發(fā)布時(shí)間：2018-03-06 18:42

  本文選題：開(kāi)放式證券投資基金　切入點(diǎn)：流動(dòng)性擇時(shí)　出處：《南京大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：擇時(shí)能力作為衡量基金經(jīng)理投資能力的指標(biāo)之一,是基金業(yè)績(jī)?cè)u(píng)價(jià)的重要指標(biāo),基金經(jīng)理通過(guò)市場(chǎng)收益和波動(dòng)擇時(shí)來(lái)提高基金投資績(jī)效已經(jīng)廣為人知,通過(guò)預(yù)測(cè)市場(chǎng)未來(lái)市場(chǎng)變化,基金經(jīng)理可以通過(guò)調(diào)整其投資組合市場(chǎng)風(fēng)險(xiǎn)敞口從而達(dá)到獲取超額收益的目的。本文將從一個(gè)新穎的視角來(lái)探討基金的擇時(shí)能力——基金流動(dòng)性擇時(shí)能力,即在預(yù)期未來(lái)市場(chǎng)流動(dòng)性好轉(zhuǎn)時(shí)適時(shí)增加投資組合市場(chǎng)風(fēng)險(xiǎn)敞口,在預(yù)期未來(lái)市場(chǎng)流動(dòng)性惡化時(shí)減少市場(chǎng)風(fēng)險(xiǎn)敞口的行為。市場(chǎng)流動(dòng)性對(duì)于證券收益的影響顯而易見(jiàn),2008年全球金融危機(jī)、2015年國(guó)內(nèi)股票市場(chǎng)"股災(zāi)",這些例證告訴我們市場(chǎng)流動(dòng)性的重要性。本文選取2012年至2016年我國(guó)股票市場(chǎng)的月度數(shù)據(jù),通過(guò)構(gòu)建基于Fama-French三因子模型的基金流動(dòng)性擇時(shí)模型,檢驗(yàn)了我國(guó)開(kāi)放式證券投資基金的流動(dòng)性擇時(shí)能力,我們同時(shí)選取了 Amihud非流動(dòng)性指標(biāo)和換手率指標(biāo)度量市場(chǎng)流動(dòng)性水平,在控制了收益擇時(shí)、波動(dòng)擇時(shí)以及被動(dòng)流動(dòng)性擇時(shí)的影響因素后,筆者得到了我國(guó)證券投資基金整體上具備顯著正向流動(dòng)性擇時(shí)能力的結(jié)論,成長(zhǎng)型基金的擇時(shí)能力顯著優(yōu)于價(jià)值型基金,而混合型基金的流動(dòng)性擇時(shí)能力則小幅優(yōu)于股票型基金;同時(shí)我們還發(fā)現(xiàn)基金的流動(dòng)性擇時(shí)能力具有非對(duì)稱的特征——基金通常在市場(chǎng)流動(dòng)性變差時(shí)擁有更為優(yōu)異的流動(dòng)性擇時(shí)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(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51
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本文編號(hào)：1576029