证券投资基金持股约束对基金业绩、资金流向的影响分析

发布时间：2018-10-21 12:57

【摘要】：证券投资基金业绩、资金流量的影响因素一直都是国内外学者关注的课题，各学者从不同角度，例如基金存续期长短、基金费率高低、基金规模大小等，探讨了不同因素对证券投资基金业绩、资金流量的影响。然而，目前为止，还没有研究就证券投资基金持股约束状态对基金业绩、资金流向做探讨。由于中国证券市场尚不发达，当基金持股逼近约束时，较难通过衍生品等手段来有效规避持股约束的影响。因此，为了更好地了解中国证券投资基金的特点，理清持股约束对基金业绩、资金流向的影响，并尝试为监管机构提供相关的建议，本文将重点探讨中国开放式基金持股约束对基金业绩、资金流向的影响。本文定义了两种持股约束情境，分别为硬约束与软约束。当基金持股水平进入法定持股约束5%区间时，基金即处于硬约束；当基金持股水平离开历史平均持股水平的一个标准差区间时，基金即处于软约束。本文设置了以下三个假设：第一、持股比例设计更为灵活的混合型基金相对于股票型基金能获得更高的平均收益；第二、无论是硬约束还是软约束情境，，当基金处于受限状态时，该约束状态将对未来收益产生负面影响；第三、无论是硬约束还是软约束情境，当基金处于受限状态时，该约束状态会对当期的资金流向产生负面影响。对于假设一，虽然混合型基金的平均收益和平均Alpha都要大于股票型基金的平均收益和平均Alpha，但是根据显著性检验，两者的差异并不显著大于零，这意味着持股比例设计更为灵活的混合型基金并没有获得显著高于股票型基金的收益和Alpha。对于假设二，无论是硬约束还是软约束情境，下限约束和上限约束状态都对未来收益产生负面影响；而只有在软约束情境下，上限约束状态对未来Alpha产生负面影响。对于假设三，无论是硬约束还是软约束情境，当基金处于下限约束时，该状态对当期资金流向产生正面影响，而当基金处于上限约束时，该状态对当期资金流向产生负面影响。
[Abstract]:The factors that affect the performance and the flow of funds in securities investment funds have always been a topic of concern to scholars at home and abroad. From different angles, for example, the duration of the fund, the rate of the fund, the size of the fund, and so on. This paper discusses the influence of different factors on the performance and capital flow of securities investment funds. However, so far, there is no research on the securities investment funds holding constraints on the performance of the fund, the flow of funds. Because of the underdevelopment of China's securities market, it is difficult to avoid the influence of stock holding constraints by means of derivatives and other means. Therefore, in order to better understand the characteristics of China's securities investment funds, clarify the impact of shareholding constraints on fund performance and capital flow, and try to provide relevant recommendations for regulators. This paper will focus on the impact of Chinese open-end fund ownership constraints on fund performance and capital flow. In this paper, two kinds of shareholding constraints are defined, which are hard constraints and soft constraints. When the shareholding level of the fund enters the legal holding constraint of 5%, the fund is in a hard constraint, and the fund is in the soft constraint when the holding level of the fund is away from a standard deviation interval of the historical average shareholding level. In this paper, the following three assumptions are set up: first, the hybrid funds with more flexible shareholding ratio design can achieve higher average returns than equity funds; second, whether hard or soft constraint situations, When the fund is in a restricted state, the constraint state will have a negative impact on the future income. Third, when the fund is in a restricted state, whether it is a hard constraint or a soft constraint situation, This constraint will have a negative impact on the current capital flow. For hypothesis one, although the average return and average Alpha of the hybrid fund are higher than the average return and average Alpha, of the equity fund, according to the significance test, the difference between the two is not significantly greater than zero. This means that hybrid funds with more flexible shareholding ratios do not achieve significantly higher returns and Alpha. than equity funds For hypothesis two, both the lower bound and upper bound constraints have a negative impact on future earnings, regardless of whether they are hard or soft constraint situations, but only in soft constraint situations, upper bound constraints have a negative impact on future Alpha. For hypothesis three, whether hard constraint or soft constraint situation, when the fund is in the lower bound, the state has a positive impact on the current capital flow, while when the fund is in the upper limit constraint, the state has a negative impact on the current capital flow.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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