基于市场波动下的开放式基金行业配置效率研究

发布时间：2018-02-05 21:37

本文关键词： 行业配置配置效率基金业绩市场波动　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：虽然证券投资基金仅仅经历了短短13年的发展，但却逐渐成为了资本市场上的中坚力量。截止至2013年12月，开放式基金的数量更是高达1516只，产品种类繁多，基金管理公司面临着几乎完全竞争的市场。如何提升业绩，从而吸引更多的客户资源，成为了他们不得不回答和探索的问题。基金业绩是基金管理公司的声誉，越来越多的研究也表明，基金公司业绩越好，其获得的基金净流入量越多。而在提升业绩的诸多因素中，行业配置则是不得不提的因素，理论界直接给出诸多进行行业配置方法，而基金管理公司也越来越注重行业配置。然而，国内却较少见到行业配置对基金业绩的影响及影响程度研究，，更别提从市场波动的角度，进一步考察行业配置对基金业绩的影响及影响程度，而这正是进行基金进行行业配置并且更好地进行行业配置的前提假设。基于此，本文将选取我国开放式基金作为研究对象，采用了理论研究与实证研究相结合的研究方法，选取了2006年1月1日之前成立的55只股票型开放式基金作为研究样本，以2006年至2012年为全样本研究期间，对开放式基金行业配置效率进行考察和研究，并将本文的市场波动界定为市场周期下的牛市、熊市及震荡市，从而分市场环境，更深入地对行业配置效率进行研究。首先，本文基于行业配置效率定义，构建了行业配置效率指标，对基金行业配置效率进行定量分析，并从全样本期间、分市场环境对行业配置效率进行了检验，通过实证得出，我国开放式基金的行业配置效率显著为正。再次，在对行业配置效率测算后，本文进一步实证研究基金行业配置效率对基金业绩的影响及影响程度，并对模型进行了稳健性检验，结果表明，基金的行业配置效率对基金业绩具有显著为正的影响，但贡献度较低。其次，本文进一步考察了市场波动下基金的行业配置效率对基金业绩的影响，结果发现，在市场波动下，行业配置效率对基金业绩依旧均有显著为正的影响，在牛市期间，行业配置效率对基金业绩具有较大的贡献。最后，结合现有的研究及当前资本市场的现状，本文为基金管理公司提供了可行性的建议。
[Abstract]:Although the securities investment fund has experienced only just 13 years of development, it has gradually become the backbone of the capital market. As of December 2013, the number of open-end funds is as high as 1516, a wide range of products, the fund management company is facing almost completely competitive market. How to improve the performance, in order to attract more customer resources, as they have to answer and to explore issues. The fund performance is the fund management company's reputation, more and more research also shows that the fund performance is better, the fund net inflows more. In many factors to improve the performance of the industry configuration is to mention, given the direct theory many of the industry sector allocation method, and fund management companies also pay more attention to the industry configuration. However, the domestic industry configuration have seldom seen the impact on the fund's performance and impact Not to mention, from the perspective of market volatility, we need to further investigate the impact of industry allocation on fund performance and the extent of its impact, which is the premise hypothesis for fund allocation and better allocation of industry.
Based on this, this article will select the open-end fund in our country as the research object, uses the research method of combining theoretical research and empirical research, selected 55 open-end funds established before January 1, 2006 as the research sample, from 2006 to 2012 during the full sample research, investigation and Study on the allocation efficiency of the open the fund industry, and the market volatility is defined as the market cycle of the bull market, bear market and shock the city, to the market environment, more in-depth research on the industry allocation efficiency. Firstly, this paper based on the definition of industry allocation efficiency, build industry allocation efficiency index, quantitative analysis on the allocation efficiency of the fund industry, and from the full sample period, market environment to test the efficiency of the allocation of industry, through empirical analysis, the allocation efficiency of China's open-end fund industry is significantly positive. Again, in the The industry allocation efficiency, allocation efficiency of this paper further empirical research on the fund industry impact on fund performance and the influence, and the model of the robust test results show that the efficiency of the allocation of funds, the industry has a significant positive impact on fund performance, but the contribution is low. Secondly, this paper further investigates the influence. The allocation efficiency of market volatility fund industry fund performance results in market volatility, industry allocation efficiency of fund performance still have significant positive effects, in the bull market period, industry allocation efficiency has great impact on fund performance. Finally, combined with the present situation of research and the current capital market in this paper. Provide feasible suggestions for the fund management company.

【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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