我国开放式证券投资基金业绩及其影响因素研究

发布时间：2018-11-09 14:00

【摘要】：2001年9月,“华安创新”——我国第一只开放式证券投资基金在华安基金管理公司正式成立,这标志着我国基金业的发展由之前的单一封闭式基金到封闭式、开放式并行发展的新局面,从此,我国的开放式基金实现了飞速发展,逐渐取代封闭式基金成为我国基金市场发展的中坚力量。在开放式证券投资基金已经成为我国广大家庭居民重要的投资理财工具的背景下,本文以广大投资者最关心的基金收益为研究对象,分析基金收益情况及其影响因素。本文借鉴国外学者的研究方法和研究经验,首先梳理了各种不同的基金业绩评价指标,查看在不同的业绩评价指标下,基金的业绩排名是否存在一致性。再结合我国开放式证券投资基金发展的现状和证券市场的实际情况,选取2006年成立的,至今仍在运作的59只基金作为样本。研究时间区间为2007年至2016年,根据研究内容的不同,选取月收益,季收益或者年收益作为研究对象。选取一年期定期存款利率作为无风险收益率。根据样本基金的投资方向和业绩比较基准,选取“沪深300指数收益率*80%+中证国债指数收益率*20%”作为市场基准收益率。运用经典的TM模型和HM模型对样本基金在十年间的季收益进行实证分析,分析样本基金是否具有选股能力和市场择时能力。采用参数检验的横截面分析法,分析样本基金在不同的时间区段(季度,年度,三年期,五年期)下,是否具有业绩持续性。同样采用参数检验的横截面分析法,分析基金费用对基金业绩的影响。最后根据实证分析的结果,得出结论,并根据我国资本市场的实际情况,对基金投资者和管理者提出相关的建议。
[Abstract]:In September 2001, "Hua'an Innovation", the first open-end securities investment fund in China, was formally established in Hua'an Fund Management Company, which marked the development of China's fund industry from a single closed-end fund to a closed-end fund. Since then, China's open-end funds have achieved rapid development and gradually replaced closed-end funds as the backbone of the development of China's fund market. Under the background that the open-end securities investment fund has become an important investment and financing tool for the majority of Chinese family residents, this paper analyzes the fund income situation and its influencing factors, taking the fund income that the majority of investors are most concerned about as the research object. This paper draws lessons from the research methods and experiences of foreign scholars, first of all, combs the various fund performance evaluation indicators to see if there is consistency in the performance ranking of the fund under different performance evaluation indicators. Combined with the development of open-end securities investment funds in China and the actual situation of the securities market, 59 funds which were established in 2006 and are still in operation are selected as samples. The period of time is from 2007 to 2016. According to the different contents of the study, monthly income, quarterly income or annual income are selected as the research objects. The one-year term deposit rate is chosen as the risk-free rate. According to the investment direction and performance comparison benchmark of the sample fund, the "Shanghai and Shenzhen 300 index yield * 80% China Treasury bond index yield * 20%" is selected as the market benchmark yield. By using the classical TM model and HM model, this paper makes an empirical analysis on the quarterly returns of the sample funds in the past ten years, and analyzes whether the sample funds have the ability to select stocks and market timing. The cross-section analysis method of parameter test is used to analyze whether the sample fund has performance continuity in different time periods (quarterly, annual, three-year, five-year). The cross section analysis method of parameter test is also used to analyze the influence of fund cost on fund performance. Finally, according to the results of empirical analysis, the conclusion is drawn, and according to the actual situation of China's capital market, the relevant suggestions to fund investors and managers are put forward.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】