我国封闭式基金投资策略和企业价值指标相关性研究

发布时间：2018-09-19 10:47

【摘要】：自2006年以来,我国股市经历了剧烈的波动,上证综合指数从06年年初的1350点左右历经一年半的猛涨在2007年10月16日达到创纪录的新高——6124.04,随后急转直下,经过一年时间又将股市拉入熊市,2008年10月底收盘1664触底后疲软反弹,截至在2011年底,上证综合指数开始徘徊在2200点。在如此剧烈波动的市场中显然存在非常多的投资套利机会,因此机构投资者投资行为便被推向讨论的前沿。目前国内对机构投资者投资策略研究主要思路是从股票收益动量和反转现象入手,假设基金投资某类目标股,持有某段时间后收益的变化。但实际在对于实际考察国内基金市场动量与反转策略研究,由于季度内持股明细不透明,因而实证研究结论较少。本文通过采用较为创新的数据处理方法,研究2006-2011年封闭式基金交易数据,考察我国封闭式基金实际投资策略选择,并进一步着重考察个股价值指标对投资策略选择影响。本文通过引入修正的衡量机构投资者投资策略模型发现我国封闭式基金普遍的采用动量交易策略,并且其策略在考察期内具有较为一致的稳定性。进一步,文章设计回归方程检验个股价值指标对封闭式基金投资策略的影响,再分析其投资策略在金融危机前后以及不同行业中的差别。结果发现价值指标对我国封闭式基金投资影响逐渐增强,并且发现在金融危机后投资策略在向理性和价值投资转向。最后总结研究结论并给出政策建议,最后指出文章的不足和未来研究方向。
[Abstract]:Since 2006, China's stock market has experienced violent fluctuations, with the Shanghai Composite Index rising sharply from about 1350 points in early 2006 to a record high of 6124.04 on October 16, 2007, and then plummeting. After a year of pulling stocks back into bear markets, the Shanghai Composite Index started hovering at 2200 at the end of 2011 after a weak rebound after closing at 1664 in late October 2008. In such a volatile market, there are obviously a lot of arbitrage opportunities, so institutional investors' investment behavior is pushed to the forefront of discussion. At present, the main idea of the domestic research on institutional investors' investment strategy is to start with the stock return momentum and reverse phenomenon, and assume that the fund invests in a certain kind of target stocks, and the change of income after holding a certain period of time. However, for the actual investigation of the momentum and reversal strategy of domestic fund market, the empirical research results are less due to the opaque stock holding in the quarter. This paper studies the closed-end fund trading data from 2006 to 2011 by using a more innovative data processing method, examines the actual investment strategy selection of closed-end funds in China, and further focuses on the impact of individual stock value index on investment strategy selection. By introducing a modified model to measure the investment strategy of institutional investors, this paper finds that the momentum trading strategy is widely used in closed-end funds in China, and its strategy has a relatively consistent stability in the period of investigation. Furthermore, the paper designs regression equation to test the influence of individual stock value index on closed-end fund investment strategy, and then analyzes the difference of investment strategy before and after the financial crisis and in different industries. The results show that the impact of value index on closed-end fund investment is gradually increasing, and the investment strategy turns to rationality and value investment after the financial crisis. Finally, the conclusions are summarized and the policy suggestions are given. Finally, the deficiency and future research direction of the paper are pointed out.
【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】：F275;F832.51;F224

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