本文選題：開放式證券投資基金　切入點：流動性擇時　出處：《南京大學》2017年碩士論文　論文類型：學位論文

【摘要】：擇時能力作為衡量基金經(jīng)理投資能力的指標之一,是基金業(yè)績評價的重要指標,基金經(jīng)理通過市場收益和波動擇時來提高基金投資績效已經(jīng)廣為人知,通過預測市場未來市場變化,基金經(jīng)理可以通過調(diào)整其投資組合市場風險敞口從而達到獲取超額收益的目的。本文將從一個新穎的視角來探討基金的擇時能力——基金流動性擇時能力,即在預期未來市場流動性好轉(zhuǎn)時適時增加投資組合市場風險敞口,在預期未來市場流動性惡化時減少市場風險敞口的行為。市場流動性對于證券收益的影響顯而易見,2008年全球金融危機、2015年國內(nèi)股票市場"股災",這些例證告訴我們市場流動性的重要性。本文選取2012年至2016年我國股票市場的月度數(shù)據(jù),通過構建基于Fama-French三因子模型的基金流動性擇時模型,檢驗了我國開放式證券投資基金的流動性擇時能力,我們同時選取了 Amihud非流動性指標和換手率指標度量市場流動性水平,在控制了收益擇時、波動擇時以及被動流動性擇時的影響因素后,筆者得到了我國證券投資基金整體上具備顯著正向流動性擇時能力的結論,成長型基金的擇時能力顯著優(yōu)于價值型基金,而混合型基金的流動性擇時能力則小幅優(yōu)于股票型基金;同時我們還發(fā)現(xiàn)基金的流動性擇時能力具有非對稱的特征——基金通常在市場流動性變差時擁有更為優(yōu)異的流動性擇時能力。
[Abstract]:Timing ability as one of the indicators to measure the investment ability of fund managers, is an important index for the evaluation of fund performance, fund managers through market returns and volatility timing to improve the performance of investment fund has been well known, predict future market changes through the market, fund managers can adjust its portfolio market risk exposures to obtain excess returns to. In this paper, from a new perspective to explore the fund timing ability of fund liquidity timing ability, the flow is expected in the future market and increase investment portfolio market risk exposure of better, reduce market risk exposure is expected in the future market liquidity behavior deterioration. Market liquidity impact the stock returns obviously, the global financial crisis in 2008 2015, the domestic stock market "crash", these examples tell our market's liquidity Of the monthly data from 2012 to 2016, the stock market in our country, through the construction of fund liquidity selection Fama-French three factor model based on the model test, the liquidity choice of open-end funds in our country's ability, we also selected the Amihud non liquidity index and exchange rate index to measure the level of liquidity. In the control of the market return timing, factors affecting the volatility timing and passive liquidity timing, the author obtained the securities investment fund in China on the whole have significantly positive liquidity timing ability conclusion, growth Xing Ji gold timing ability was significantly better than the value of the fund, while liquidity alternative hybrid funds when the capacity is slightly better than equity fund; we also found that the liquidity fund selection ability has the characteristics of non symmetrical -- usually fund liquidity in the market have more variation Excellent fluidity timing ability.

【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51
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本文編號：1576029