external co-ownership ratio is low, the increase of unit risk can bring lower income. When the internal and external co-ownership ratio is high, increasing the unit risk will reduce the income.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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