我国开放式基金市场收益率的波动特征研究

发布时间：2018-10-31 12:32

【摘要】：自2001年8月证监会批准成立第一只开放式基金以来，我国开放式基金已得到迅速发展，现已成为资本市场上最重要的机构投资者之一。开放式基金作为一种投资于股票和债券等市场的金融工具，虽然有专家理财和分散投资组合的优势，但是其收益也会面临许多风险而产生波动。开放式基金市场收益率的波动会给资本市场的稳定发展、基金管理者有效管理基金资产和投资者资产保值增值等造成重要影响。因此，正确认识开放式基金市场收益率的波动特征有着重要的现实和理论意义。本文致力于运用计量经济学模型探讨我国开放式基金市场整体和内部不同类型的股票型、混合型和债券型开放式基金收益率的波动特征。首先，文中对波动性理论及模型进行阐述和评价，确定研究方法。其次，通过正态性和独立性等检验对我国开放式基金市场整体及不同类型开放式基金收益率序列进行基本的统计特征分析，为后续研究奠定基础。然后，使用单变量GARCH族模型、动态条件多元GARCH模型和修正的R/S方法去研究我国开放式基金市场的波动特征，并比较不同类型开放式基金收益率波动特征的差异。最后，根据实证分析的结果总结出开放式基金市场收益率的波动特征，，并在此基础上为开放式基金监管者、管理者和投资者提出相关政策和建议。文中通过研究主要得出以下结论：第一，我国开放式基金整体及内部不同类型的开放式基金市场的收益率序列都不服从正态性分布而呈现出显著的尖峰厚尾性、不存在独立性、具有自相关性和平稳性。第二，我国开放式基金市场整体及内部不同类型的开放式基金市场中存在明显的波动异方差效应、波动聚集性和非对称性特征。另外，开放式基金市场整体的收益率与波动存在显著的正相关关系，但风险溢价系数较小；在不同类型开放式基金市场中，只有债券型开放式基金市场中没有体现出收益与波动的正相关关系。第三，就残差服从正态分布、t分布和GED分布下GARCH模型拟合各我国开放式基金市场收益率序列波动的效果而言，GED分布下的GARCH模型拟合的效果最好。第四，我国开放式基金市场整体与沪深股市的动态相关系数均存在随时间变化的高度正相关关系；不同类型的开放式基金与沪深股市的动态相关系数存在较大差异，债券型开放式基金与沪深股市的动态相关系数的波动幅度最大，而股票型开放式基金与沪深股市的动态相关系数的波动幅度较稳定。第五，我国开放式基金市场收益率的波动存在分形结构特征。开放式基金市场整体及内部不同类型的开放式基金收益率的Hurst指数都要大于0.5，长期记忆性特征显著，并存在着统计循环周期。
[Abstract]:Since the establishment of the first open-end fund approved by the Securities Regulatory Commission in August 2001, China's open-end funds have developed rapidly and have become one of the most important institutional investors in the capital market. As a financial tool to invest in stock and bond markets, open-end funds have the advantages of expert financial management and diversification of portfolio, but their returns will also face many risks and fluctuate. The fluctuation of the return rate of open-end fund market will give the stable development of the capital market, and the fund managers can effectively manage the fund assets and the investors' assets to maintain and increase their value. Therefore, it is of great practical and theoretical significance to correctly understand the volatility characteristics of the market returns of open-end funds. This paper is devoted to using econometrics model to study the volatility characteristics of the return rate of the open-end fund market in China, which are different types of stock, mixed and bond. Firstly, the theory and model of volatility are described and evaluated, and the research method is determined. Secondly, through the tests of normality and independence, this paper analyzes the basic statistical characteristics of the whole and different types of open-end fund return series in China's open-end fund market, which lays a foundation for further research. Then, univariate GARCH family model, dynamic conditional multivariate GARCH model and modified R / S method are used to study the volatility characteristics of China's open-end fund market, and to compare the volatility characteristics of different types of open-end funds. Finally, according to the results of empirical analysis, this paper summarizes the volatility characteristics of open-end fund market returns, and puts forward relevant policies and suggestions for open-end fund regulators, managers and investors. The main conclusions are as follows: first, the return series of different types of open-end fund markets in China are not satisfied with the normal distribution and show significant spike and thick tail. There is no independence, self-correlation and stability. Secondly, there are obvious volatility heteroscedasticity effect, volatility aggregation and asymmetry in the whole and different types of open-end fund market in China. In addition, there is a significant positive correlation between the return and volatility of the open-end fund market as a whole, but the risk premium coefficient is small. In different types of open-end fund market, only bond open-end fund market does not reflect the positive correlation between income and volatility. Thirdly, the GARCH model under the GED distribution is the best to fit the volatility of the return series of the open-end fund market in our country under the normal distribution, t distribution and GED distribution. Fourthly, the dynamic correlation coefficient of the open-end fund market in China and the Shanghai and Shenzhen stock markets has a highly positive correlation with the change of time. The dynamic correlation coefficients between different types of open-end funds and Shanghai and Shenzhen stock markets are quite different, and the dynamic correlation coefficients of bond open-end funds and Shanghai and Shenzhen stock markets fluctuate the most. The fluctuation range of dynamic correlation coefficient between open-end fund and Shanghai-Shenzhen stock market is stable. Fifth, the volatility of the market return of open-end funds in China has fractal structure characteristics. The Hurst index of different types of open-end fund returns in the open-end fund market is greater than 0.5, and the long-term memory characteristic is significant, and there is a statistical cycle.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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