我国股票型开放式基金赎回影响因素的实证研究

发布时间：2018-04-18 13:00

本文选题：股票型开放式基金 + 赎回　；参考：《南京大学》2013年硕士论文

【摘要】：自2001年9月以来,我国开放式基金迅猛发展,已经成为我国金融市场的重要投资品种之一。截止到2012年12月31日,开放式基金有1149只,总资产高达28068.20亿元,远超封闭式基金的599.11亿元,占到整个基金净资产规模的98%。但与此同时,我国开放式基金也出现了大量的赎回现象,给基金的管理运作和整个资本市场的稳定带来了不利影响。如果能知道影响开放式基金投资者赎回的影响因素,从而做出预判和准备,就能有效降低损失。所以,研究投资者赎回行为的影响因素就显得非常重要。股票型开放式基金又是开放式基金的重要组成部分,截止到2012年12月31日,我国共有开放式基金1149只,其中普通股票型开放式基金有521只,占45.34%。而且相对于其他类型的基金,股票型开放式基金在样本数据方面有着天然的优势,所以本文主要研究股票型开放式基金。国外大多数的研究表明基金业绩越好,越能吸引资金流入,减少赎回行为,相反,基金业绩越差,赎回越多,资金流出越明显。而国内的很多研究表明：自2001年我国开放式基金成立以来,“赎回异象”普遍存在,即基金越好、赎回越多。本文试图对我国股票型开放式基金赎回的影响因素进行实证分析,发现影响投资者赎回行为的重要因素,并以此来对基金监管部门、基金管理人以及基金投资者提出相关政策建议。本文主要运用了描述性统计以及面板数据实证分析的研究方法。首先对可能影响投资者赎回行为以及资金现金流的因素进行分析,主要因素包括：证券市场走势、基金业绩、基金分红、基金规模、基金成立时间、基金投资者结构、投资者持股集中度。然后对这些可量化的变量进行面板数据回归,验证各个因素对投资者赎回行为的影响方向以及程度。最后的实证结果表明：基金业绩越好、基金分红力度越大、基金规模越小、基金成立时间越长、基金持股集中度越低、机构投资者占比越低,股票型开放式基金的赎回越少,资金流越多。本文最重要的结论就是我国的股票型开放式基金不存在“赎回困惑”,这与前人的研究结论相反。造成结论不同的原因可能有三大方面：(1)前人研究的样本数据较老,容易受我国开放式基金发展处于起步阶段,尚不成熟规范,投资者较不理性等等因素的影响。而本文的研究数据截止到了2012年第3季度,数据较新、更加充足,而且横跨了两个牛熊市周期。此外,随着时间的推移,我国的开放式基金发展更加完善,投资者也更加理性、更具经验。所以本文的研究结论应当更具有说服力。(2)本文采用了滞后一期开放式基金年度收益率代表开放式基金的业绩,而不是大多数研究者采用的季度回报率。说明本文关注的是中长期收益率,而非短期收益率。变量定义的不同造成基金业绩衡量的不同,进而使得研究结论相反。
[Abstract]:Since September 2001, China's open-end funds have developed rapidly and become one of the most important investment products in our financial market.As of December 31, 2012, there were 1149 open-end funds, with total assets as high as 2.80682 trillion yuan, far more than the 59.911 billion yuan of closed-end funds, accounting for 98% of the total net assets of the fund.However, at the same time, a large number of open-end funds have been redeemed in our country, which has brought adverse effects to the management and operation of the funds and the stability of the whole capital market.If we can know the factors that affect the redemption of open-end fund investors, we can effectively reduce the loss.Therefore, it is very important to study the influencing factors of investors'redemption behavior.As of December 31, 2012, there are 1149 open-end funds in China, of which 521 are ordinary open-end funds, accounting for 45.34.And compared with other types of funds, equity open-end funds in the sample data has a natural advantage, so this paper mainly studies equity open-end funds.Most studies abroad show that the better the performance of the fund, the more it can attract the inflow of funds and reduce the redemption behavior. On the contrary, the worse the performance of the fund, the more redemption, and the more obvious the outflow is.However, many domestic studies show that since the establishment of open-end funds in China in 2001, "redemption anomalies" are widespread, that is, the better the funds, the more redemption.This paper attempts to make an empirical analysis on the influencing factors of redemption of stock open-end funds in China, and find out the important factors that affect the redemption behavior of investors.Fund managers and fund investors put forward relevant policy recommendations.This paper mainly uses descriptive statistics and panel data empirical analysis methods.First of all, the paper analyzes the factors that may influence investors' redemption behavior and cash flow. The main factors include: stock market trend, fund performance, fund dividend, fund size, fund establishment time, fund investor structure.Degree of concentration of investor holdings.Then these quantifiable variables are analyzed by panel data regression to verify the direction and extent of each factor influencing investor redemption behavior.The final empirical results show that the better the performance of the fund, the greater the dividend, the smaller the fund size, the longer the fund is established, the lower the concentration of the fund's shareholding, the lower the proportion of institutional investors, the less the redemption of the open-end stock fund.The more money flows.The most important conclusion of this paper is that there is no "redemption puzzle" in China's stock open-ended funds, which is contrary to the previous research conclusions.There may be three major reasons for the different conclusions: 1) the sample data of previous studies are older, which are easily influenced by the factors of the development of open-end funds in China, such as the initial stage, immature norms, irrational investors, and so on.In the third quarter of 2012, the data were relatively new, more abundant and straddling two bull bear cycles.In addition, with the passage of time, the development of open-end funds in China is more perfect, and investors are more rational and more experienced.Therefore, the conclusion of this paper should be more persuasive. 2) this paper adopts the annual return rate of open-end funds to represent the performance of open-end funds, rather than the quarterly rate of return adopted by most researchers.This paper focuses on medium and long-term returns, not short-term returns.The different definition of variables makes the fund performance measurement different, and then makes the research conclusion contrary.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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