基金流量对基金行为和市场收益的影响研究

发布时间：2018-05-15 11:34

本文选题：基金流量 + 基金投资行为　；参考：《复旦大学》2012年硕士论文

【摘要】：基金流量,是指基金在特定时期的资金流动。对于开放式基金而言,由于基金持有人可以根据自身需求对基金份额进行申购赎回,申购时产生基金的资金流入,而赎回时则产生资金流出,因此,基金流量往往反映了基金投资者的行为偏好、市场投资者情绪等重要因素。理论研究发现,基金流量由于能够影响资金的流动,因此是导致开放式基金流动性风险的主要原因之一,同时会造成基金投资组合的动态调整。基金流量对市场的影响主要表现在其会引起基金经理买卖股票行为,组合资产配置动态调整,同时,基金总体流量也将通过对基金经理总体投资行为的影响,最终对市场表现产生不可忽视的作用。因此,本文的研究主要考察了中国开放式股票型基金的基金流量变化对基金投资行为和市场表现的影响。本文将传统研究视角拓展到“基金流量—基金投资行为—市场收益和波动性”,从而将研究角度转向基金投资行为背后的持有人行为对基金经理投资行为和资产组合配置调整的影响分析,以及宏观层面上持有人行为整体对市场收益的影响分析。因此,本文构建了两部分实证模型,第一部分模型主要从微观的基金个体角度出发,分别以开放式基金的现金持有比例和证券买卖行为作为基金投资行为的代理变量,检验基金流量与基金投资行为之间的关系；第二部分从宏观的基金整体角度出发,考察基金总体资金流量如何影响市场指数收益率和波动性。实证方法为动态面板模型和向量自回归(VAR)模型。主要结论如下： 1.我国证券投资基金的投资行为受到基金流量的显著影响,基金持有人行为对基金经理投资行为具有冲击效应,并直接影响到基金经理的策略选择和资产组合调整。在牛市中,基金投资者净申购率与基金资产组合的现金持有比例正相关,但在震荡市中却为负相关。 2.基金流量直接导致了基金经理买卖股票行为；同时,基金的投资风格、杠杆率和机构持有人占比都会影响基金经理买卖股票对于基金流量的敏感度。指数型基金的基金经理对于投资者申购行为较为敏感,基金的融资杠杆钝化了基金申购赎回对基金经理股票交易造成的影响,当机构持有人比例较高时,基金经理往往降低用申购获得资金购买股票的比例来应对可能的集中赎回。 3.开放式基金总流量与市场收益率和波动性之间具有显著性关系。资金流入基金市场将导致未来较低的市场波动性,而资金流出基金市场将导致未来较高的市场波动性。同时,基金投资者会根据市场波动性选择基金投资时机,即往往选择市场波动性较低时增大基金投资。基金总流量不会对未来市场收益率造成方向性的影响,同时,基金投资者往往选择在市场收益率高时增加基金投资的投入。最后,本文根据实证结论,对于基金投资操作和流动性风险的控制提出了几点建议。
[Abstract]:Fund flow refers to the fund flow in a specific period of time. For open-end funds, since the fund holder can redeem the fund's share according to his own needs, the fund flows into the fund at the time of purchase, and the fund flows out when the fund is redeemed. Fund flow often reflects the behavior preference of fund investors, market investor sentiment and other important factors. The theoretical study shows that the fund flow is one of the main reasons for the liquidity risk of the open-end fund because it can affect the fund flow, and it will also cause the dynamic adjustment of the fund portfolio. The influence of fund flow on the market is mainly reflected in the behavior of fund managers buying and selling stocks and the dynamic adjustment of portfolio allocation. At the same time, the overall flow of funds will also affect the overall investment behavior of fund managers. Finally, the market performance can not be ignored. Therefore, this paper mainly studies the influence of the fund flow change on the investment behavior and market performance of Chinese open-end equity funds. This paper extends the traditional research perspective to "fund flow-fund investment behavior-market returns and volatility". Therefore, the research point of view is turned to the analysis of the influence of the holder's behavior behind the fund's investment behavior on the fund manager's investment behavior and the adjustment of the portfolio allocation, as well as the macro-level analysis of the overall impact of the holder's behavior on the market returns. Therefore, this paper constructs two parts of empirical model, the first part of the model mainly from the micro perspective of the individual fund, open-end fund cash holding ratio and securities trading behavior as the proxy variables of fund investment behavior. The second part examines how the total fund flow affects the return and volatility of the market index from the macro perspective of the fund. The empirical methods are dynamic panel model and vector autoregressive VAR model. The main conclusions are as follows: 1. The investment behavior of China's securities investment funds is significantly affected by the fund flow. The behavior of the fund holders has an impact on the investment behavior of the fund managers and has a direct impact on the strategy selection and portfolio adjustment of the fund managers. In a bull market, the net purchase rate of fund investors is positively correlated with the cash holdings of the fund's portfolio, but is negatively correlated in volatile markets. 2. At the same time, the investment style, leverage ratio and the ratio of institutional holders will affect the sensitivity of fund managers to fund flow. The fund managers of index funds are more sensitive to investors' purchase behavior. The fund financing leverage passives the influence of fund requisition and redemption on fund managers' stock trading, when the proportion of institutional holders is high, Fund managers tend to reduce the proportion of money they use to buy shares in response to possible conversions. 3. There is a significant relationship between the total flow of open-end funds and market returns and volatility. The inflow of funds into the fund market will lead to lower market volatility in the future, while the outflow of funds from the fund market will lead to higher market volatility in the future. At the same time, fund investors will choose the timing of fund investment according to market volatility, that is, tend to choose to increase fund investment when market volatility is low. At the same time, fund investors often choose to increase the investment of fund when the market yield is high. Finally, according to the empirical conclusions, this paper puts forward some suggestions on the control of fund investment operation and liquidity risk.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】