我国明星基金的溢出效应研究

发布时间：2017-12-31 00:12

本文关键词：我国明星基金的溢出效应研究　出处：《西南财经大学》2013年博士论文　论文类型：学位论文

【摘要】：目前国内的基金业发展,整体来说比较不规范,为了竞争市场当中的基金投资者,各大基金公司经常采用积极的广告媒体等方式进行宣传,拿出业绩表现较好的基金作为招牌对外展示,在众多的基金公司宣传中,基金投资者很难有效的去选择真正的好的基金。本文正是基于这样一个现实,研究当前市场当中存在的所谓明星基金是否真的存在正向溢出效应,即对自身和整个家族带来显著的资金净流入,这种效应是否会影响到其他本来不存在明星基金的基金公司,他们是否会对这一现象做出反应,并采取造星的策略进行模仿。另一方面,研究明星基金季报公布的十大重仓股是否对二级市场投资者产生一定的影响,如果存在积极的影响,投资者可以据此参与投资进行获利,同时也说明基金对股票市场的影响比较大。总体而言,研究这一题目具有积极的意义,无论是对基金投资者、股票二级市场投资者还是对基金监管层,都是有积极意义的。本文研究的问题主要分为三个方面,都可以归纳为明星基金的溢出效应,在界定了溢出效应等相关概念,介绍了相关理论之后,研究的第一个主要问题就是明星基金对家族当中其他基金的影响,以及从整个家族的角度来看,影响程度如何。第二个问题研究了明星基金每个季度公布的十大重仓股这一信息是否对股票二级市场投资者产生了影响。本文研究的第三个问题是分析明星基金对其他基金家族的影响。归纳起来,都是研究明星基金对有关各方的影响大小。根据上述研究的主要问题,除了第一章的导论部分,本文接下来的结构安排如下：第二章是相关的研究文献回顾,主要回顾了关于明星基金溢出效应分析的相关国内外文献。并进行了对比,分析了一定的不足之处。第三章是本文的理论部分,首先解释了开放式基金、基金家族、溢出效应等相关概念内容,接着简单介绍了基金管理公司的收入来源。本章的重点是阐述明星基金的溢出效应概念、溢出效应存在的原因以及利用这种溢出效应的途径和方式等,这些是后文进行实证研究的理论基础。第四章是实证分析的第一部分,使用了长达21个季度的面板数据来研究明星基金对其所在家族当中的非明星基金的溢出效应大小,以及从整个基金家族的角度看,整体的溢出效应大小。第五章是实证研究的第二部分,主要研究明星基金每个季度的季报公布的十大重仓股这一信息对股票市场的影响大小,使用事件研究的方法分别从股票收益率波动和换手率波动两个角度来研究明星基金溢出效应的大小。第六章是实证的最后一部分,主要研究明星基金对其他基金家族的溢出效应。第七章是本文的最后一章,主要对前面的研究进行总结和归纳,得出相应的研究结论,并针对文章当中的研究不足之处提出今后进一步研究的方向。根据上述提出的研究问题,以及文章的结构安排,经过相应的实证研究,文章最后得出的研究结论如下： (一)文章首先就明星基金是否存在这样的溢出效应进行检验。首先从单个基金的角度,分析了明星基金是否会给自身带来资金净流入以及对家族中其他的非明星基金又会产生怎样的影响。模型一的检验结果表明,前期的明星基金并没有在本期为自己带来更多的资金净流入,而给家族中的其他非明星基金带来了显著的资金流入,说明明星基金对其他基金产生了正的溢出效应。模型二是从基金家族的角度来进行分析,得出的结论是明星基金对整个家族的影响是显著为正的,即资金是净流入的状态。另一方面,垃圾基金却并没有造成自身以及家族中其他非垃圾基金的资金显著流出,与明星基金对比,产生了一种非对称现象。 (二)接着采用了已经发展相对比较成熟的事件研究法对明星基金每个季度季报公布的十大重仓股是否对股票二级市场的投资者产生影响进行分析。分别从异常收益率和异常换手率两个角度进行研究处理。在没有具体区分基金购买股票的权重的情况下进行研究发现,无论是对于明星基金还是对于用作对比的垃圾基金来说,其异常收益率和异常换手率在统计上都不够显著,与文章的假设不相一致,为此,对模型进行了改进处理。处理后模型回归的结果显示,明星基金以及明星基金和垃圾基金共同购买的第一权重股和权重股组合在异常收益率和异常换手率上都表现很显著,而权重排名第十的股票和次权重股组合在两方面表现都不够显著。而垃圾基金购买的权重股,在异常收益率上也表现出了同明星基金类似的情形,只是影响的方向是相反的,但是,在异常换手率这一指标上并没有表现出统计上的显著性。 (三)文章接着检验了明星基金对其他基金家族的影响。文章使用面板Logit模型来检验基金家族的一些特征变量与基金家族中是否出现明星基金之间的关系。检验的结果显示,从基金家族过去的业绩很难直接判断出产生明星基金的概率高低。而家族旗下基金之间业绩波动较大的公司更有可能产生明星基金。从规模的角度看,规模越大的基金家族出现明星基金的概率相对较高。最后,从基金家族在前一期是否为明星家族还是垃圾家族来看,当基金公司在前一期是明星家族时,下一期产生明星基金的概率较犬。在Logit模型回归结果的基础上,我们根据其中显著的三个特征变量即基金家族旗下基金之间业绩的标准差、基金家族的规模大小、前期是否是明星家族来构造组合,进一步分析不同家族的投资能力大小并研究其投资策略,研究结果发现,明星家族并没有显著表现出较高的收益率水平,单纯根据是否存在明星基金来投资明星家族的策略是不成功的,无法获得较好的收益率。进一步细分可以看出,低离差的明星家族业绩稳定,且收益水平较高,他们属于真正的明星家族,整体的投资能力较强,可以使得家族大部分基金的业绩保持在较高的水平。相反,高离差的明星家族事前打造明星基金动机较大,家族业绩表现很不稳定,他们不属于真正的明星家族,无法为投资者带来较好的回报率。本文主要的创新点有,其一,对明星基金的溢出效应进行了比较全面、系统的研究,涉及面比较宽广。其二,对明星基金的溢出效应进行了更加广义的拓展,并没有局限在某一个方面,尤其是详细的研究了明星基金对股票二级市场投资者的影响,而类似的文献几乎没有。其三,在研究明星基金季报公布的十大重仓股对股票二级市场投资者影响的时候,遵循的是通用的事件研究法,但是在具体运用时,将季报的内容进行拆分细化来分析,比较精确的研究不同信息对投资者的影响程度大小。最后,对全文进行总结,提出了本文研究的不足之处,并指出了今后进一步研究的方向。
