市场情绪对开放式基金申赎流量的影响分析

发布时间：2018-05-18 02:26

本文选题：市场情绪 + 开放式基金申赎流量　；参考：《上海金融》2012年02期

【摘要】：本文利用我国106只开放式基金的季度流量数据分析了市场情绪对基金申赎流量的影响。文章首先建立了单基金流量影响因素的面板数据模型,结果显示市场情绪对单基金的申赎流量有显著的正向影响。股票市场收益率提高时,投资者会增加对基金的申购,但会倾向于选择大基金公司旗下、历史业绩好的小盘基金。此外,投资者在购买基金时,并不考虑基金类型、基金投资组合的差异,但会受到上一期基金净流量的影响,表明基金投资者存在着一定程度的羊群行为。106只基金季度净流量和与ADR指标之间的脉冲反应函数显示,市场情绪与基金净流量之间存在不对称影响,基金流量对市场情绪的影响要强于市场情绪对于基金申购赎回行为的影响。市场情绪增强时,资金流入基金的速度经过了先放慢后增加的反应过程;但资金流入基金速度的增加会直接、显著地提升市场情绪,表明我国股票市场属于资金推动型,股票的价格和市场情绪更多地受到资金进出的影响。这说明基金流量可以作为反映市场情绪高低的指标。
[Abstract]:Based on the quarterly flow data of 106 open-end funds in China, this paper analyzes the influence of market sentiment on foreclosure flows. In this paper, the panel data model of the influencing factors of single fund flow is established, and the results show that market sentiment has a significant positive effect on the foreclosure flow of single fund. When stock market yields rise, investors will increase their applications for funds, but will prefer smaller, historically performing funds owned by large fund companies. In addition, when buying a fund, investors do not take into account the type of fund, the difference in the fund's portfolio, but will be affected by the net flow of the fund in the previous period. The results show that there is a certain degree of herding behavior and impulse response function between fund quarterly net flow and ADR index, which indicates that there is asymmetric influence between market sentiment and fund net flow. The influence of fund flow on market sentiment is stronger than that on fund requisition and redemption. When the market sentiment intensifies, the speed of the fund inflow into the fund goes through the reaction process of slowing down first and then increasing, but the increase of the fund inflow speed will directly raise the market sentiment, which indicates that the stock market in our country belongs to the fund drive type. Stock prices and market sentiment are more affected by capital flows in and out. This shows that the flow of funds can be used as a reflection of the high and low market sentiment indicators.
【作者单位】：北京邮电大学经济管理学院;中国人民银行;中国政法大学商学院;
【分类号】：F832.51

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