中国开放式基金业绩与投资者行为相互关系研究

发布时间：2019-05-28 15:10

【摘要】：开放式基金业绩是投资者在申购、赎回决策过程中重点考虑的因素之一,同时,投资者的申购、赎回行为也会对开放式基金业绩产生反作用。因此,开放式基金业绩与投资者行为之间的良性互动是开放式基金获得持续发展的重要驱动。国外有研究发现投资者行为对优秀基金“激励过度”而对差基金“惩罚不足”；而国内的研究则发现了“赎回异象”及基金的“劣汰优胜”现象。国内外研究尤其是国内研究对开放式基金业绩与投资者行为关系的研究存在很大不足,因此,对中国开放式基金业绩与投资者行为之间关系的进一步研究,会弥补这一领域的诸多研究空白,具有重要的理论意义。 2001年我国第一只开放式基金成立以来,开放式基金在我国经历了迅猛发展,在基金业中居于主导地位；开放式基金在我国仍存在巨大的发展空间,并将逐渐成为我国家庭和个人投资者最重要的投资渠道。近来,我国开放式基金不断面临巨额赎回现象,业绩优秀的基金反而被赎回,因而,结合中国金融市场与投资者结构的实际,对中国开放式基金业绩与投资者行为关系进行研究,对于促进二者的良性互动具有重要的现实意义。本文首先对国内外关于开放式基金业绩与投资者行为关系研究的相关文献进行了总结,然后从标准金融理论和行为金融理论角度对开放式基金业绩对投资者行为的作用机制进行了分析。理论分析之后,本文以股票型、债券型、平衡型基金为样本,采用扫描统计量的方法对基金业绩的持续性进行了检验,并结合检验结果与理论分析对投资者的申购、赎回行为进行了预测；在业绩持续性检验的基础上,文章采用动态面板数据模型对三种类型基金业绩与投资者行为的关系进行了实证研究；最后,本文以股票型基金为样本对投资者在不同市场阶段对基金业绩的反应进行了考察。本文得出的主要结论有：我国债券型基金业绩持续性情况最好、平衡型次之,股票型最差；我国股票型和平衡型开放式基金中存在“处置效应”、“异常赎回”等现象,但这些现象在债券型基金中不存在,结合基金业绩持续性的检验结果,投资者的这些反应具有一定的合理性；我国股票型基金和平衡型基金业绩与净赎回之间存在显著的互为因果的格兰杰因果关系,而债券型基金则不存在这种关系；牛市阶段,基金投资者多表现为风险规避型,“处置效应”较为明显,因此我国股票型基金没有表现出优胜劣汰；在熊市阶段,优秀的基金业绩可以有效抑制净赎回的增加；在震荡调整阶段,由于市场前景不确定性较大,基金投资者的“处置效应”最明显,“异常赎回”现象也最明显。最后,本文根据理论分析及实证结果,从投资者、基金公司、监管者等角度提出了相关政策建议。
[Abstract]:The performance of open-end funds is one of the key factors to be considered by investors in the process of purchasing and redemption decisions. at the same time, the application and redemption behavior of investors will also have a negative effect on the performance of open-end funds. Therefore, the benign interaction between the performance of open-end funds and investor behavior is an important driver of the sustainable development of open-end funds. Some foreign studies have found that investors' behavior is "excessive incentive" to excellent funds and "insufficient punishment" to poor funds, while domestic studies have found "redemption anomalies" and the phenomenon of "fittest superiority" of funds. There are great shortcomings in the study of the relationship between the performance of open-end funds and investor behavior at home and abroad, especially in China. Therefore, the relationship between the performance of open-end funds and investor behavior in China is further studied. It will make up for many research gaps in this field, which is of great theoretical significance. Since the establishment of the first open-end fund in China in 2001, the open-end fund has experienced rapid development in our country and occupies a dominant position in the fund industry. Open-end funds still have great development space in our country, and will gradually become the most important investment channel for families and individual investors in our country. Recently, open-end funds in China are constantly facing the phenomenon of huge redemption, and funds with excellent performance have been redeemed. Therefore, combined with the reality of China's financial market and investor structure, It is of great practical significance to study the relationship between the performance of open-end funds and investor behavior in China in order to promote the benign interaction between them. First of all, this paper summarizes the relevant literature on the relationship between the performance of open-end funds and investor behavior at home and abroad. Then from the perspective of standard financial theory and behavioral finance theory, this paper analyzes the mechanism of the performance of open-end funds on investor behavior. After the theoretical analysis, this paper takes the stock type, bond type and balanced fund as samples, uses the method of scanning statistics to test the persistence of fund performance, and combines the test results and theoretical analysis to apply for the purchase of investors. The redemption behavior was predicted. On the basis of performance persistence test, this paper makes an empirical study on the relationship between three types of fund performance and investor behavior by using dynamic panel data model. Finally, this paper takes stock fund as a sample to investigate the response of investors to fund performance in different market stages. The main conclusions of this paper are as follows: the performance persistence of bond funds in China is the best, the balance type is the second, and the stock type is the worst; There are "disposal effect" and "abnormal redemption" in stock and balanced open-end funds in China, but these phenomena do not exist in bond funds, combined with the test results of fund performance sustainability. These reactions of investors are reasonable to a certain extent. There is a significant Granger causality between the performance and net redemption of equity funds and balanced funds in China, but there is no such relationship between bond funds. In the bull market stage, most of the fund investors are risk-averse, and the "disposal effect" is more obvious, so the stock funds in our country do not show the survival of the fittest. In the bear market stage, the excellent fund performance can effectively inhibit the increase of net redemption. In the stage of shock adjustment, because of the uncertainty of market prospect, the "disposal effect" of fund investors is the most obvious, and the phenomenon of "abnormal redemption" is also the most obvious. Finally, according to the theoretical analysis and empirical results, this paper puts forward relevant policy recommendations from the perspective of investors, fund companies, regulators and so on.
【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;F224

【引证文献】