[Abstract]:At present, the development of the fund industry, the whole is not standardized, in order to market competition among fund investors, the major fund companies often adopt aggressive advertising media for propaganda, with better performance of the fund as a sign of external display, many fund companies in the propaganda, it is difficult for the investors to choose the real good fund. This article is based on such a reality, there is the study on the current market the so-called star fund really has a positive spillover effect, namely to itself and the whole family have significant net inflow of funds, whether this effect will affect the others don't exist star fund fund companies, whether they will make in response to this phenomenon, and take the star strategy to imitate. On the other hand, the research of star fund quarterly published ten awkwardness on two level city Have a certain impact field investors, if positive effects exist, investors can then participate in investment profit, but also shows the influence of the fund on the stock market is relatively large. Generally speaking, the research on the subject is of positive significance, both for the fund investors, the stock market two of fund investors or regulators, are have a positive meaning.
This paper is mainly divided into three aspects, can be summarized as the star fund spillover effects, spillover effects on the definition of related concepts, then introduces the related theory, the first major problem is the study of the influence of other star fund fund family, and from the family point of view, how is the influence degree second. Study the problem of star fund each quarter released ten awkwardness this information on whether the stock market two investors affected. The third problem of this study is to analyze the impact of other star fund fund family. To sum up, all is the study of star fund impact on the size of the relevant parties.
In addition to the introduction of the first chapter, the following structure is arranged as follows:
The second chapter is related research literature review, mainly reviews related domestic and foreign literature on the spillover effect analysis of star funds, and compares and analyzes some shortcomings.
The third chapter is the theoretical part of this paper, firstly explains the open-end fund, fund family, spillover effects and other related concepts, then introduces the fund management company's source of income. The focus of this chapter is the concept of this star fund spillover effect, reason of spillover effect exists and ways and means of the spillover effect of the these, is the theoretical basis of the empirical research.
