基金流量与基金投资行为——基于动态面板数据模型的实证研究

发布时间：2018-06-25 23:54

本文选题：基金流量 + 基金投资行为　；参考：《金融研究》2012年04期

【摘要】：本文通过引入基金流量变量,对中国证券投资基金是否稳定市场这一争议性命题进行解析,挖掘中国基金经理投资行为"异质性"背后的基金申赎行为因素,试图从基金流量引发基金经理资产配置动态调整的视角对中国证券投资基金"是否行为理性"这一重要命题进行重新诠释。在实证过程中,本文构建动态面板模型对2006～2010年股票型开放式基金季度数据进行估计,检验结果表明我国证券投资基金投资行为受到基金流量的显著影响,基金持有人行为对基金经理投资行为具有冲击效应,并直接影响到基金经理的策略选择和资产组合调整。结合研究结论,本文提出推进中国版"401K"计划,优化基金持有人结构,合理引导基金投资者行为,减小基金异常申赎行为对市场波动性的传递效应等政策建议。
[Abstract]:By introducing fund flow variables, this paper analyzes the controversial proposition of whether Chinese securities investment funds are stable in the market, and excavates the factors behind the "heterogeneity" of Chinese fund managers' investment behavior. This paper attempts to reinterpret the important proposition of "whether or not behavioral rationality" of Chinese securities investment funds from the perspective of fund flow and fund managers' dynamic adjustment of asset allocation. In the empirical process, this paper constructs a dynamic panel model to estimate the quarterly data of equity open-ended funds from 2006 to 2010. The test results show that the investment behavior of securities investment funds in China is significantly affected by the fund flow. The behavior of the fund holder has the impact on the investment behavior of the fund manager and has a direct impact on the strategy choice and portfolio adjustment of the fund manager. Combined with the conclusion of the research, this paper puts forward some policy suggestions such as promoting the "401K" plan in China, optimizing the structure of fund holders, reasonably guiding the behavior of fund investors, and reducing the transmission effect of abnormal foreclosure behavior on market volatility.
【作者单位】：复旦大学金融研究院;
【基金】：国家自然科学基金项目“股市震荡、基金行为与市场质量”(课题批准号:70973023)的研究成果
【分类号】：F832.51

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