本文選題：溢出效應(yīng)　切入點(diǎn)：明星策略　出處：《浙江大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：如今,基金管理公司已成為我國證券投資市場的重要參與主體,基金也成為投資者的重要投資選擇。為了深入探究基金市場的運(yùn)行規(guī)律和基金家族的經(jīng)營策略,更好地保護(hù)投資者的權(quán)益和提高整個資本市場的運(yùn)行效率,本文從研究基金家族的資金流與基金評級的關(guān)系著手,逐步深入地研究了明星基金的明星效應(yīng)和溢出效應(yīng)的存在性,以及基金家族明星策略的有效性和運(yùn)作機(jī)制等問題。 本文主要采用定量分析與模型檢驗相結(jié)合的方法對問題進(jìn)行分析。首先,分別從基金家族和基金個體層面分析了資金流與基金評級的關(guān)系,驗證了明星基金的明星效應(yīng)與溢出效應(yīng)的存在性。然后,構(gòu)建logit模型研究了基金家族明星策略的存在性和有效性問題。接下來,為了深入探討基金家族實行明星策略的運(yùn)行方式,本文通過研究基金家族的交叉補(bǔ)貼行為,為其明星策略的具體運(yùn)作方式提供解釋依據(jù)。 本文創(chuàng)新性地分析了家族共同持股程度對明星策略的影響,并從交叉補(bǔ)貼行為的角度進(jìn)行實證分析和討論,探究了基金家族明星策略的具體運(yùn)作方式。另外為了分析不同市場環(huán)境下基金家族和投資者的行為特點(diǎn),本文對2006年到2011年間股票市場所經(jīng)歷的牛市和熊市環(huán)境分別進(jìn)行了實證檢驗。 綜合來看,本文的研究主要得到以下成果：(1)驗證了我國基金市場中明星基金存在顯著的明星效應(yīng)和溢出效應(yīng)。(2)基金家族在明星基金溢出效應(yīng)的誘惑下,采用了明星策略,并發(fā)現(xiàn)家族共同持股程度、業(yè)績標(biāo)準(zhǔn)差和成員基金數(shù)量與家族內(nèi)產(chǎn)生明星基金的概率顯著正相關(guān),且共同持股程度的顯著性最高。(3)發(fā)現(xiàn)基金家族內(nèi)存在交叉補(bǔ)貼行為,認(rèn)為較高的家族共同持股程度、成員基金數(shù)量能夠提高交叉補(bǔ)貼的靈活性,較高的家族業(yè)績離差也一定程度上源于交叉補(bǔ)貼行為,這為解釋家族特征變量與明星基金產(chǎn)生概率的內(nèi)在聯(lián)系機(jī)制提供了有力依據(jù)。
[Abstract]:Nowadays, the fund management company has become an important participant in China's securities investment market, and the fund has also become an important investment choice for investors. In order to better protect investors' rights and interests and improve the efficiency of the whole capital market, this paper studies the existence of star effect and spillover effect of star funds step by step from the study of the relationship between fund family capital flow and fund rating. As well as the fund family star strategy effectiveness and the operation mechanism and so on question. This paper mainly adopts the method of combining quantitative analysis and model checking to analyze the problem. Firstly, the relationship between fund flow and fund rating is analyzed from fund family and fund individual level. The existence of star effect and spillover effect of star fund is verified. Then, logit model is constructed to study the existence and effectiveness of star strategy of fund family. In order to probe into the running mode of the star strategy of the fund family, this paper studies the cross-subsidization behavior of the fund family, and provides the explanation basis for the specific operation mode of the fund family's star strategy. This paper innovatively analyzes the influence of the degree of family joint ownership on star strategy, and makes an empirical analysis and discussion from the perspective of cross-subsidy behavior. In order to analyze the behavior characteristics of fund family and investors in different market environment, this paper explores the specific operation of fund family star strategy. This paper empirically tests the bull market and bear market environment in stock market from 2006 to 2011. To sum up, the research results of this paper are as follows: 1) it verifies that star fund has significant star effect and spillover effect in our country's fund market.) under the temptation of star fund spillover effect, the fund family adopts star strategy. It was found that the degree of joint ownership, the standard deviation of performance and the number of member funds were significantly positively correlated with the probability of producing star funds in the family, and the degree of co-ownership was the most significant. It is considered that the number of member funds can improve the flexibility of cross-subsidy with higher degree of joint ownership, and the higher deviation of family performance is also due to the behavior of cross-subsidy to some extent. This provides a powerful basis for explaining the relationship between the family characteristic variables and the probability of star funds.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1562573