中国证券投资基金动量、反转交易行为的实证研究

发布时间：2018-01-06 11:13

本文关键词：中国证券投资基金动量、反转交易行为的实证研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：动量效应、反转效应、日历效应、规模效应、市盈率效应等金融异象极大地挑战了现代金融学理论,尽管有学者试图从风险角度对其进行解释,但实证研究发现,即使经过风险调整,动量效应仍显著存在。在传统金融学无法给出合理解释的背景下,行为金融学理论立足于投资者实际决策过程,从心理认知偏差的角度对投资者的交易行为及其导致的金融异象加以解释,并形成了系统的理论模型。既然动量效应、反转效应普遍存在于股票市场,那么,专业的基金管理人如何利用这一“异象”调整资产组合成为大家关注的焦点。因此,本文在回顾了中国证券投资基金发展历史的基础上,简要分析其交易行为的特点。在实证研究方面,本文以2004年第四季度至2012年第三季度基金交易数据作为研究样本,采用Badrinath and Wahal改进的GTW模型分析中国证券投资基金动量、反转策略倾向。实证结果表明,与Grinbaltt等人的研究结果不同,中国的证券投资基金整体表现为反转交易者,且倾向于买入过去表现好的股票,卖出时也选择过去表现好的股票,即“高买高卖”。此外,本文还分析了不同投资风格(成长型、价值型、平衡型)、不同市场状态(牛市、熊市、震荡调整期)下基金交易策略的不同。发现价值型基金有最强烈的“高买高卖”意向,且基金在震荡调整期的动量、反转指标最低。在此研究基础上,本文用spearman等级相关系数检验方法分别计算三个衡量基金绩效的指标(时间加权收益率、夏普指数、詹森指数)与ITM指标的相关性。出于统计数据可得性的考虑,本文选用国泰安数据库“基金评价指标”中的“周度数据近三年评价文件”相关数据,分析2010年第三季度至2012年第三季度基金绩效指标与ITM的相关性。发现基金根据上一季度的股票价格变动情况采取“高买高卖”的策略有助于提升投资业绩,根据个股两个季度前的表现采取的策略对基金绩效的影响视其评价指标的不同而不同。另一方面,除了基金买入上个季度表现好的股票(追涨)这一策略与时间加权收益率、夏普指数这两个基金业绩之间存在显著正相关的关系、买入两个季度前表现好的股票与根据夏普指数计算的基金绩效指标有显著负相关关系以外,没有证据证明其他的投资策略与基金各绩效指标之间存在显著相关关系。最后,本文提出了相关的政策建议。主要有：(1)加快完善市场做空机制。以真正起到起到平抑股市波动性、提高流动性及加快价值发现的作用。(2)完善基金评价体系,注重其长期表现。(3)提高上市公司门槛,并完善强制退市机制,以提高证券市场整体质量。
[Abstract]:Financial anomalies, such as momentum effect, reversal effect, calendar effect, scale effect, price-earnings ratio effect, have greatly challenged the modern financial theory, although some scholars have tried to explain it from the perspective of risk. However, the empirical study found that even after risk adjustment, momentum effect still exists significantly. Under the background that traditional finance can not give a reasonable explanation, behavioral finance theory is based on the investors' actual decision-making process. From the perspective of psychological cognitive bias, this paper explains the trading behavior of investors and the financial anomalies caused by it, and forms a systematic theoretical model. Since momentum effect, reversal effect exists generally in the stock market, how the professional fund managers use this "vision" to adjust the portfolio has become the focus of attention. On the basis of reviewing the development history of China's securities investment funds, this paper briefly analyzes the characteristics of its trading behavior. This paper takes the fund trading data from in the fourth quarter of 2004 to in the third quarter of 2012 as the research sample. Badrinath and Wahal improved GTW model is used to analyze the momentum of Chinese securities investment funds and the trend of reverse strategy. The empirical results show that. Different from the research results of Grinbaltt and others, Chinese securities investment funds as a whole behave as reverse traders, and tend to buy stocks with good performance in the past, and also choose the stocks that performed well in the past when they sell. In addition, this paper also analyzes the different investment styles (growth, value, balance, different market conditions (bull market, bear market). It is found that the value fund has the strongest intention of "buying high and selling high", and the momentum of the fund in the period of shock adjustment is the lowest. On the basis of this study, this paper uses the spearman rank correlation coefficient test method to calculate three indicators (time-weighted return, sharp index) to measure the performance of the fund. The correlation between Jensen index and ITM index. In view of the availability of statistical data, this paper selects the relevant data of "cycle data in recent three years evaluation document" in Cathay Pacific database "Fund Evaluation Index". This paper analyzes the correlation between fund performance index and ITM from in the third quarter of 2010 to in the third quarter of 2012. It is found that the fund adopts "high buying and high selling" according to the stock price change in the last quarter. The strategy helps to improve investment performance. According to the performance of the stock two quarters ago, the impact of the strategy on the performance of the fund varies according to its evaluation index. On the other hand. In addition to the strategy of funds buying stocks that performed well in the last quarter (catch-up) and time-weighted yields, there is a significant positive correlation between the performance of the Sharp index and the performance of the two funds. Buying stocks that performed well two quarters ago had a significant negative correlation with the Fund's performance indicators based on the Sharp Index. There is no evidence that there is a significant correlation between other investment strategies and fund performance indicators. Finally, this paper puts forward the relevant policy recommendations. There are mainly 1: 1) accelerate the improvement of the market short-selling mechanism in order to play a real role in stabilizing the volatility of the stock market. Improving liquidity and accelerating the discovery of value. 2) perfecting the fund evaluation system, paying attention to its long-term performance, raising the threshold of listed companies, and perfecting the forced delisting mechanism in order to improve the overall quality of the securities market.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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