我国封闭式基金和上市型开放式基金量价间的波动溢出效应研究
发布时间：2019-05-24 23:08
【摘要】：20世纪90年代初我国第一只封闭式基金上市。随着规范证券投资基金交易法律法规的颁布，我国证券投资基金逐步迈上了成熟和规范的发展道路。2010年以来互联网金融和大资产管理模式的快速发展，联网金融平台与基金管理公司的成功合作，为我国证券投资基金市场带来了第二次高速发展的时期。 在新的时代环境背景下，大量涌现出创新型基金产品，如上市型开放基金（LOF）、指数基金（ETF）等，给基金管理者、资本市场监管者和机构投资者把握基金交易运行规律提出了新的要求。本文以我国封闭式基金和上市型开放式基金价格和交易量之间的联动关系为出发点，试图以实证检验和理论分析相结合的方法解决我国证券投资基金的以下问题：第一，我国封闭式基金、上市型开放式基金（LOF）的价格和交易量存在怎样的联动关系？第二，我国封闭式基金、上市型开放式基金的价格和交易量之间存在何种形式的波动溢出效应？第三，我国封闭式基金价格和交易量之间的波动溢出效应是否区别于LOF基金的价格和交易量之间的波动溢出效应？ 本文首先对封闭式基金、LOF基金价格和交易量之间的联动关系进行多元回归分析。在多元回归分析的基础上，通过二元BEKK-GARCH模型对价格和交易量之间的波动溢出效应进行初步估计。然后再通过建立Wald系数检验的模式，对我国封闭式基金和LOF基金价格和交易量之间的波动溢出效应进行二次检验，最终确定价格和交易量之间波动溢出的效应的传递方向。 基于上述方法和思路，本文选择了12只封闭式基金样本和27只开放式基金样本进行实证研究，，得到以下研究结论：第一，我国封闭基金价格和交易量之间存在基于信息的关联关系，并且价格和交易量对彼此的影响并不一致，非预期的当期交易量的变动对价格的变动具有较强的解释力度，非预期的正向价格变动对当期交易变化影响显著。第二，我国封闭式基金价格和交易量之间存在显著的双向波动溢出效应，但是LOF基金价格和交易量之间的波动溢出效应方向并不一致。 文章最后在总结了本文研究结论的基础上，结合互联网金融和大资管时代不断发展的现状，从基金管理者、投资者和监管者等方面就如何完善我国基金市场的发展提出了相关对策建议。
[Abstract]:In the early 1990 s, the first closed-end fund was listed in China. With the promulgation of laws and regulations regulating the trading of securities investment funds, China's securities investment funds have gradually embarked on a mature and standardized development path. Since 2010, the rapid development of Internet finance and large asset management model. The successful cooperation between networked financial platform and fund management company has brought the second period of rapid development of securities investment fund market in China. In the context of the new era, a large number of innovative fund products, such as the listed open fund (LOF), index fund (ETF) and so on, have emerged to fund managers. Capital market regulators and institutional investors have put forward new requirements to grasp the operation law of fund transactions. Based on the linkage relationship between the price and trading volume of closed-end funds and listed open-end funds in China, this paper tries to solve the following problems of securities investment funds in China by means of empirical test and theoretical analysis. What is the linkage relationship between the price and transaction volume of closed-end fund and listed open-end fund (LOF) in China? Second, what form of volatility spillover effect exists between the price and trading volume of closed-end funds and listed open-end funds in China? Third, is the volatility spillover effect between the price and trading volume of closed-end funds in China different from the volatility spillover effect between the price and trading volume of LOF funds? In this paper, the linkage relationship between closed-end fund, LOF fund price and transaction volume is analyzed by multiple regression analysis. On the basis of multivariate regression analysis, the volatility spillover effects between price and trading volume are estimated by binary BEKK-GARCH model. Then, by establishing the model of Wald coefficient test, the volatility spillover effect between the price and trading volume of closed-end fund and LOF fund in China is tested twice, and the transmission direction of volatility spillover effect between price and trading volume is finally determined. Based on the above methods and ideas, this paper selects 12 closed-end fund samples and 27 open-end fund samples for empirical research, and draws the following conclusions: first, There is an information-based relationship between the price and trading volume of closed funds in China, and the influence of price and trading volume on each other is not consistent. The unexpected change of current trading volume has a strong explanation for the change of price. Unexpected positive price changes have a significant impact on current trading changes. Secondly, there is a significant two-way volatility spillover effect between closed-end fund price and trading volume in China, but the direction of volatility spillover effect between LOF fund price and trading volume is not the same. Finally, on the basis of summing up the conclusions of this paper, combined with the continuous development of Internet finance and large capital management era, from the fund managers, Investors and regulators put forward some countermeasures and suggestions on how to improve the development of China's fund market.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
本文编号：2485263
[Abstract]:In the early 1990 s, the first closed-end fund was listed in China. With the promulgation of laws and regulations regulating the trading of securities investment funds, China's securities investment funds have gradually embarked on a mature and standardized development path. Since 2010, the rapid development of Internet finance and large asset management model. The successful cooperation between networked financial platform and fund management company has brought the second period of rapid development of securities investment fund market in China. In the context of the new era, a large number of innovative fund products, such as the listed open fund (LOF), index fund (ETF) and so on, have emerged to fund managers. Capital market regulators and institutional investors have put forward new requirements to grasp the operation law of fund transactions. Based on the linkage relationship between the price and trading volume of closed-end funds and listed open-end funds in China, this paper tries to solve the following problems of securities investment funds in China by means of empirical test and theoretical analysis. What is the linkage relationship between the price and transaction volume of closed-end fund and listed open-end fund (LOF) in China? Second, what form of volatility spillover effect exists between the price and trading volume of closed-end funds and listed open-end funds in China? Third, is the volatility spillover effect between the price and trading volume of closed-end funds in China different from the volatility spillover effect between the price and trading volume of LOF funds? In this paper, the linkage relationship between closed-end fund, LOF fund price and transaction volume is analyzed by multiple regression analysis. On the basis of multivariate regression analysis, the volatility spillover effects between price and trading volume are estimated by binary BEKK-GARCH model. Then, by establishing the model of Wald coefficient test, the volatility spillover effect between the price and trading volume of closed-end fund and LOF fund in China is tested twice, and the transmission direction of volatility spillover effect between price and trading volume is finally determined. Based on the above methods and ideas, this paper selects 12 closed-end fund samples and 27 open-end fund samples for empirical research, and draws the following conclusions: first, There is an information-based relationship between the price and trading volume of closed funds in China, and the influence of price and trading volume on each other is not consistent. The unexpected change of current trading volume has a strong explanation for the change of price. Unexpected positive price changes have a significant impact on current trading changes. Secondly, there is a significant two-way volatility spillover effect between closed-end fund price and trading volume in China, but the direction of volatility spillover effect between LOF fund price and trading volume is not the same. Finally, on the basis of summing up the conclusions of this paper, combined with the continuous development of Internet finance and large capital management era, from the fund managers, Investors and regulators put forward some countermeasures and suggestions on how to improve the development of China's fund market.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
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