市场状态与基金投资者赎回行为关系的研究

发布时间：2018-05-10 21:03

本文选题：市场状态 + 开放式股票型基金　；参考：《暨南大学》2014年硕士论文

【摘要】：本文采用2006至2012年季度资料，对中国开放式股票型基金投资者的赎回行为进行实证研究。相较于过去探讨中国基金投资者赎回行为的文献，本文不仅区分不同程度的获利(大赢与小赢)与亏损(小输与大输)，还更进一步研究了，在不同市场状态下，，基金投资者是否会发生不同型态的赎回行为。本文研究结果表明，在不同市场状态下，当基金投资者面对不同程度的获利与亏损时，的确会发生不同型态的赎回行为。例如：在多头市场状态，绩效为大赢时，发现基金投资者赎回大赢的意愿更低，即文献上所称赎回大赢意愿更低的私房钱效应；在盘整市场状态，绩效为小输时，基金投资者显著地积极赎回小输，即发生文献上所称积极赎回小输的逆处置效应；在多头市场状态，绩效为小输时，发现基金投资者赎回输家不显著，即文献上所称拙于赎回小输的处置效应；而在非多头市场状态(即空头市场状态与盘整市场状态)，绩效为大输时，基金投资者赎回大输显著，即发生文献上所称积极赎回大输的逆处置效应。由于基金投资者在不同的市场状态下，有着不同型态的赎回行为，这表示对基金投资者赎回行为的研究而言，区分市场状态是有必要的；而基金的相关决策者，亦可针对不同的市场状态制定不同的管理和投资策略，以提高基金市场的有效性。
[Abstract]:Based on the quarterly data from 2006 to 2012, this paper makes an empirical study on the redemption behavior of Chinese open-end equity fund investors. Compared with the literature on redemption behavior of Chinese fund investors in the past, this paper not only distinguishes between different degrees of profit (big win and small win) and loss (small loss and big loss), but also further studies, under different market conditions, Fund investors will have different types of redemption behavior. The results of this paper show that under different market conditions, when fund investors face different profits and losses, different redeeming behaviors do occur. For example, in the long market state, when the performance is a big win, it is found that the fund investors are less willing to redeem the big win, that is, the private property effect of the lower desire to redeem the big win, and in the consolidation market state, when the performance is a small loss, The fund investors significantly actively redeem the small losses, that is, the reverse disposal effect of the active redemption of the small losses referred to in the literature; in the long market state, the performance of the small losses, it is found that the fund investors redemption loss is not significant, That is to say, the disposal effect of non-bullish market (that is, short market state and consolidation market state) is worse than the disposal effect of redemption in the literature, but when the performance of the fund investor is a big loss, the fund investor loses significantly in redemption, and in the non-long market state (that is, the short market state and the consolidation market state), That is to say, the positive redemption of the reverse disposal effect occurred in the literature. Because fund investors have different types of redemption behavior under different market conditions, it means that it is necessary to distinguish the market state for the study of redemption behavior of fund investors, and the relevant decision makers of the fund, Different management and investment strategies can also be made according to different market conditions to improve the effectiveness of the fund market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】