我国开放式股票型基金流动性择时能力实证研究

发布时间：2018-03-06 18:42

  本文选题：开放式证券投资基金　切入点：流动性择时　出处：《南京大学》2017年硕士论文　论文类型：学位论文

【摘要】：择时能力作为衡量基金经理投资能力的指标之一,是基金业绩评价的重要指标,基金经理通过市场收益和波动择时来提高基金投资绩效已经广为人知,通过预测市场未来市场变化,基金经理可以通过调整其投资组合市场风险敞口从而达到获取超额收益的目的。本文将从一个新颖的视角来探讨基金的择时能力——基金流动性择时能力,即在预期未来市场流动性好转时适时增加投资组合市场风险敞口,在预期未来市场流动性恶化时减少市场风险敞口的行为。市场流动性对于证券收益的影响显而易见,2008年全球金融危机、2015年国内股票市场"股灾",这些例证告诉我们市场流动性的重要性。本文选取2012年至2016年我国股票市场的月度数据,通过构建基于Fama-French三因子模型的基金流动性择时模型,检验了我国开放式证券投资基金的流动性择时能力,我们同时选取了 Amihud非流动性指标和换手率指标度量市场流动性水平,在控制了收益择时、波动择时以及被动流动性择时的影响因素后,笔者得到了我国证券投资基金整体上具备显著正向流动性择时能力的结论,成长型基金的择时能力显著优于价值型基金,而混合型基金的流动性择时能力则小幅优于股票型基金;同时我们还发现基金的流动性择时能力具有非对称的特征——基金通常在市场流动性变差时拥有更为优异的流动性择时能力。
[Abstract]:Timing ability as one of the indicators to measure the investment ability of fund managers, is an important index for the evaluation of fund performance, fund managers through market returns and volatility timing to improve the performance of investment fund has been well known, predict future market changes through the market, fund managers can adjust its portfolio market risk exposures to obtain excess returns to. In this paper, from a new perspective to explore the fund timing ability of fund liquidity timing ability, the flow is expected in the future market and increase investment portfolio market risk exposure of better, reduce market risk exposure is expected in the future market liquidity behavior deterioration. Market liquidity impact the stock returns obviously, the global financial crisis in 2008 2015, the domestic stock market "crash", these examples tell our market's liquidity Of the monthly data from 2012 to 2016, the stock market in our country, through the construction of fund liquidity selection Fama-French three factor model based on the model test, the liquidity choice of open-end funds in our country's ability, we also selected the Amihud non liquidity index and exchange rate index to measure the level of liquidity. In the control of the market return timing, factors affecting the volatility timing and passive liquidity timing, the author obtained the securities investment fund in China on the whole have significantly positive liquidity timing ability conclusion, growth Xing Ji gold timing ability was significantly better than the value of the fund, while liquidity alternative hybrid funds when the capacity is slightly better than equity fund; we also found that the liquidity fund selection ability has the characteristics of non symmetrical -- usually fund liquidity in the market have more variation Excellent fluidity timing ability.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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本文编号：1576029