开放式基金投资网络测度实证分析

发布时间：2018-11-27 12:56

【摘要】：证券投资基金指通过公开发售基金份额募集资金,由基金托管人托管,由基金管理人管理和运用资金,为基金持有人的利益,通过资产组合进行的证券投资方式。它作为现代经济重要金融媒介,基金对构建完善的金融体系,促进社会群众和社会组织的投资与风险管理,积极推进社会养老保险体系,乃至社会经济发展等方面产生了重大深远的影响。目前关于开放式基金研究已较成熟,学者从基金的基金理论、运行效率、业绩评价等进行了全面的研究。国外有学者在此基础上引入社会网络的理论进行了基金分析,重视投资网络形成过程的分析,从社会学、经济学等领域,对创业中联合投资、私募基金网络的理论与案例进行了深入的讨论,我国也有人把社会网络理论引入私募投资和创业投资领域。本文在前人研究基础上,应用社会网络的理论和方法,以开放式基金共同持股关系形成的投资网络为研究对象,以参与其中的基金为结点,以2003年、2005年、2007年、2008年2010年五年的年报的数据为样本选取时间,把基金共同持有某支股票作为对股票的关注强度作为基金间的联系,对基金市场格局进行了分析。分析发现：整个基金投资网络是低凝聚性的,各个基金在整个网络中权利及地位分配是不均衡的,但基金业绩与其在网络中的地位没有明显影响；投资网络中存在多个派系,尤其以一家基金旗下的基金关系最为紧密,但是,抱团往往并不能取得超出市场的收益,人际关系长期可能不会为基金带来超额收益；随着时间的推移,基金之间的人际关系导向在降低,基金呈现出更为理智和成熟的投资理念和方法,并在市场上出现了百花齐放的投资派系。这一方面说明我国对基金市场的监管和引导取得了一定的成效,另一方面也提示基金应更多的把精力放在提高业务能力方面,而非人际关系和内幕消息。同时,利用类似的方法,本文以股票为研究结点,以它们被基金共同持有的强度为联系的深度,对2007—2010的数据进行了拓展分析,分析发现,之前基金更多的投资方向是金融煤炭等大型垄断央企,投资分化不明显,但随着理念的成熟,市场投资呈现突出的政策导向性和结构分化,2010年转向以金融、电子、医药为主的结构性投资调整,适应这种调整的基金取得了大大超出市场平均水平的收益,可以预测这种投资的结构性分化会成为未来长期的趋势。
[Abstract]:The securities investment fund refers to the way of securities investment, which is raised through the public offering of fund shares, managed and used by the fund manager, and through the portfolio for the benefit of the fund holder. As an important financial medium of the modern economy, the fund has promoted the investment and risk management of the social masses and social organizations to build a sound financial system, and actively promoted the social endowment insurance system. Even social and economic development has had a significant and profound impact. At present, the research on open-end funds has been mature, and scholars have made a comprehensive study from the fund theory, operational efficiency, performance evaluation and so on. On this basis, some foreign scholars have introduced the theory of social network for fund analysis, attached importance to the analysis of the forming process of investment network, and invested jointly in entrepreneurship from the fields of sociology, economics, etc. The theory and case of private equity fund network have been discussed deeply, and some people in our country have introduced social network theory into the field of private equity investment and venture capital. On the basis of previous research, this paper applies the theory and method of social network, taking the investment network formed by open-end fund co-shareholding relationship as the research object, taking the participating fund as the node, taking 2003, 2005, 2007 as the research object. The data of the annual report in 2008 and 2010 are selected as the sample time, and the mutual holding of a certain stock is regarded as the relationship between the fund and the fund, and the market pattern of the fund is analyzed. It is found that the whole fund investment network is low cohesion, and the distribution of rights and status of each fund in the whole network is not balanced, but the performance of the fund and its status in the network have no obvious influence; There are many factions in the investment network, especially one fund has the closest relationship, however, the group can not get the income beyond the market, and the interpersonal relationship may not bring excess returns to the fund for a long time. With the passage of time, the interpersonal relationship orientation between the funds is decreasing, the fund presents more rational and mature investment ideas and methods, and the investment factions appear in the market. On the one hand, this indicates that the supervision and guidance of the fund market in China has achieved certain results, on the other hand, it also suggests that the fund should pay more attention to improving its business ability, rather than interpersonal relations and insider information. At the same time, using the similar method, this paper takes stocks as the research node and the intensity of their mutual holding by the fund as the depth of connection. The data of 2007-2010 are expanded and analyzed, and the results show that, Before that, the investment direction of the fund was more large monopolized central enterprises, such as finance, coal and so on. The investment differentiation was not obvious, but with the maturity of the concept, the market investment showed prominent policy orientation and structural differentiation. In 2010, it turned to finance and electronics. The adjustment of structured investment based on medicine and the income of fund which adapts to the adjustment have greatly exceeded the average level of the market, which can predict that the structural differentiation of this kind of investment will become a long-term trend in the future.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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