本文關(guān)鍵詞：中國(guó)開(kāi)放式基金交易策略研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 開(kāi)放式基金 交易策略 慣性交易策略 反轉(zhuǎn)交易策略

【摘要】：證券投資基金業(yè)在我國(guó)近年來(lái)取得了非�？焖俚陌l(fā)展,截止2012年12月,我國(guó)資本市場(chǎng)中共有各類基金管理公司70家,管理各類投資基金1208支,管理各類基金資產(chǎn)凈值近3萬(wàn)億元,持有股票市值超過(guò)1.4萬(wàn)億元,是中國(guó)內(nèi)地股票市場(chǎng)的第一大機(jī)構(gòu)投資者,在中國(guó)股票市場(chǎng)具有舉足輕重的作用,因此對(duì)我國(guó)開(kāi)放式基金的交易策略進(jìn)行研究具有重大的理論與現(xiàn)實(shí)意義。 本文以開(kāi)放式基金為例,對(duì)我國(guó)開(kāi)放式基金的交易策略、開(kāi)放式基金交易策略強(qiáng)度與指數(shù)收益的關(guān)系、開(kāi)放式基金與QFII的交易策略比較分析等幾個(gè)方面進(jìn)行了系統(tǒng)的研究,得到了以下主要結(jié)論： 1、我國(guó)普通股票型、偏股型、平衡與偏債型及指數(shù)型四類開(kāi)放式基金普遍采取了顯著的慣性交易策略,前三類基金的交易策略基本趨同,就基金的交易策略而言這幾類基金并不具備十分顯著的差異性。 2、指數(shù)上漲階段大量新基金的建倉(cāng)行為并不是導(dǎo)致我國(guó)不同類型開(kāi)放式基金的慣性交易策略的主要原因,我國(guó)基金管理人自身的交易行為才是導(dǎo)致不同類型開(kāi)放式基金采取慣性交易策略的主要原因。 3、在指數(shù)上漲階段,開(kāi)放式基金的交易策略指標(biāo)明顯增強(qiáng),“追漲”的慣性交易策略顯著；在指數(shù)下跌階段,開(kāi)放式基金的交易策略指標(biāo)明顯減弱,有時(shí)甚至采取“抄底”的反轉(zhuǎn)交易策略。 4、通過(guò)對(duì)開(kāi)放式基金與QFII在我國(guó)證券市場(chǎng)交易策略的對(duì)比研究,本文發(fā)現(xiàn),QFII和開(kāi)放式基金在我國(guó)證券市場(chǎng)均采取了顯著的慣性交易策略,而這種“追漲殺跌”的行為也在一定程度上加劇了我國(guó)證券市場(chǎng)的波動(dòng)水平。兩類機(jī)構(gòu)的交易策略指標(biāo)的強(qiáng)弱在不同季度具有較大的波動(dòng),早期普通股票型開(kāi)放式基金的交易策略指標(biāo)波動(dòng)幅度明顯大于QFII,后期普通股票型開(kāi)放式基金與QFII的交易策略指標(biāo)波動(dòng)幅度基本趨同。
[Abstract]:In recent years, the securities investment fund industry has made a very rapid development in our country. As of December 2012, there are 70 fund management companies and 1208 investment funds in the capital market of our country. With a net asset value of nearly 3 tillion yuan and holding more than 1.4 tillion yuan worth of shares, market value is the largest institutional investor in the mainland stock market and plays an important role in the Chinese stock market. Therefore, it is of great theoretical and practical significance to study the trading strategy of open-end funds in China. This article takes the open-end fund as an example, to our country open-end fund trading strategy, the open-end fund trading strategy intensity and the index income relations. This paper makes a systematic study on the trading strategies of open-end funds and QFII, and obtains the following main conclusions: 1. Four types of open-end funds in China, such as ordinary stock type, partial stock type, balance and debt type and index type, generally adopt the inertial trading strategy, and the first three kinds of funds' trading strategies basically converge. In terms of fund trading strategies, these funds do not have very significant differences. 2. The large number of new fund positions in the rising stage of the index is not the main reason for the inertial trading strategy of different types of open-end funds in China. The exchange behavior of fund managers in China is the main reason for different types of open-end funds to adopt inertia trading strategy. 3, in the stage of index rising, the trading strategy index of open-end fund is obviously strengthened, and the inertial trading strategy of "chasing up" is obvious; In the stage of index decline, the index of trading strategy of open-end fund is obviously weakened, and sometimes it even adopts "bottom-cutting" reverse trading strategy. 4. Through the comparative study of the trading strategies of open-end funds and QFII in China's securities market, this paper finds that both QFII and open-end funds have adopted significant inertial trading strategies in China's securities market. But this kind of behavior of "chasing after rising and killing down" also intensifies the fluctuation level of China's securities market to a certain extent. The strength and weakness of the trading strategy index of two kinds of institutions have great fluctuation in different quarters. The volatility of the trading strategy index of the early ordinary open-end stock fund is obviously larger than that of the QFII.The fluctuation range of the trading strategy index of the general open equity fund and the QFII is similar in the later stage.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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