我国证券投资基金市场择时与风格转换能力研究

发布时间：2018-02-21 07:02

本文关键词： 基金市场择时能力风格转换流动性　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：基金市场择时能力,是指基金经理根据不同的市场条件,调整自己的资产组合头寸,从而降低成本并提高收益的能力。择时能力分为正择时和负择时,前者定义为根据市场条件调高自己的市场头寸,后者定义为根据市场条件调低自己的市场头寸;一般情况下,正的择时能力可以使基金经理获得超额收益,而负的择时能力会降低基金经理的收益水平。根据不同的市场条件,市场择时能力可以分为市场收益择时、波动择时和流动性择时等。其中,市场收益择时和波动择时的理论研究已较为成熟,近年来较多的是针对不同国家与地区的实证研究;而国内学者也借鉴国外的研究经验,在现有的理论基础上,结合我国的特殊国情与市场特征,对我国的基金市场进行了实证研究。流动性择时方面的研究较少,现有研究均采用日度数据进行实证回归;到目前为止,还未见使用高频数据进行的相关检验。将流动性选择能力与基金的股票规模偏好以及价值、增长偏好相结合的风格转换能力研究则相对更少,仍需进一步拓展。研究基金市场的择时能力对考察基金业绩有重要的意义,同时也是分析基金经理行为的重要特征之一。本文在Fama(1993)三因子模型的基础上,通过加入不同市场条件与市场收益的交互项进行回归分析,分别从基金整体层面和组合层面,对我国股票型基金市场的市场收益择时能力、波动择时能力、流动性择时能力和投资风格转换能力进行了研究。三因子中的市场因子与规模因子可以较好地解释我国基金市场的收益。择时检验结果发现,在基金整体层面上,我国股票型基金市场存在显著为正的市场收益择时能力和显著为负的流动性择时能力;并且在市场买方流动性高和卖方流动性高的时期,流动性择时能力均显著为负。除此之外,我国股票型基金市场具有显著为负的流动性风格转换能力,即在市场流动性好的时候,倾向于向增长股靠拢,且主要选择市场买方流动性高的时期。在波动率与股票规模风格转换方面,则未发现显著的择时能力。在基金组合层面上,我国股票型基金市场同样具有显著为正的市场收益择时能力和显著为负的流动性择时能力。但与基金整体层面不同的是,波动择时能力的回归结果显著为正,流动性负择时能力则主要来自于买方流动性高的市场情形。另外,虽然在总体模型中并未发现显著的投资风格转换能力,但当市场上更多地由买方发起交易时,基金组合层面具有显著为负的股票价值风格转换能力,即倾向于向增长股靠拢;当市场上更多地由卖方发起交易时,则具有显著为正的股票规模风格转换能力,即倾向于向小盘股靠拢。此外,三因子中的市场因子与规模因子可以较好地解释基金组合层面的收益。
[Abstract]:The market timing ability of funds refers to the ability of fund managers to adjust their portfolio positions according to different market conditions so as to reduce costs and improve returns. The timing ability is divided into positive timing and negative timing. The former is defined as raising one's market position according to market conditions, while the latter is defined as reducing one's market position according to market conditions. According to different market conditions, market timing ability can be divided into market income timing, volatility timing and liquidity timing. The theoretical research on market return timing and volatility timing has been more mature. In recent years, many empirical studies have been conducted in different countries and regions, and domestic scholars have also used foreign research experience for reference, based on the existing theories. Combined with the special national conditions and market characteristics of our country, this paper makes an empirical study on the fund market in China. There are few studies on liquidity timing, and the existing studies use daily data to carry out empirical regression. There is no correlation test using high-frequency data. There is less research on style conversion ability combining liquidity selection ability with fund's stock size preference and value, growth preference. It is important to study the timing ability of fund market, which is also one of the important characteristics of analyzing fund managers' behavior. Through the regression analysis of the interaction between the different market conditions and the market returns, the paper analyzes the market income timing ability and the volatility timing ability of the stock fund market in China from the overall level and the combination level, respectively. The paper studies the liquidity timing ability and investment style conversion ability. The market factor and scale factor in the three factors can explain the income of China's fund market. The results of timing test show that, on the overall level of the fund, the market factor and the scale factor in the three factors can better explain the income of the fund market in our country. There are significant positive market income timing ability and significantly negative liquidity timing ability in the stock fund market in China, and in the period of high market buyer liquidity and seller liquidity, In addition, China's stock fund market has a significantly negative liquidity style conversion ability, that is, when market liquidity is good, it tends to move closer to growth stocks. In the aspect of volatility and stock scale style conversion, there is no significant timing ability. At the level of fund portfolio, the main choice is the period of high liquidity of the market buyer. The stock fund market in China also has the positive market income timing ability and the significantly negative liquidity timing ability, but different from the fund overall level, the regression result of volatility timing ability is significantly positive. The negative timing ability of liquidity mainly comes from the market situation where the buyer is highly liquid. In addition, although no significant ability of investment style conversion is found in the overall model, when the buyer initiates the transaction more frequently in the market, The fund portfolio has the ability to convert significantly negative equity value style, that is, tend to move closer to the growth stock; when the market is more initiated by the seller, it has the ability to convert significantly positive equity scale style. In addition, the market factor and scale factor in the three factors can better explain the income of the fund portfolio.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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