我国证券投资基金的技术效率研究

发布时间：2018-03-22 21:06

本文选题：证券投资基金　切入点：技术效率　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：效率是企业经营管理的核心,金融企业的效率不仅决定了其竞争力,而且对一国的金融市场乃至经济的有效运行有重要影响。经过二十多年来的发展,证券投资基金已成为我国金融市场上的主要机构投资者之一,对于稳定金融市场、合理分配经济资源和完善投资渠道有重要作用。然而近年来,我国基金业的整体业绩低迷,所以对基金绩效和影响因素的分析显得格外重要。同时,本文基金技术效率的分析是对于目前基金绩效考察标准的有效补充。本文采用随机前沿方法,以FF三因素模型作为生产函数,估计和分析了我国证券投资基金的技术效率。文章选取了截止到2011年12月基金市场存续过的1187只基金作为研究对象,采用2005年1月到2011年12月间的相关数据,通过构建合适的基金技术效率测算模型,分析并总结出我国证券投资基金行业不同市场环境下的总体效率,对比并分析了不同类型基金的技术效率。为研究技术效率的影响因素,本文从基金经理个人特质及基金本身特点两方面定义了包括学历、经验和基金报酬等12个解释变量,构建线性模型估计解释变量与技术效率的相关性,对基金技术效率的影响因素进行了分析。通过计算,本文得出我国证券投资基金业的技术效率并不高,在牛市、熊市和震荡市三种不同的市场环境下,整个基金业的技术效率分别为0.5737、0.479和0.768,说明我国基金业业绩还有很大程度依赖运气因素。另外,不同类型基金在不同市场环境下技术效率存在一定差异。通过构造研究影响基金技术效率的线性模型进行估计发现教育背景和薪酬水平等4个因素对技术效率的影响并不显著；基金经理任职基金数和基金规模等3个因素与技术效率旱负相向关系；证券从业经验和机构客户持有比等5个因素与基金技术效率正相关。在结构上,文章主体由七章组成。第一章为绪论,阐述了本文的选题背景、目的和意义：第二章回顾和讨论了国内外证券投资基金绩效研究的方法及相关文献,并阐述了技术效率及随机前沿模型研究的发展；第三章从制度完善、监管机制、市场特点等方面对我国证券投资基金发展的各阶段发展特点进行了回顾和分析；第四章解释了计算基金技术效率所采取的计量模型、估计方法、数据来源和计量处理等方面内容；第五章是文章的核心部分,给出了不同类型样本基金在布同市场环境下的技术效率评估的实证研究结果,并进行了理论解释。第六章建立多元回归模型研究了基金技术效率的影响因素。第七章是对文章的综述并总结了本文的创新和不足之处。
[Abstract]:Efficiency is the core of enterprise management. The efficiency of financial enterprises not only determines their competitiveness, but also has an important impact on the effective operation of a country's financial market and economy. Securities investment funds have become one of the main institutional investors in China's financial market, which plays an important role in stabilizing the financial market, rationally distributing economic resources and perfecting investment channels. However, in recent years, the overall performance of the fund industry in China has been depressed. Therefore, the analysis of fund performance and influencing factors is particularly important. At the same time, the analysis of fund technical efficiency is an effective supplement to the current evaluation standard of fund performance. In this paper, we use the stochastic frontier method and FF three-factor model as the production function to estimate and analyze the technical efficiency of China's securities investment funds. This paper selects 1187 funds that have existed in the fund market until December 2011 as the research object. Based on the relevant data from January 2005 to December 2011, this paper analyzes and summarizes the overall efficiency of China's securities investment fund industry under different market conditions by constructing a suitable fund technical efficiency measurement model. This paper compares and analyzes the technical efficiency of different types of funds. In order to study the influencing factors of technical efficiency, this paper defines 12 explanatory variables, including education, experience and fund compensation, from two aspects: personal characteristics of fund manager and fund itself. A linear model is constructed to estimate the correlation between the explanatory variables and the technical efficiency, and the influencing factors of the technical efficiency of the fund are analyzed. Through calculation, this paper concludes that the technical efficiency of China's securities investment fund industry is not high, in the bull market, bear market and shock market three different market environment, The technical efficiency of the whole fund industry is 0.5737 / 0.479 and 0.768 respectively, which indicates that the performance of China's fund industry is still largely dependent on the factors of luck. There are some differences in technical efficiency among different types of funds in different market environment. By constructing a linear model to estimate the technical efficiency of funds, it is found that four factors, such as educational background and salary level, have no significant effect on technical efficiency. The number and size of funds held by fund managers are negatively related to the technical efficiency, and five factors, such as securities experience and institutional customer holding ratio, are positively related to the technical efficiency of funds. In structure, the main body of the article is composed of seven chapters. The first chapter is the introduction, which expounds the background, purpose and significance of this paper. The second chapter reviews and discusses the methods and related documents of the research on the performance of securities investment funds at home and abroad. The third chapter reviews and analyzes the characteristics of the development of China's securities investment fund from the aspects of system perfection, supervision mechanism, market characteristics and so on. The fourth chapter explains the measurement model, estimation method, data source and measurement processing used to calculate the technical efficiency of the fund. Chapter 5 is the core part of the article. The empirical results of technical efficiency evaluation of different types of sample funds in the same market environment are given. The sixth chapter establishes the multiple regression model to study the influencing factors of fund technical efficiency. The seventh chapter is a summary of the article and summarizes the innovation and shortcomings of this paper.
【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;F224

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