我国证券投资基金业绩持续性研究——基于参数和非参数方法

发布时间：2018-03-10 08:20

本文选题：投资基金　切入点：参数方法　出处：《中南财经政法大学学报》2012年02期 　论文类型：期刊论文

【摘要】：基于2007～2010年间的数据,本文利用参数和非参数方法,对我国开放式证券投资基金中的股票型基金、混合型基金和债券型基金的绩效持续性进行了实证分析。结果表明,基于横截面回归的参数检验方法认为,我国的混合型基金业绩具有一定的持续性,而股票型基金与债券型基金的业绩持续性比较微弱。非参数方法中的Fisher精确检验法认为,我国的股票型基金、混合型基金、债券型基金的业绩都不具有明显的持续性。而卡方检验、交叉积比率检验与Spearman秩相关检验则认为我国股票型基金、混合型基金、债券型基金的绩效在特定时段具有持续性。结合参数检验的方法与非参数检验的方法来看,我国混合型基金业绩持续性要好于股票型基金的业绩,而债券型基金业绩持续性相对较差。
[Abstract]:Based on the data from 2007 to 2010, using parametric and non-parametric methods, this paper makes an empirical analysis of the performance sustainability of equity funds, hybrid funds and bond funds in China's open-end securities investment funds. The parameter test method based on cross section regression shows that the performance of hybrid funds in China has a certain degree of persistence, while the performance persistence of equity funds and bond funds is relatively weak. The performance of stock funds, hybrid funds and bond funds in China is not obviously sustainable. However, chi-square test, cross-product ratio test and Spearman rank correlation test suggest that China's stock funds, hybrid funds, The performance of bond funds is continuous in a certain period of time. According to the methods of parameter test and non-parameter test, the performance persistence of hybrid funds in China is better than that of equity funds. Bond fund performance sustainability is relatively poor.
【作者单位】：东北大学工商管理学院;
【分类号】：F224;F832.51

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