我国证券投资基金老鼠仓行为与治理研究

发布时间：2018-01-14 22:27

本文关键词：我国证券投资基金老鼠仓行为与治理研究　出处：《广西大学》2013年硕士论文　论文类型：学位论文

【摘要】：1998年,我国首次推出两家封闭式基金正式揭开了证券投资基金发展的序幕。历经10多年的快速发展,截至2012年底,我国证券投资基金达到1241只,管理资产合计36225.52亿元,其中,公募基金产品1173只,公募基金资产规模约合为28661亿元,基金账户数为4018.69万户。证券投资基金已经成为我国资本市场不可或缺的一部分,基金业的健康发展对于我国资本市场的稳定持续发展有着深远的意义。但由于种种原因,基金业近几年来频频发生老鼠仓事件,这种行为不仅损害了基金资产和基金份额持有人的利益,动摇了基金投资者对基金的投资信心,长此以往还将引发基金投资者对基金业的信任危机并影响整个基金市场的可持续发展,进而危及我国资本市场的稳定。因此,如何有效治理老鼠仓以保护基金持有人的利益,树立投资者对基金投资的信心是基金业发展的核心问题。本文在前人研究的基础上,结合信息不对称理论、委托代理理论、声誉理论,分析了基金老鼠仓产生的原因是信息不对称条件下,基金特殊的双重代理关系造成的。通过构建博弈模型研究老鼠仓行为相关利益主体之间的博弈关系,求出纳什均衡解,并结合实际分析老鼠仓行为产生的原因主要有：基金经理违法成本过低；基金管理公司内部监管失职；基金经理投资渠道受阻；基金投资者维权困难。在此基础上本文进一步用事件研究法对老鼠仓行为的市场影响进行实证分析,发现老鼠仓事件公布对涉及老鼠仓的基金公司收益有一定的负面影响,但极为有限。因此,本文研究主要结论认为治理老鼠仓需要追究基金管理公司的失职责任,使基金公司有压力和动力加强内部监管。
[Abstract]:In 1998, the first two closed-end funds in China officially opened the prelude to the development of securities investment funds. After more than 10 years of rapid development, until end of 2012. There are 1,241 securities investment funds in our country, and the total assets under management are three tillion six hundred and twenty-two billion five hundred and fifty-one million nine hundred and ninety-nine thousand and nine hundred and ninety-nine yuan, of which 1,173 are public offering fund products, and the asset scale of public offering fund is about two tillion eight hundred and sixty-six billion one hundred million yuan. The number of fund accounts is forty million one hundred and eighty-six thousand and nine hundred . Securities investment funds have become an indispensable part of China's capital market. The healthy development of the fund industry has a far-reaching significance for the stable and sustainable development of the capital market in China. However, for various reasons, the fund industry has frequently occurred rat trading events in recent years. This behavior not only damages the interests of fund assets and fund share holders, but also shakes the investment confidence of fund investors. In the long run, it will lead to the trust crisis of fund investors and affect the sustainable development of the whole fund market, thus endangering the stability of China's capital market. How to effectively control the mouse warehouse to protect the interests of fund holders and establish investors' confidence in fund investment is the core problem of fund industry development. This paper combines the theory of asymmetric information on the basis of previous studies. The principal-agent theory and reputation theory analyze the reason why the fund mouse warehouse is produced under the condition of asymmetric information. By constructing a game model to study the game relationship between the stakeholders involved in rat warehouse behavior, the Nash equilibrium solution is obtained. Combined with the actual analysis of the rat warehouse behavior, the main reasons are: the fund manager's illegal cost is too low; Dereliction of duty of internal supervision of fund management company; The investment channel of fund manager is blocked; It is difficult for fund investors to protect their rights. On this basis, this paper further uses the event study method to analyze the market impact of rat warehouse behavior. It is found that the announcement of the rat warehouse event has a certain negative impact on the income of the fund company involved in the mouse warehouse, but it is very limited. The main conclusion of this paper is that it is necessary to investigate the dereliction of duty of fund management companies in order to make the fund companies have the pressure and motivation to strengthen the internal supervision.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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