我国交易型开放式指数基金绩效的实证研究

发布时间：2018-03-16 07:33

本文选题：交易型开放式指数基金　切入点：因子分析　出处：《东北农业大学》2014年硕士论文　论文类型：学位论文

【摘要】：在我国称之为交易型开放式指数基金的基金,在国外被称作交易所交易基金,其英文名称为Exchange-Traded Funds,在以后文章中我们将其简称为ETF。ETF兼具了开放式基金和封闭式基金的种种优点,同时也是一种被动型的指数基金。ETF相较于传统类型的指数基金,它具有更好的复制效果,更低廉的成本,更强的流动性,更为简单易行的买卖方式,此外,它还有传统类型指数基金所缺乏的套利机制,因此,它对于投资者来说更具有吸引力。我国交易型开放式指数基金虽然比发达国家的水平低一筹,但是伴随着交易型开放式指数基金产品的不断创新,其交易热度将会不断提升,交易型开放式指数基金的市场前景将会一片光明。随着交易型开放式指数基金的优越性的逐渐体现,其受到越来越多的人们的关注。但是交易型开放式指数基金品种纷繁复杂,而针对其建立的评价体系也不够全面完整,本文从基金评价的各个角度出发,以期全面地对交易型开放式指数基金进行评价,为投资者合理选择投资对象提供建议,并对逐步提高我国交易型开放式指数基金市场的运作效率提供一些建议。本文对我国交易型开放式指数基金进行研究,在对国内外基金评价的理论文献进行梳理的基础上,对交易型开放式指数基金的定义特点以及绩效评价的理论基础进行阐述,进一步揭示了我国交易型开放式指数基金发展的历程,并且从品种、流动性以及投资者情况三个方面揭示我国交易型开放式指数基金的现状,并且以2011年至2013年的日度数据作为研究样本,以择时与选股能力、风险水平、风险调整收益水平以及收益水平这四个方面对我国成熟的交易型开放式指数基金进行单独评价并排序,而后运用SPSS17.0软件中的主成分分析法对样本进行总体绩效排名,为投资者提供投资建议。本文结合我国交易型开放式指数基金的现实状况,从提高其绩效并完善发展其市场的角度方面,对进一步完善我国交易型开放式指数基金提出了以下对策建议：提高基金管理公司分散风险的能力和加强我国交易型开放式指数基金的择时能力、扩大我国交易型开放式指数基金相关产品品种、提高我国交易型开放式指数基金的流动性以及大力培养更多类型的投资者参与投资。
[Abstract]:In our country, it is called the traded open-ended index fund, and in foreign countries it is called the exchange-traded fund, whose English name is Exchange-Traded funds. In the following article, we call it ETF.ETF which has the advantages of both open-end fund and closed-end fund. It is also a passive index fund. ETF compared with the traditional type of index fund, it has better replication effect, lower cost, stronger liquidity, easier way to buy and sell, in addition, It also has the arbitrage mechanism that traditional types of index funds lack, so it is more attractive to investors. But with the innovation of open index fund products, its trading heat will increase. The market prospect of open index fund will be bright. With the superiority of open index fund, more and more people pay attention to it. However, the variety of open index fund is complicated. As the evaluation system is not comprehensive enough, this paper, from the perspective of fund evaluation, aims to evaluate the open index fund in order to provide suggestions for investors to choose the right investment object. Some suggestions are provided for improving the operating efficiency of China's open-end index fund market. In this paper, we study the open index fund of transaction type in our country. On the basis of combing the theoretical literature of fund evaluation at home and abroad, we expound the characteristics of the definition of open index fund of transaction type and the theoretical basis of performance evaluation. It further reveals the course of the development of China's transactional open-end index fund, and reveals the current situation of China's transactional open-end index fund from three aspects: variety, liquidity and investor situation. And taking the daily data from 2011 to 2013 as the research sample, to choose the time and the stock selection ability, the risk level, The risk-adjusted income level and the return level separately evaluate and rank the mature open traded index funds in China, and then use the principal component analysis method in the SPSS17.0 software to rank the overall performance of the samples. Provide investment advice to investors. Based on the reality of China's transactional open-end index fund, this paper aims at improving its performance and developing its market. This paper puts forward the following countermeasures and suggestions to further improve China's transactional open-end index funds: to improve the ability of fund management companies to disperse risks and to strengthen the timing ability of China's transactional open-end index funds. To expand the variety of products related to open index funds, to improve the liquidity of open index funds and to train more types of investors to participate in investment.
【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【共引文献】