發(fā)布時(shí)間：2018-04-10 03:03

  本文選題：開(kāi)放式基金　切入點(diǎn)：申購(gòu)贖回機(jī)制　出處：《鄭州大學(xué)》2013年碩士論文

【摘要】：所謂有限制開(kāi)放式基金是相對(duì)于開(kāi)放式基金自由申購(gòu)贖回而言的,開(kāi)放式基金隨時(shí)申購(gòu)贖回的特點(diǎn)增加了基金經(jīng)理的運(yùn)作難度,突出了流動(dòng)性風(fēng)險(xiǎn)。因此,基金管理公司為了提高基金業(yè)績(jī)會(huì)從時(shí)間或數(shù)額等方面對(duì)開(kāi)放式基金的申購(gòu)贖回加以限制,即有限制開(kāi)放式基金。目前,國(guó)內(nèi)外關(guān)于開(kāi)放式基金主要集中于研究其贖回問(wèn)題、流動(dòng)性風(fēng)險(xiǎn)和績(jī)效等方面,有關(guān)有限制的開(kāi)放式基金的申購(gòu)贖回機(jī)制以及該機(jī)制對(duì)基金績(jī)效的影響還沒(méi)有人研究,因此,本文的研究具有重要的理論和現(xiàn)實(shí)意義。 本文從開(kāi)放式基金的贖回制度引發(fā)了流動(dòng)性風(fēng)險(xiǎn)的問(wèn)題出發(fā)引入開(kāi)放式基金有限制的申購(gòu)贖回機(jī)制,基于委托代理理論分析了開(kāi)放式基金申購(gòu)贖回機(jī)制的原理以及流動(dòng)性風(fēng)險(xiǎn)的成因,在理論分析的基礎(chǔ)上,選取了有過(guò)限制申購(gòu)贖回行為的120只開(kāi)放式偏股型樣本基金,運(yùn)用面板數(shù)據(jù)模型,分別對(duì)2005年第3季度到2012年第4季度、2005年第3季度到2007年第3季度的牛市和2007年第4季度到2012年第4季度的熊市三個(gè)周期內(nèi)樣本基金的申購(gòu)贖回機(jī)制效果進(jìn)行了實(shí)證分析。得出了以下結(jié)論：(1)開(kāi)放式基金主要在股權(quán)分置改革時(shí)期、2007年牛市、基金大比例分紅之前以及基金重倉(cāng)股停牌時(shí)進(jìn)行申購(gòu)限制；(2)申購(gòu)限制主要基于保護(hù)基金原份額持有人利益、防止套利、控制基金規(guī)模以及利于基金公司開(kāi)展?fàn)I銷(xiāo);(3)通過(guò)實(shí)證分析發(fā)現(xiàn)：超額的市場(chǎng)回報(bào)使得牛市成為一個(gè)比較特殊的時(shí)期,在這個(gè)樣本區(qū)間內(nèi),基金規(guī)模、基金凈流量和機(jī)構(gòu)持有比例對(duì)基金績(jī)效缺乏解釋意義；在全周期和熊市,基金規(guī)模、基金換手率與基金收益率顯著負(fù)相關(guān)；基金凈流量在全周期與基金業(yè)績(jī)正相關(guān),熊市階段投資者的處置效應(yīng)表現(xiàn)的更加明顯,這一指標(biāo)與基金業(yè)績(jī)負(fù)相關(guān)；份額凈值波動(dòng)率在全周期和牛市與基金收益率顯著正相關(guān)；基金指數(shù)漲跌幅和大盤(pán)漲跌幅,在三個(gè)樣本區(qū)間內(nèi)與基金績(jī)效均是明顯的正相關(guān)關(guān)系。最后文章提出了一些政策建議,旨在幫助基金管理人提高基金績(jī)效、引導(dǎo)投資者進(jìn)行理性的價(jià)值投資和促進(jìn)我國(guó)資本市場(chǎng)健康發(fā)展。
[Abstract]:The so-called restricted open-end fund is relative to the open-end fund's free purchase and redemption. The characteristics of open-end fund's purchase and redemption at any time increase the difficulty of fund manager's operation and highlight the liquidity risk.Therefore, in order to improve fund performance, fund management companies will restrict the requisition and redemption of open-end funds in terms of time or amount, that is, restricted open-end funds.At present, at home and abroad, open-end funds are mainly focused on the issue of redemption, liquidity risk and performance, and there is no research on the mechanism of limited open-end funds' requisition and redemption and its impact on the performance of funds.Therefore, the study of this paper has important theoretical and practical significance.Based on the liquidity risk caused by the redemption system of open-end funds, this paper introduces the limited requisition and redemption mechanism of open-end funds.Based on the principal-agent theory, this paper analyzes the principle of open-end fund purchase and redemption mechanism and the causes of liquidity risk. On the basis of theoretical analysis, 120 open-end partial stock type sample funds with restricted purchase and redemption behavior are selected.Using the panel data model,The effect of sample fund redemption mechanism in the three periods from the third quarter of 2005 to the fourth quarter of 2012, the bull market from the third quarter of 2005 to the third quarter of 2007 and the bear market from the fourth quarter of 2007 to the fourth quarter of 2012 were analyzed empirically.The following conclusions are drawn: (1) Open-end funds are mainly in the period of split share structure reform. In the bull market of 2007, the requisition restriction is mainly based on protecting the interests of the holders of the original share of the fund, before the large proportion of dividends of the fund is suspended and when the trading of heavy stocks of the fund is suspended.To prevent arbitrage, to control the size of the fund and to facilitate the fund company to carry out marketing. Through empirical analysis, it is found that the excess market returns make the bull market a relatively special period. In this sample range, the size of the fund,In the whole cycle and bear market, fund size, fund turnover rate and fund return rate are negatively correlated with fund return, and fund net flow is positively correlated with fund performance in the whole cycle.The disposition effect of investors in bear market stage is more obvious. This index is negatively correlated with fund performance; the volatility of net share in the whole cycle and bull market is significantly positively related to the fund yield; the fund index is higher and lower, and the market is higher and lower.There is a significant positive correlation between fund performance and fund performance in the three sample intervals.Finally, some policy suggestions are put forward to help fund managers improve fund performance, guide investors to make rational value investment and promote the healthy development of China's capital market.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F830.91

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本文編號(hào)：1729355