中国开放式基金FPR的实证研究

发布时间：2018-04-20 14:06

本文选题：开放式基金 + FPR　；参考：《东北财经大学》2012年硕士论文

【摘要】：自从2001年9月第一支开放式基金成立以来,中国开放式基金呈现长足的发展态势。鉴于开放式基金在金融市场上所表现出的重要地位和作用,众多学者纷纷将其作为重要的研究内容之一。其中,中国开放式的投资流-绩效关系(Flow-Performance-Relationship,FPR)的研究日渐被人们所重视。从早期的文献来看,中国股票型开放式基金呈现出了异于国外市场上的正向FPR,出现了“异常赎回”现象,即基金绩效越好,投资者更倾向于赎回或不申购该支基金；反而基金绩效越差,投资者更倾向于申购或不赎回该支基金。随着十年中国开放式基金的发展,这种“异常赎回”的现象是否依旧存在于中国开放式基金市场上?本文即以2004年至2011年间的股票型开放式基金为样本,以面板数据的方法,研究了中国市场上的FPR,最终得出结论为中国市场上随着法律制度和监管的完善,投资者投资水平的提高,金融市场其他参与者能力素质的提高,中国的股票型开放式基金的FPR已经显著的表现为正向关系,即基金绩效越好,投资者往往更认可该支基金,则表现为净申购量增加,基金份额增大；基金绩效越差,投资者更倾向于不愿意持有该支基金,表现为净赎回增大,基金份额减少。目前国内相关文献较少,且年限均较早,故研究样本比较少,从而得出的结论稳定性并不十分良好。本文所选取的数据跨度为2004年至2011年,历经开放式基金的发展、高峰和低潮时期,相对来说检验结果较为可靠和稳定,对研究中国开放式基金市场的FPR是一项重要的补充内容。
[Abstract]:Since the establishment of the first open-end fund in September 2001, the Chinese open-end fund has shown a rapid development trend. In view of the important position and role of open-end funds in the financial market, many scholars regard them as one of the important research contents. Among them, the research of Chinese open investment flow-performance relationship Flow-Performance-Relationship (FPRR) has been paid more and more attention. From the early literature, the Chinese stock open-end fund presents the positive FPRs which are different from those in the foreign market, and the phenomenon of "abnormal redemption" appears, that is, the better the performance of the fund, the more inclined investors are to redeem or not apply for the fund. Instead, the worse the fund performance, investors are more likely to purchase or do not redeem the fund. With the development of China's open-end funds for ten years, does this phenomenon of "abnormal redemption" still exist in China's open-end fund market? This paper studies the FPRR in China market with the sample of stock open-ended fund from 2004 to 2011 and the method of panel data, and finally draws the conclusion that the legal system and supervision in the Chinese market have been improved along with the improvement of the legal system and supervision. With the improvement of the investment level of investors and the improvement of the ability and quality of other participants in the financial market, the FPR of China's equity open-end funds has shown a positive relationship, that is, the better the performance of the funds, the more the investors tend to approve the fund. The performance of the fund is the increase of net requisition and the increase of fund share; the worse the performance of the fund, the more reluctant investors are to hold the fund, which is shown by the increase of net redemption and the decrease of fund share. At present, there are few related literatures in China, and the number of years is earlier, so the research sample is less, so the conclusion is not very stable. The data span from 2004 to 2011 is relatively reliable and stable during the period of open-end fund development peak and low which is an important supplement to the study of FPR in China's open-end fund market.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】