本文選題：基金流量 + 基金投資行為�。� 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：基金流量,是指基金在特定時(shí)期的資金流動(dòng)。對(duì)于開(kāi)放式基金而言,由于基金持有人可以根據(jù)自身需求對(duì)基金份額進(jìn)行申購(gòu)贖回,申購(gòu)時(shí)產(chǎn)生基金的資金流入,而贖回時(shí)則產(chǎn)生資金流出,因此,基金流量往往反映了基金投資者的行為偏好、市場(chǎng)投資者情緒等重要因素。 理論研究發(fā)現(xiàn),基金流量由于能夠影響資金的流動(dòng),因此是導(dǎo)致開(kāi)放式基金流動(dòng)性風(fēng)險(xiǎn)的主要原因之一,同時(shí)會(huì)造成基金投資組合的動(dòng)態(tài)調(diào)整�；鹆髁繉�(duì)市場(chǎng)的影響主要表現(xiàn)在其會(huì)引起基金經(jīng)理買賣股票行為,組合資產(chǎn)配置動(dòng)態(tài)調(diào)整,同時(shí),基金總體流量也將通過(guò)對(duì)基金經(jīng)理總體投資行為的影響,最終對(duì)市場(chǎng)表現(xiàn)產(chǎn)生不可忽視的作用。因此,本文的研究主要考察了中國(guó)開(kāi)放式股票型基金的基金流量變化對(duì)基金投資行為和市場(chǎng)表現(xiàn)的影響。 本文將傳統(tǒng)研究視角拓展到“基金流量—基金投資行為—市場(chǎng)收益和波動(dòng)性”,從而將研究角度轉(zhuǎn)向基金投資行為背后的持有人行為對(duì)基金經(jīng)理投資行為和資產(chǎn)組合配置調(diào)整的影響分析,以及宏觀層面上持有人行為整體對(duì)市場(chǎng)收益的影響分析。因此,本文構(gòu)建了兩部分實(shí)證模型,第一部分模型主要從微觀的基金個(gè)體角度出發(fā),分別以開(kāi)放式基金的現(xiàn)金持有比例和證券買賣行為作為基金投資行為的代理變量,檢驗(yàn)基金流量與基金投資行為之間的關(guān)系；第二部分從宏觀的基金整體角度出發(fā),考察基金總體資金流量如何影響市場(chǎng)指數(shù)收益率和波動(dòng)性。實(shí)證方法為動(dòng)態(tài)面板模型和向量自回歸(VAR)模型。 主要結(jié)論如下： 1.我國(guó)證券投資基金的投資行為受到基金流量的顯著影響,基金持有人行為對(duì)基金經(jīng)理投資行為具有沖擊效應(yīng),并直接影響到基金經(jīng)理的策略選擇和資產(chǎn)組合調(diào)整。在牛市中,基金投資者凈申購(gòu)率與基金資產(chǎn)組合的現(xiàn)金持有比例正相關(guān),但在震蕩市中卻為負(fù)相關(guān)。 2.基金流量直接導(dǎo)致了基金經(jīng)理買賣股票行為；同時(shí),基金的投資風(fēng)格、杠桿率和機(jī)構(gòu)持有人占比都會(huì)影響基金經(jīng)理買賣股票對(duì)于基金流量的敏感度。指數(shù)型基金的基金經(jīng)理對(duì)于投資者申購(gòu)行為較為敏感,基金的融資杠桿鈍化了基金申購(gòu)贖回對(duì)基金經(jīng)理股票交易造成的影響,當(dāng)機(jī)構(gòu)持有人比例較高時(shí),基金經(jīng)理往往降低用申購(gòu)獲得資金購(gòu)買股票的比例來(lái)應(yīng)對(duì)可能的集中贖回。 3.開(kāi)放式基金總流量與市場(chǎng)收益率和波動(dòng)性之間具有顯著性關(guān)系。資金流入基金市場(chǎng)將導(dǎo)致未來(lái)較低的市場(chǎng)波動(dòng)性,而資金流出基金市場(chǎng)將導(dǎo)致未來(lái)較高的市場(chǎng)波動(dòng)性。同時(shí),基金投資者會(huì)根據(jù)市場(chǎng)波動(dòng)性選擇基金投資時(shí)機(jī),即往往選擇市場(chǎng)波動(dòng)性較低時(shí)增大基金投資�；鹂偭髁坎粫�(huì)對(duì)未來(lái)市場(chǎng)收益率造成方向性的影響,同時(shí),基金投資者往往選擇在市場(chǎng)收益率高時(shí)增加基金投資的投入。 最后,本文根據(jù)實(shí)證結(jié)論,對(duì)于基金投資操作和流動(dòng)性風(fēng)險(xiǎn)的控制提出了幾點(diǎn)建議。
[Abstract]:Fund flow refers to the fund flow in a specific period of time. For open-end funds, since the fund holder can redeem the fund's share according to his own needs, the fund flows into the fund at the time of purchase, and the fund flows out when the fund is redeemed. Fund flow often reflects the behavior preference of fund investors, market investor sentiment and other important factors. The theoretical study shows that the fund flow is one of the main reasons for the liquidity risk of the open-end fund because it can affect the fund flow, and it will also cause the dynamic adjustment of the fund portfolio. The influence of fund flow on the market is mainly reflected in the behavior of fund managers buying and selling stocks and the dynamic adjustment of portfolio allocation. At the same time, the overall flow of funds will also affect the overall investment behavior of fund managers. Finally, the market performance can not be ignored. Therefore, this paper mainly studies the influence of the fund flow change on the investment behavior and market performance of Chinese open-end equity funds. This paper extends the traditional research perspective to "fund flow-fund investment behavior-market returns and volatility". Therefore, the research point of view is turned to the analysis of the influence of the holder's behavior behind the fund's investment behavior on the fund manager's investment behavior and the adjustment of the portfolio allocation, as well as the macro-level analysis of the overall impact of the holder's behavior on the market returns. Therefore, this paper constructs two parts of empirical model, the first part of the model mainly from the micro perspective of the individual fund, open-end fund cash holding ratio and securities trading behavior as the proxy variables of fund investment behavior. The second part examines how the total fund flow affects the return and volatility of the market index from the macro perspective of the fund. The empirical methods are dynamic panel model and vector autoregressive VAR model. The main conclusions are as follows: 1. The investment behavior of China's securities investment funds is significantly affected by the fund flow. The behavior of the fund holders has an impact on the investment behavior of the fund managers and has a direct impact on the strategy selection and portfolio adjustment of the fund managers. In a bull market, the net purchase rate of fund investors is positively correlated with the cash holdings of the fund's portfolio, but is negatively correlated in volatile markets. 2. At the same time, the investment style, leverage ratio and the ratio of institutional holders will affect the sensitivity of fund managers to fund flow. The fund managers of index funds are more sensitive to investors' purchase behavior. The fund financing leverage passives the influence of fund requisition and redemption on fund managers' stock trading, when the proportion of institutional holders is high, Fund managers tend to reduce the proportion of money they use to buy shares in response to possible conversions. 3. There is a significant relationship between the total flow of open-end funds and market returns and volatility. The inflow of funds into the fund market will lead to lower market volatility in the future, while the outflow of funds from the fund market will lead to higher market volatility in the future. At the same time, fund investors will choose the timing of fund investment according to market volatility, that is, tend to choose to increase fund investment when market volatility is low. At the same time, fund investors often choose to increase the investment of fund when the market yield is high. Finally, according to the empirical conclusions, this paper puts forward some suggestions on the control of fund investment operation and liquidity risk.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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