做空机制对我国股票基金绩效的影响研究

发布时间：2018-03-17 21:21

本文选题：股指期货　切入点：融资融券　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：长期以来我国股票市场只能做多,不能做空的单向交易机制严重制约了基金公司的风险管理,也阻碍了基金公司的创新和发展。经中国证监会批准,2010年3月31日融资融券正式交易试点,同年4月16日,沪深300期货合约在中金所上市交易,这两项业务的推出标志着我国股票市场做空机制的形成。股指期货和融资融券都属于市场做空机制,对我国股票市场具有里程碑式的意义。对我国基金公司而言,做空机制的推出既是机遇又是挑战。利用股指期货和融资融券,基金公司可以派生出更加多样化的投资策略,带来有效的风险管理和流动性管理手段,并引发国内资产管理业整体格局的重大转变。本文在系统回顾做空机制对股票市场以及对基金行业影响的相关研究文献基础上,分别讨论了股指期货和融资融券对主动型股票基金和被动型指数基金这两种投资风格股票型基金的影响及程度,并结合我国股票市场的实际状况对这两种类型基金参与股指期货和融资融券的状况进行了总结。在此基础上,本文通过数据包络分析(DEA)模型对这两类基金在做空机制推出前后的绩效进行了研究对比,并结合Malmquist指数对做空机制推出后这两类基金绩效变化情况的原因进行了探析。文章发现,在做空机制推出之后,被动型指数基金绩效表现有了一定的提高,其中交易型指数基金(ETF)的绩效状况更是有了明显的改善。产生这种变化的主要原因在于,做空机制推出后其规避市场下跌系统性风险能力的提升以及风险收益率的提高。相比之下,主动型股票基金在做空机制引入后的绩效表现以及风险管理能力方面的变化程度不高。由此可见,在我国股票市场做空机制推出初期,监管层对参与做空有着比较严格的限制背景下,参与程度较低的主动型股票基金尚未有效利用新的双边交易机制,参与程度较高的被动型指数基金尤其是交易型指数基金(ETF)的绩效以及风险管理能力在做空机制推出后有了明显提升。
[Abstract]:For a long time, the one-way trading mechanism of our stock market, which can only be long and not short, has seriously restricted the risk management of fund companies. It also hindered the innovation and development of fund companies. With the approval of the China Securities Regulatory Commission (CSRC), the formal trading of margin and short securities was carried out in March 31st 2010. In April 16th of the same year, the CSI 300 futures contract was listed and traded in CICC. The introduction of these two businesses marks the formation of the short-selling mechanism in China's stock market. Both stock index futures and margin trading belong to the short-selling mechanism of the market, which is of landmark significance to the stock market of our country. The introduction of short selling mechanism is both an opportunity and a challenge. By using stock index futures and margin financing, fund companies can derive more diversified investment strategies, resulting in effective risk management and liquidity management. And triggered a major change in the overall pattern of domestic asset management industry. Based on a systematic review of the effects of shorting mechanism on the stock market and the fund industry, This paper discusses the influence and degree of stock index futures and margin financing on the active stock fund and the passive index fund respectively. Combined with the actual situation of China's stock market, the paper summarizes the participation of these two types of funds in stock index futures and margin financing. Based on the data Envelopment Analysis (DEAA) model, this paper studies and compares the performance of these two types of funds before and after the short selling mechanism is launched, and analyzes the causes of the changes in the performance of these two types of funds after the introduction of the short selling mechanism in combination with the Malmquist index. It is found that the performance of passive index funds has been improved after the short selling mechanism was introduced, and the performance of the transaction index fund ETF has been improved obviously. The main reason for this change is that, After the introduction of the short selling mechanism, its ability to avoid the market falling systemic risk and the rate of return on risk are improved. The performance performance and risk management ability of the active stock funds after the introduction of the short-selling mechanism are not high. It can be seen that in the initial stage of the short selling mechanism in our stock market, Against the background of more stringent restrictions on participation in short selling, active equity funds with lower participation levels have not yet made effective use of the new bilateral trading mechanism. The performance and risk management ability of passive index funds with higher participation, especially the transaction index fund ETF, have been significantly improved after the short selling mechanism was launched.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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