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  本文關(guān)鍵詞：中國證券投資基金的交易策略及其影響因素研究　出處：《電子科技大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 封閉式基金 開放式基金 動量交易策略 反轉(zhuǎn)交易策略 GTW模型 面板Logit模型

【摘要】：證券投資基金在我國證券市場中占據(jù)重要地位,其一舉一動對證券市場產(chǎn)生著巨大影響。隨著基金的不斷發(fā)展壯大,其對證券市場的影響力與日俱增,基金的投資行為對證券市場的影響力也大大提升。因此,對證券投資基金的交易策略及其影響因素的研究具有重要意義。 本文首先采用中國證券市場證券投資基金2000-2010年的數(shù)據(jù)以及改進的GTW模型,分別以“季度”和“半年”為一個考察期,從動量和反轉(zhuǎn)交易策略的角度對我國證券投資基金的投資行為進行了研究。研究發(fā)現(xiàn),我國證券投資基金在投資過程中大都采取了動量交易策略,同時,證券投資基金在采取動量交易策略時呈現(xiàn)出明顯的不對稱性特點,即大都傾向于“追漲”,而“殺跌”并不顯著。雖然我國證券投資基金的整體投資趨同性較強,但是相對來說開放式基金的投資趨同性比封閉式基金強。 本文還采用面板Logit模型對影響證券投資基金選擇交易策略(動量或反轉(zhuǎn))的因素進行了分析。結(jié)果表明,基金上期的交易策略對當期交易策略的選擇存在正的影響,即如果基金經(jīng)理上期選擇了動量(反轉(zhuǎn))交易策略,那么當期選擇動量(反轉(zhuǎn))交易策略的概率更大,但是封閉式基金經(jīng)理受上期交易策略的影響更顯著；基金經(jīng)理的從業(yè)經(jīng)歷越長、基金上期業(yè)績排名越靠前越傾向于選擇反轉(zhuǎn)交易策略,并且其對開放式基金經(jīng)理是否選擇動量交易策略的影響更顯著；市場行情、基金的投資風格以及基金規(guī)模對證券投資基金是否選擇動量交易策略的影響并不明顯。
[Abstract]:The securities investment fund plays an important role in the securities market of our country, and its every move has a great influence on the securities market. With the development of the fund, its influence on the securities market is increasing day by day. Therefore, it is of great significance to study the trading strategies of securities investment funds and their influencing factors. This paper first uses the data of securities investment funds in China's securities market from 2000 to 2010 and the improved GTW model, taking "quarter" and "half a year" respectively as an investigation period. This paper studies the investment behavior of China's securities investment funds from the perspective of momentum and reverse trading strategies. It is found that most of our securities investment funds adopt momentum trading strategies in the process of investment, and at the same time. When adopting momentum trading strategy, securities investment funds show obvious asymmetry, that is, most of them tend to "chase up". Although the overall investment convergence of China's securities investment funds is relatively strong, the investment convergence of open-end funds is stronger than that of closed-end funds. The paper also uses panel Logit model to analyze the factors that affect the choice of trading strategy (momentum or inversion) of securities investment funds. The results show that. The trading strategy of the fund in the previous period has a positive influence on the choice of the trading strategy of the current period, that is, if the fund manager chooses the momentum (reversal) trading strategy in the last period. Then the probability of choosing momentum (reversal) trading strategy in the current period is greater, but the closed-end fund manager is more significantly affected by the trading strategy of the previous period. The longer the working experience of fund managers, the higher the ranking of fund performance, the more inclined to choose reverse trading strategy, and its impact on whether the open-end fund managers choose momentum trading strategy is more significant; Market prices, fund investment style and fund size on whether securities investment funds choose momentum trading strategy is not obvious.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1369358