基金申赎流量影响因素的实证研究

发布时间：2018-01-20 11:40

本文关键词： 开放式基金基金申赎赎回悖论影响因素　出处：《哈尔滨工业大学》2013年博士论文　论文类型：学位论文

【摘要】：开放式基金具有份额的开放机制，投资者可以根据基金的业绩表现情况决定其申购和赎回行为。投资者的申购和赎回行为会对基金规模造成直接影响。通过对基金申赎流量的分析和研究，能够帮助我们了解基金投资人群体的投资行为特征，这些有利于基金公司提升其投资管理能力并做好基金销售相关的市场营销工作，清楚基金投资者的申赎行为特征能够为可能出现的大规模的基金申购和赎回做好事前防备，以便及时地采取相应的应对措施，从而能够及时有效地减少基金投资管理过程中可能面临的流动性风险；此外，通过对基金投资人行为特征的了解，基金营销人员能够做出正确的营销方式，减少因不正确的营销方式给公司到来的损失。本文在总结以往文献的基础上，构建了多个基金申购赎回流量指标，并分别从单基金、总基金、分类基金三个角度探讨了基金申购赎回流量的时间序列特征，并采用面板数据模型分析了市场因素、基金自身表现特性以及投资者情绪等对单基金申赎流量的静态分析，在此基础上，本文着重分析了市场因素、基金业绩和资金流动间的动态关系并阐释了各类基金的差异性。时间序列分析发现，首先，基金申购行为表现出惯性，基金当期的申购份额受到前期申购行为的影响明显。其次，长期趋势上看，各类基金赎回份额表现情况基本一致平稳，但各类基金申购份额变化情况存在明显差异，随着时间的延续，投资者更倾向于投资于股票型基金。但基金历史的资金流动只能一定程度上解释基金后期资金流动的趋势，而对于其波动方面的特征无法有效刻画。因此，后文的重点就是通过三大类影响因素对基金申赎流量进行解释，分别讨论了单基金、总基金和分类基金间的不同特征。单基金申赎流量分析能发掘市场因素和基金自身因素的影响，对基金微观管理具有实际价值。总基金申赎流量分析则更关注基金市场和股票市场的关联性，对于关注整个基金市场资金流动情况的证券市场监管层和投资者具有借鉴作用。分类基金的影响分析能反映不同类型基金的特性对于其流量的影响。三个层次的划分能够对我国证券投资基金市场作出整体、全面的分析，使得文章更具有系统性。通过面板模型对单基金申赎流量影响因素的分析，发现单基金申赎流量受到基金投资策略、投资者结构以及市场因素等方面的影响，首先，基金当期收益率越高，会导致基金资金的大量流出，这与部分学者已有的研究结论较为一致，基金收益越好反而导致净赎回，说明国内基金存在“赎回悖论”。这不利于发挥开放式基金“优胜劣汰”的机制，会在一定程度上制约基金市场的健康发展。其次，基金持有资产中股票比例越高越能促进基金资金的流入，说明国内投资者对收益的偏好强于对风险规避的意识。再次，基金现金比例越高同样能够促进资金的流入，说明投资者倾向于基金持有一定的现金比例以保证自己的正常赎回。最后，通过分析投资者申赎份额与其滞后期的统计分析发现，投资者的申赎行为均存在一定的惯性，即投资者前期的申赎行为会正向影响之后的申赎情况。此外，透过对基金投资者不同类型的划分，我们发现过多的个人投资者可能是造成处置效应和赎回悖论的根源。而运用VAR模型对总基金和分类基金中资金流动、基金业绩、市场收益率的动态分析发现：（1）基金市场存在较强的羊群效应，投资者的申购、赎回份额在受到自身脉冲冲击后均出现一个正向的增长，已有基金投资者的投资行为引导基金市场后续投资者的资金流动方向。（2）总体基金的流量受到基金历史收益率的影响，从分离的申购、赎回行为上，基金历史收益较好并未能引起投资者更大范围的申购，但能抑制已有的基金投资者的赎回。（3）市场收益率的影响并不总是正向的。（4）基金申赎流量、基金自身收益率和股票市场收益对自身的波动处于主导地位，但长期来看，基金申赎流量对基金自身收益率和股票市场收益他们的影响有所增加。而针对不同类型的基金，虽然整体上上述结论依然成立，，但也存在一定的差异性。
[Abstract]:The opening mechanism of open-end fund share, investors can decide according to the performance of the fund's purchase and redemption behavior. Investors purchase and redemption will have a direct impact on the size of the fund. Through the analysis and research of the fund flow, investment behavior can help us understand the fund investor groups, which is conducive to to enhance the fund's investment management ability and make the fund sales related marketing work, clear characteristics of redemption behavior of fund investors can do a good prepare for the purchase and redemption of fund scale may arise, so as to timely take corresponding measures, so as to reduce the liquidity risks in fund investment management process effectively; in addition, the fund investor behavior, fund marketers can make it The exact way of marketing reduces the loss to the company due to the incorrect way of marketing.
Based on the summary of previous literature on the construction of a number of fund subscription and redemption flow index, and separately from the single fund total fund, three point classification of the fund to explore the characteristics of time series of purchase and redemption of the flow and the analysis of the market factors using panel data model, the fund itself and investor sentiment on static characteristics the analysis of single fund flow, on this basis, this paper analyzes the factors of market, fund performance and cash flow of the dynamic relationship between the fund and explain the differences. Time series analysis found that, first, fund purchase behavior inertia, influence the current fund share purchase by the pre purchase behavior is obvious. Second, the long-term trend, various types of fund redemption share performance is consistent and stable, but there are significant differences in the changes of share purchase funds, along with the time Investors are more likely to invest in equity funds. However, the flow of funds in history can only explain the trend of capital flow in the later stage of a fund to some extent, but the characteristics of its fluctuation can not be effectively depicted.
