我国基金流量与股票市场收益互动关系研究

发布时间：2018-03-06 06:54

本文选题：基金流量　切入点：开放式基金　出处：《湖北大学》2013年硕士论文　论文类型：学位论文

【摘要】：经过十余年的快速发展,我国的开放式基金已经成为股票市场上最大的机构投资者,随着我国开放式基金规模的不断扩大,类型的不断完善,开放式基金与股票市场之间的相互联系与影响也逐渐引起了广泛的关注与研究。本文从基金流量与股票市场收益之间的关系入手,选取2006年第一季度至2012年第四季为研究期间,从我国的股票型基金,混合型基金,债券型基金以及货币市场基金中选取研究样本,对我国开放式基金流量与股票市场收益之间的互动关系进行了全面的实证研究。在研究中我们主要关注了股票市场收益率与不同类型基金流量之间的相互影响以及基金流量的变动对股票市场波动性的影响。实证研究中我们主要用到VAR模型、脉冲响应函数、格兰杰因果检验和GARCH模型。研究结果表明,我国股票型基金与混合型基金的净现金流量与前一期的股票市场收益率正相关,我国股票型基金与混合型基金投资者存在反馈交易行为。同时我们还发现前一期股票型基金的净现金流量与当期的股票市场收益率正相关,这表明我国股票型基金流量对股票市场收益率具有压力效应。债券型基金与货币市场基金的流量变化无法由前期的股票市场收益率来解释,说明债券型基金与货币市场基金是相对独立于股票市场的投资品种,这在一定程度上可以起到稳定市场的作用。在基金流量对股票市场波动性的影响方面,我们发现在我国开放式基金规模快速扩大,基金流量呈现大规模净流入时,我国的股票市场的波动性明显高于基金流量的稳定期。最后在本文研究结论的基础上,我们就如更好的何促进我国开放式基金与股票市场和谐稳定的发展提出了相关政策建议。
[Abstract]:After more than ten years of rapid development, open-end funds in China have become the largest institutional investors in the stock market. With the continuous expansion of the scale and type of open-end funds in China, The relationship and influence between the open-end fund and the stock market has gradually aroused extensive attention and research. This paper starts with the relationship between the fund flow and the stock market returns, and selects the fourth quarter of in the first quarter of 2006 to 2012 as the research period. From the stock funds, mixed funds, bond funds and money market funds in China, this paper makes a comprehensive empirical study on the interaction between the flow of open-end funds and the return of the stock market. In the research, we mainly focus on the interaction between the return rate of stock market and the flow of different types of funds, and the influence of the change of fund flow on the volatility of stock market. In the empirical study, we mainly use the VAR model. Impulse response function, Granger causality test and GARCH model. The results show that the net cash flow of equity funds and hybrid funds is positively correlated with the return of stock market in the previous period. At the same time, we also find that the net cash flow of the stock fund in the previous period is positively related to the return rate of the stock market in the current period. This indicates that the stock fund flow has a pressure effect on the stock market yield, and the change of the bond fund flow and the money market fund flow can not be explained by the stock market yield. It shows that bond funds and money market funds are relatively independent of the stock market, which can stabilize the market to some extent. We find that the volatility of China's stock market is obviously higher than that of the stable period of fund flow when the scale of open-end funds expands rapidly and the fund flow presents a large net inflow. Finally, on the basis of the conclusion of this paper, we put forward some policy suggestions on how to promote the harmonious and stable development of open-end fund and stock market in China.
【学位授予单位】：湖北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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