股票型开放式基金资产配置集中度对基金净值的影响研究

发布时间：2019-02-21 16:08

【摘要】：2001年9月，我国第一只开放式基金华安创新成立，从此，我国证券投资基金业进入一个崭新的发展阶段，基金逐渐成为证券市场投资的主力。随着封闭式基金的停发和陆续到期，开放式基金无论从品种数量还是资产规模来看，都已经成为基金市场的主要运作方式和发展趋势。影响基金净值的因素有很多，，资产配置集中度是一个重要的方面。资产配置集中度在一定程度上反映了基金经理的投资风格及其对未来市场的看法，在某种程度上可能会对基金净值造成一定的影响。本文选取我国2005年12月31日以前成立的41只股票型开放式基金为研究样本，分析研究2007年到2010年股票型开放式基金的资产配置集中度对基金净值的影响。首先，通过描述我国股票型开放式基金的净值表现，对基金净值的影响因素进行了分析。其次，运用基尼系数和赫芬达尔指数衡量我国股票型开放式基金的资产配置集中度，并对基金的资产配置集中度进行特征描述。再次，运用Panel Data模型实证分析我国股票型开放式基金资产配置集中度对基金净值的影响，文章将研究期间分成三个周期，逐一进行实证研究，进一步分析不同时期资产配置集中度对基金净值的影响。最后，文章在总结上述研究结果的基础上，分别对基金管理者、投资者以及监管者提出相应的建议。研究结果表明，就整体的样本时间段而言，资产配置集中度中的持股集中度和行业集中度这两个指标对基金净值都具有非常显著的正向影响。对于不同的时间段而言，在股市上升周期，持股集中度指标对基金净值具有比较显著的正向影响，而行业集中度指标对基金净值的影响不显著；在股市下降周期，资产配置集中度的两个集中度指标对基金净值的影响均不显著；在股市震荡周期，资产配置集中度的两个集中度指标对基金净值都具有较为显著的正向影响。
[Abstract]:In September 2001, China's first open-end fund, Hua'an, was founded. Since then, China's securities investment fund industry has entered a new stage of development, and the fund has gradually become the main investment in the securities market. With the closure and maturity of closed-end funds, open-end funds have become the main mode of operation and development trend of the fund market, both in terms of the number of varieties and the size of assets. There are many factors affecting the net value of the fund, asset allocation concentration is an important aspect. To a certain extent, the concentration of asset allocation reflects the investment style of fund managers and their views on the future market, and to some extent may have a certain impact on the net value of the fund. In this paper, 41 equity open-end funds established before December 31, 2005 in China are selected as the research samples to analyze the impact of concentration of asset allocation on the net value of equity open-end funds from 2007 to 2010. First of all, by describing the equity performance of equity open-end funds in China, this paper analyzes the influencing factors of fund net value. Secondly, we use Gini coefficient and Herfindahl index to measure the concentration degree of asset allocation of equity open-end funds in China, and describe the characteristics of asset allocation concentration degree of funds. Thirdly, using the Panel Data model to analyze the influence of the concentration degree of asset allocation on the net value of the fund, this paper divides the research period into three periods, and carries on the empirical research one by one. Further analysis of the different periods of concentration of asset allocation on the net value of the fund. Finally, on the basis of summarizing the above research results, the paper puts forward corresponding suggestions to fund managers, investors and regulators. The results show that both the ownership concentration and the industry concentration in asset allocation concentration have a significant positive impact on the net value of the fund. For different time periods, in the stock market rising cycle, the stock holding concentration index has a significant positive impact on the net fund value, but the industry concentration index has no significant impact on the fund net value. In the stock market decline cycle, the two concentration indicators of asset allocation concentration have no significant impact on the net fund value, while in the stock market volatility cycle, the two concentration indicators of asset allocation concentration ratio have a significant positive impact on the net fund value.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】