Therefore, the key is through the three major categories of influencing factors to explain the fund flow, the funds are discussed, different characteristics and classification of the total fund fund. The fund between single Shen can affect the explore market factors and their own factors for fund flow analysis, with the actual value of micro management association fund. The total fund flow analysis is more concerned about the fund market and the stock market, with reference to the attention of the whole fund market liquidity situation of the securities market regulators and investors. The influence can reflect the characteristics of different types of funds for the traffic impact analysis. The classification of fund is divided into three levels to make the whole of the market China's securities investment fund, comprehensive analysis, makes the article more systematic.
Through the panel model of the single factor analysis for the flow of funds and influence, found that a single fund flow by the fund's investment strategy, influence, investor structure and market factors etc. firstly, the higher the rate of current income fund, will lead to a large number of outflow of funds, which some scholars have concluded the consistent fund but lead to better earnings that domestic fund net redemption, the existence of "redemption paradox". This is not conducive to the mechanism of open-end fund "survival of the fittest", will restrict the fund market to a certain extent, the healthy development. Secondly, the fund holds assets in stock proportion of higher inflows can promote the fund of funds, domestic investors prefer to income is stronger than the risk aversion consciousness. Thirdly, the higher the proportion of fund cash inflows can also promote the funds, that fund investors tend to hold a certain The proportion of cash in order to ensure the normal redemption of their own. Finally, through the analysis of statistics of investors and share lag analysis found that investor redemption behavior has some inertia, namely investors pre foreclosure foreclosure cases will positively influence the later. In addition, the fund investors are divided into different types. We found that too many individual investors may be the root cause of the disposition effect and redemption paradox.
Using the VAR model of capital flow, and the total fund classification fund fund performance, dynamic analysis of market yields found: (1) the fund market herding effect is strong, investors in the purchase, redemption of shares by its own impulse occurred after a positive growth, the investment behavior of fund investors fund the flow direction of subsequent investors fund market. (2) the overall fund flow is affected by the historical returns of the fund rate, separated from the purchase, redemption, and good historical returns of the fund failed to cause investors greater purchase, redemption but can inhibit the existing fund investors. (3) effects of market returns. Is not always positive. (4) the fund flow, the volatility of fund return and stock market return on its own in a dominant position, but in the long term, the fund of fund since the fund flow The impact of personal income and stock market returns has increased. But for all kinds of funds, although the above conclusions are still valid, there are also some differences.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F830.91

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