中国证券投资基金的交易策略及其影响因素研究

发布时间：2018-01-02 13:10

本文关键词：中国证券投资基金的交易策略及其影响因素研究　出处：《电子科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：证券投资基金在我国证券市场中占据重要地位,其一举一动对证券市场产生着巨大影响。随着基金的不断发展壮大,其对证券市场的影响力与日俱增,基金的投资行为对证券市场的影响力也大大提升。因此,对证券投资基金的交易策略及其影响因素的研究具有重要意义。本文首先采用中国证券市场证券投资基金2000-2010年的数据以及改进的GTW模型,分别以“季度”和“半年”为一个考察期,从动量和反转交易策略的角度对我国证券投资基金的投资行为进行了研究。研究发现,我国证券投资基金在投资过程中大都采取了动量交易策略,同时,证券投资基金在采取动量交易策略时呈现出明显的不对称性特点,即大都倾向于“追涨”,而“杀跌”并不显著。虽然我国证券投资基金的整体投资趋同性较强,但是相对来说开放式基金的投资趋同性比封闭式基金强。本文还采用面板Logit模型对影响证券投资基金选择交易策略(动量或反转)的因素进行了分析。结果表明,基金上期的交易策略对当期交易策略的选择存在正的影响,即如果基金经理上期选择了动量(反转)交易策略,那么当期选择动量(反转)交易策略的概率更大,但是封闭式基金经理受上期交易策略的影响更显著；基金经理的从业经历越长、基金上期业绩排名越靠前越倾向于选择反转交易策略,并且其对开放式基金经理是否选择动量交易策略的影响更显著；市场行情、基金的投资风格以及基金规模对证券投资基金是否选择动量交易策略的影响并不明显。
[Abstract]:The securities investment fund plays an important role in the securities market of our country, and its every move has a great influence on the securities market. With the development of the fund, its influence on the securities market is increasing day by day. Therefore, it is of great significance to study the trading strategies of securities investment funds and their influencing factors. This paper first uses the data of securities investment funds in China's securities market from 2000 to 2010 and the improved GTW model, taking "quarter" and "half a year" respectively as an investigation period. This paper studies the investment behavior of China's securities investment funds from the perspective of momentum and reverse trading strategies. It is found that most of our securities investment funds adopt momentum trading strategies in the process of investment, and at the same time. When adopting momentum trading strategy, securities investment funds show obvious asymmetry, that is, most of them tend to "chase up". Although the overall investment convergence of China's securities investment funds is relatively strong, the investment convergence of open-end funds is stronger than that of closed-end funds. The paper also uses panel Logit model to analyze the factors that affect the choice of trading strategy (momentum or inversion) of securities investment funds. The results show that. The trading strategy of the fund in the previous period has a positive influence on the choice of the trading strategy of the current period, that is, if the fund manager chooses the momentum (reversal) trading strategy in the last period. Then the probability of choosing momentum (reversal) trading strategy in the current period is greater, but the closed-end fund manager is more significantly affected by the trading strategy of the previous period. The longer the working experience of fund managers, the higher the ranking of fund performance, the more inclined to choose reverse trading strategy, and its impact on whether the open-end fund managers choose momentum trading strategy is more significant; Market prices, fund investment style and fund size on whether securities investment funds choose momentum trading strategy is not obvious.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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