中美制度差异与开放式基金的绩效对比研究

发布时间：2018-01-12 07:11

本文关键词：中美制度差异与开放式基金的绩效对比研究　出处：《中原工学院》2014年硕士论文　论文类型：学位论文

【摘要】：在二十一世纪，中国的金融市场取得了迅猛的发展，投资者的风险意识和承受能力逐渐增强，对收益水平亦有了更高的追求。投资者需要有金融工具把分散的资金集中运用，因此，证券投资基金就应运而生。而近年来，中国基金市场发展陷入了“瓶颈期”，学者研究表明，我国基金制度的不完善是导致这种局面的一个重要原因，制度改革的呼声越来越高。在美国，投资基金已经发展了一百多年，基金规模是世界最大也是最发达的，同时其监管制度也是最行之有效的，美国基金市场丰富的经验和科学、系统的理论方法都是值得中国借鉴的。因此，中国证券投资基金与美国证券投资基金在绩效是否存在差异，监管制度有哪些不同，我国哪些基金制度需要改进，这些都具有十分重要的研究意义。而在现代金融市场中，股票开放式基金是一个最为重要的基金产品类型，在所有的基金中占据了亦有十分重要的地位。因此，本文是以股票开放式基金为研究对象。论文首先对中美两国的基金制度进行差异分析，在这样制度差异的背景下，对中美基金绩效进行对比评价，一般基金绩效评价需要从以下三个方面进行：（1）利用风险调整收益指标（三大经典指数）对基金业绩的大小进行衡量；（2）评价基金经理的择时选股能力；（3）考察基金业绩是否具备持续性。本文对中美两国股票开放式基金业绩评价的研究也从以上三项展开。实证结果显示：中美基金制度在熊市、牛市、平衡市时均存在不同程度的差异，且美国基金绩效整体表现优于中国基金。再次，将中美制度差异量化，对基金绩效的成因进行回归分析，，考察制度因子对基金绩效的影响是否显著，结果显示：持股集中度（控制变量）、持有一种股票的比例上限、其余制度因子对基金绩效存在不同程度的影响。最后，提出中国基金应提高基金经理的自由度和加大投资者保护力度的对策建议。
[Abstract]:In twenty-first Century, Chinese financial market has made rapid development, investors' risk awareness and ability to gradually increase, income levels also have higher pursuit. Investors need to have financial tools to use, centralized and decentralized funds, securities investment funds have emerged. In recent years, the development of fund market in China the "bottleneck", the research shows that China's fund system is one of the important causes of this situation, the system reform more and more high. In the United States, investment fund has developed for more than 100 years, the size of the fund is the world's largest and most developed at the same time, the regulatory system is the most effective. The United States fund market experience and science, the system theory and the method are worthy of reference China. Therefore, China securities investment fund and securities investment fund performance in the United States If there is a difference, what are the different supervision system in our country, which fund system needs to be improved, which has very important research significance. In the modern financial market, the Stock Open-end Fund is one of the most important types of fund products, in all funds accounted for also has a very important position. Therefore, this paper is based on the Stock Open-end Fund as the research object. Firstly, analyses the differences between the fund system of the two countries, in such institutional differences under the background of Sino US comparative evaluation of fund performance, the general fund performance evaluation is needed from the following three aspects: (1) the risk adjusted returns index (three classic index) to measure the performance of the fund size; (2) evaluate the fund manager's stock picking and timing ability; (3) investigate whether they have sustained performance of the fund. The two Sino US Stock Open-end Fund Study on the performance evaluation of gold launched from more than three. The empirical results show that: the Sino US fund in a bear market, the bull market, there exist differences of balance of the city, and the overall performance is better than the performance of the fund China fund. Once again, the US system difference quantization, regression analysis of the causes of the fund performance, the influence of system the factor of fund performance is significant, the results showed that the concentration of ownership (control variables), hold a stock proportion limit, other institutional factors have different effect on the fund performance. Finally, the fund should Chinese countermeasures to improve the fund manager's freedom and increase investor protection.

【学位授予单位】：中原工学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F837.12

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