The fourth chapter is the first part of the empirical analysis. We use the panel data of 21 quarters to study the spillover effect of Star Funds on non Star Funds in their families, and the overall spillover effect from the perspective of the whole family of funds.
The fifth chapter is the second part of the empirical research, mainly studies the Star Fund Quarterly quarterly published by the ten awkwardness effect of this information on the stock market size, using the event study method respectively from the volatility of stock returns and exchange rate fluctuations in the two point of view to study the star fund spillover effect size.
The sixth chapter is the last part of the empirical study. It mainly studies the spillover effect of star fund on other fund families.
The seventh chapter is the last chapter of this paper, mainly summarizing and summarizing the previous research, and obtaining the corresponding research conclusions, and aiming at the shortcomings of the research, put forward the direction for further research.
According to the research problems mentioned above, and the structure of the article, after the corresponding empirical research, the conclusion of the article is as follows:
(a) the first star fund spillover effect whether there is such a test. The first single from the perspective of the fund of the star fund will bring its impact on the net inflow of funds and other non star fund family and a model. The test results show that the star fund and nothing in this period adds to the net inflow of funds, and to other non star fund family has brought significant capital inflows, that star fund has positive spillover effects on other funds. The two model is analyzed from the perspective of the fund family, it was concluded that the effect of star fund of the whole family is positive, which is a net inflow of state funds. On the other hand, the fund did not cause their garbage and other waste of funds in the fund family was out and out The contrast of the star fund produces an asymmetrical phenomenon.
(two) then the development has been relatively mature method of event study Star Fund Quarterly quarterly published by the ten awkwardness on whether the stock market two investors were analyzed. From the abnormal return and abnormal turnover of two angles of study treatment. Study found that in the absence of specific weights to distinguish the fund to buy shares of the case, whether it is for the star fund or for comparison of garbage funds, the abnormal returns and abnormal turnover rate in statistics are not significant, and the hypothesis is not consistent, therefore, the model is improved. Regression model after the results show that star fund and the star fund and fund waste together to buy the first heavyweight and heavyweight combination in abnormal returns and abnormal turnover rate are very significant, and the right of rearrangement Tenth of the shares and the weight stock portfolio performance in two aspects are not significant. The weight stock funds to buy junk, the abnormal return also showed a similar situation with the star fund, but the effect is opposite to the direction of the exchange rate, but in abnormal this index did not show significant in statistics.
(three) the paper then tests the impact of other star fund fund family. The paper use the panel Logit model to test the fund family some characteristic variables and the fund family whether there is relationship between the star fund. The test results show that, from the fund family's past performance is difficult to directly determine the probability level of the star fund and between the family's fund performance fluctuations of the company is more likely to produce a star fund. From the scale point of view, the probability of the larger fund family star fund is relatively high. Finally, from the fund family in the previous period whether the star family or family garbage, when the fund is in the star family the previous period, the probability of the next generation of star fund is dogs. Based on the results of Logit regression model, we according to the three variables significantly that fund family The fund's performance between the standard deviation of fund family size, early is to construct star family combination, further analysis of different family investment capacity and study its investment strategy, the results of the study showed that the star family was not showed a significantly higher yield levels, only according to the existence of star fund investment star family policy is not successful, unable to obtain better returns. Further subdivision can be seen from the low star family stable performance is poor, and the income level is higher, they are the real star of the family, the overall investment ability, can make the family most of the fund's performance remained at a higher level. On the contrary, from high the star family prior to create a star fund motivation is large, family performance is not stable, they do not belong to the real star family, not for investors with A good return rate.
The main innovations of this paper, one of the star fund spillover effect comprehensively, systematically, covers a relatively broad. Second, the spillover effect of star funds to expand more broadly, and not limited to a certain area, especially the detailed effects of star fund on the two level of stock market investors, and like almost no literature. Third, time in the study of the impact of star fund quarterly published by the ten awkwardness of the stock market two investors, followed by the event study method in general, but in the specific application, the contents of the quarterly split refinement analysis, comparison accurate information for investors of different degree of influence.
Finally, the full text is summarized, the shortcomings of this study are put forward, and the future direction of further research is pointed out.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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