有限制开放式基金的申购赎回机制及其绩效研究

发布时间：2018-04-10 03:03

本文选题：开放式基金　切入点：申购赎回机制　出处：《郑州大学》2013年硕士论文

【摘要】：所谓有限制开放式基金是相对于开放式基金自由申购赎回而言的,开放式基金随时申购赎回的特点增加了基金经理的运作难度,突出了流动性风险。因此,基金管理公司为了提高基金业绩会从时间或数额等方面对开放式基金的申购赎回加以限制,即有限制开放式基金。目前,国内外关于开放式基金主要集中于研究其赎回问题、流动性风险和绩效等方面,有关有限制的开放式基金的申购赎回机制以及该机制对基金绩效的影响还没有人研究,因此,本文的研究具有重要的理论和现实意义。本文从开放式基金的赎回制度引发了流动性风险的问题出发引入开放式基金有限制的申购赎回机制,基于委托代理理论分析了开放式基金申购赎回机制的原理以及流动性风险的成因,在理论分析的基础上,选取了有过限制申购赎回行为的120只开放式偏股型样本基金,运用面板数据模型,分别对2005年第3季度到2012年第4季度、2005年第3季度到2007年第3季度的牛市和2007年第4季度到2012年第4季度的熊市三个周期内样本基金的申购赎回机制效果进行了实证分析。得出了以下结论：(1)开放式基金主要在股权分置改革时期、2007年牛市、基金大比例分红之前以及基金重仓股停牌时进行申购限制；(2)申购限制主要基于保护基金原份额持有人利益、防止套利、控制基金规模以及利于基金公司开展营销;(3)通过实证分析发现：超额的市场回报使得牛市成为一个比较特殊的时期,在这个样本区间内,基金规模、基金净流量和机构持有比例对基金绩效缺乏解释意义；在全周期和熊市,基金规模、基金换手率与基金收益率显著负相关；基金净流量在全周期与基金业绩正相关,熊市阶段投资者的处置效应表现的更加明显,这一指标与基金业绩负相关；份额净值波动率在全周期和牛市与基金收益率显著正相关；基金指数涨跌幅和大盘涨跌幅,在三个样本区间内与基金绩效均是明显的正相关关系。最后文章提出了一些政策建议,旨在帮助基金管理人提高基金绩效、引导投资者进行理性的价值投资和促进我国资本市场健康发展。
[Abstract]:The so-called restricted open-end fund is relative to the open-end fund's free purchase and redemption. The characteristics of open-end fund's purchase and redemption at any time increase the difficulty of fund manager's operation and highlight the liquidity risk.Therefore, in order to improve fund performance, fund management companies will restrict the requisition and redemption of open-end funds in terms of time or amount, that is, restricted open-end funds.At present, at home and abroad, open-end funds are mainly focused on the issue of redemption, liquidity risk and performance, and there is no research on the mechanism of limited open-end funds' requisition and redemption and its impact on the performance of funds.Therefore, the study of this paper has important theoretical and practical significance.Based on the liquidity risk caused by the redemption system of open-end funds, this paper introduces the limited requisition and redemption mechanism of open-end funds.Based on the principal-agent theory, this paper analyzes the principle of open-end fund purchase and redemption mechanism and the causes of liquidity risk. On the basis of theoretical analysis, 120 open-end partial stock type sample funds with restricted purchase and redemption behavior are selected.Using the panel data model,The effect of sample fund redemption mechanism in the three periods from the third quarter of 2005 to the fourth quarter of 2012, the bull market from the third quarter of 2005 to the third quarter of 2007 and the bear market from the fourth quarter of 2007 to the fourth quarter of 2012 were analyzed empirically.The following conclusions are drawn: (1) Open-end funds are mainly in the period of split share structure reform. In the bull market of 2007, the requisition restriction is mainly based on protecting the interests of the holders of the original share of the fund, before the large proportion of dividends of the fund is suspended and when the trading of heavy stocks of the fund is suspended.To prevent arbitrage, to control the size of the fund and to facilitate the fund company to carry out marketing. Through empirical analysis, it is found that the excess market returns make the bull market a relatively special period. In this sample range, the size of the fund,In the whole cycle and bear market, fund size, fund turnover rate and fund return rate are negatively correlated with fund return, and fund net flow is positively correlated with fund performance in the whole cycle.The disposition effect of investors in bear market stage is more obvious. This index is negatively correlated with fund performance; the volatility of net share in the whole cycle and bull market is significantly positively related to the fund yield; the fund index is higher and lower, and the market is higher and lower.There is a significant positive correlation between fund performance and fund performance in the three sample intervals.Finally, some policy suggestions are put forward to help fund managers improve fund performance, guide investors to make rational value investment and promote the healthy development of China's capital market.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91

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