我国QDII基金投资绩效影响因素分析

发布时间：2018-01-18 12:17

本文关键词：我国QDII基金投资绩效影响因素分析　出处：《广西大学》2017年硕士论文　论文类型：学位论文

【摘要】：合格境内机构投资者(QDII)是指在资本市场尚未完全开放下,在一国境内设立,经国家有关部门的批准,允许境内机构投资者投资境外资本市场的债券、股票等有价证券投资业务安排下的投资机构。目前,我国个人投资者不能直接到海外投资,只能通过QDII机构的产品间接到境外投资,QDII机构产品主要包括银行系QDII、基金系QDII(也称为QDII基金)、保险系QDII等,其中基金系QDII占比最大。因此,研究QDII基金海外投资的情况,对QDII基金投资绩效和风险进行评价,剖析投资绩效和风险的影响因素,对进一步完善QDII基金和QDII2发展具有理论价值和现实意义,可以为我国资本在海外开展金融投资提供经验。本文基于基金投资组合和跨国投资理论,分析了我国QDII基金发展情况,并与非QDII基金业绩进行对比评价,发现从2008-2015年,QDII基金投资绩效落后于非QDII基金。但2008年金融危机期间,QDII基金投资绩效要好于非QDII基金,且总体风险也较小。为了探究何种因素是影响QDII基金投资绩效和风险的主要因素,基于QDII基金的特点,本文选取人民币汇率、市场指数变化、行业集中度和区域集中度等四个重要指标,实证研究其对我国QDII基金投资绩效和风险的影响,在控制基金规模、基金家族规模、费用率、基金成立时间等变量后发现,总体上,人民币汇率、市场指数变化、行业集中度对QDII基金投资绩效显著为正,而区域集中度对基金绩效无显著影响。同时,还发现人民币汇率、市场指数变化、行业集中度和区域集中度对不同投资区域的影响存在差异。最后,在此基础上,从政府和监管机构、机构投资者、个人投资者等角度提出促进QDII发展的建议。
[Abstract]:QDII (qualified domestic Institutional Investor) is a bond that is established in the territory of a country under the condition that the capital market has not been completely opened, and the domestic institutional investor is allowed to invest in the overseas capital market with the approval of the relevant departments of the state. At present, individual investors in China can not directly invest overseas, but only indirectly invest overseas through the products of QDII institutions. QDII institutional products mainly include QDI, QDI, QDI (also known as QDII fund, insurance QDII, etc.), in which the proportion of QDII is the largest. This paper studies the overseas investment of QDII fund, evaluates the investment performance and risk of QDII fund, and analyzes the influencing factors of investment performance and risk. It is of theoretical value and practical significance to further improve the development of QDII fund and QDII2. This paper analyzes the development of QDII funds in China based on the theory of fund portfolio and transnational investment. Compared with the performance of non-QDII funds, it is found that the investment performance of QDII funds lags behind that of non-QDII funds from 2008 to 2015, but during the financial crisis in 2008. The investment performance of QDII fund is better than that of non-#en1# fund, and the overall risk is relatively small. In order to explore which factors are the main factors that affect the investment performance and risk of QDII fund. Based on the characteristics of QDII funds, this paper selects four important indicators, such as RMB exchange rate, market index change, industry concentration and regional concentration. Empirical study of its impact on the investment performance and risk of QDII funds in China, in the control of the size of the fund, fund family size, cost rate, fund establishment time and other variables found that, overall, the RMB exchange rate. Market index changes, industry concentration is significantly positive to the investment performance of QDII funds, but regional concentration has no significant impact on fund performance. At the same time, it is found that RMB exchange rate and market index change. The influence of industry concentration and regional concentration on different investment regions is different. Finally, on this basis, from the government and regulatory agencies, institutional investors. Individual investors and other points of view to promote the development of QDII proposals.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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