發(fā)布時間：2018-10-31 12:32

【摘要】：自2001年8月證監(jiān)會批準成立第一只開放式基金以來，我國開放式基金已得到迅速發(fā)展，現(xiàn)已成為資本市場上最重要的機構(gòu)投資者之一。開放式基金作為一種投資于股票和債券等市場的金融工具，雖然有專家理財和分散投資組合的優(yōu)勢，但是其收益也會面臨許多風險而產(chǎn)生波動。開放式基金市場收益率的波動會給資本市場的穩(wěn)定發(fā)展、基金管理者有效管理基金資產(chǎn)和投資者資產(chǎn)保值增值等造成重要影響。因此，正確認識開放式基金市場收益率的波動特征有著重要的現(xiàn)實和理論意義。 本文致力于運用計量經(jīng)濟學模型探討我國開放式基金市場整體和內(nèi)部不同類型的股票型、混合型和債券型開放式基金收益率的波動特征。首先，文中對波動性理論及模型進行闡述和評價，確定研究方法。其次，通過正態(tài)性和獨立性等檢驗對我國開放式基金市場整體及不同類型開放式基金收益率序列進行基本的統(tǒng)計特征分析，為后續(xù)研究奠定基礎(chǔ)。然后，使用單變量GARCH族模型、動態(tài)條件多元GARCH模型和修正的R/S方法去研究我國開放式基金市場的波動特征，并比較不同類型開放式基金收益率波動特征的差異。最后，根據(jù)實證分析的結(jié)果總結(jié)出開放式基金市場收益率的波動特征，，并在此基礎(chǔ)上為開放式基金監(jiān)管者、管理者和投資者提出相關(guān)政策和建議。 文中通過研究主要得出以下結(jié)論： 第一，我國開放式基金整體及內(nèi)部不同類型的開放式基金市場的收益率序列都不服從正態(tài)性分布而呈現(xiàn)出顯著的尖峰厚尾性、不存在獨立性、具有自相關(guān)性和平穩(wěn)性。 第二，我國開放式基金市場整體及內(nèi)部不同類型的開放式基金市場中存在明顯的波動異方差效應(yīng)、波動聚集性和非對稱性特征。另外，開放式基金市場整體的收益率與波動存在顯著的正相關(guān)關(guān)系，但風險溢價系數(shù)較��；在不同類型開放式基金市場中，只有債券型開放式基金市場中沒有體現(xiàn)出收益與波動的正相關(guān)關(guān)系。 第三，就殘差服從正態(tài)分布、t分布和GED分布下GARCH模型擬合各我國開放式基金市場收益率序列波動的效果而言，GED分布下的GARCH模型擬合的效果最好。 第四，我國開放式基金市場整體與滬深股市的動態(tài)相關(guān)系數(shù)均存在隨時間變化的高度正相關(guān)關(guān)系；不同類型的開放式基金與滬深股市的動態(tài)相關(guān)系數(shù)存在較大差異，債券型開放式基金與滬深股市的動態(tài)相關(guān)系數(shù)的波動幅度最大，而股票型開放式基金與滬深股市的動態(tài)相關(guān)系數(shù)的波動幅度較穩(wěn)定。 第五，我國開放式基金市場收益率的波動存在分形結(jié)構(gòu)特征。開放式基金市場整體及內(nèi)部不同類型的開放式基金收益率的Hurst指數(shù)都要大于0.5，長期記憶性特征顯著，并存在著統(tǒng)計循環(huán)周期。
[Abstract]:Since the establishment of the first open-end fund approved by the Securities Regulatory Commission in August 2001, China's open-end funds have developed rapidly and have become one of the most important institutional investors in the capital market. As a financial tool to invest in stock and bond markets, open-end funds have the advantages of expert financial management and diversification of portfolio, but their returns will also face many risks and fluctuate. The fluctuation of the return rate of open-end fund market will give the stable development of the capital market, and the fund managers can effectively manage the fund assets and the investors' assets to maintain and increase their value. Therefore, it is of great practical and theoretical significance to correctly understand the volatility characteristics of the market returns of open-end funds. This paper is devoted to using econometrics model to study the volatility characteristics of the return rate of the open-end fund market in China, which are different types of stock, mixed and bond. Firstly, the theory and model of volatility are described and evaluated, and the research method is determined. Secondly, through the tests of normality and independence, this paper analyzes the basic statistical characteristics of the whole and different types of open-end fund return series in China's open-end fund market, which lays a foundation for further research. Then, univariate GARCH family model, dynamic conditional multivariate GARCH model and modified R / S method are used to study the volatility characteristics of China's open-end fund market, and to compare the volatility characteristics of different types of open-end funds. Finally, according to the results of empirical analysis, this paper summarizes the volatility characteristics of open-end fund market returns, and puts forward relevant policies and suggestions for open-end fund regulators, managers and investors. The main conclusions are as follows: first, the return series of different types of open-end fund markets in China are not satisfied with the normal distribution and show significant spike and thick tail. There is no independence, self-correlation and stability. Secondly, there are obvious volatility heteroscedasticity effect, volatility aggregation and asymmetry in the whole and different types of open-end fund market in China. In addition, there is a significant positive correlation between the return and volatility of the open-end fund market as a whole, but the risk premium coefficient is small. In different types of open-end fund market, only bond open-end fund market does not reflect the positive correlation between income and volatility. Thirdly, the GARCH model under the GED distribution is the best to fit the volatility of the return series of the open-end fund market in our country under the normal distribution, t distribution and GED distribution. Fourthly, the dynamic correlation coefficient of the open-end fund market in China and the Shanghai and Shenzhen stock markets has a highly positive correlation with the change of time. The dynamic correlation coefficients between different types of open-end funds and Shanghai and Shenzhen stock markets are quite different, and the dynamic correlation coefficients of bond open-end funds and Shanghai and Shenzhen stock markets fluctuate the most. The fluctuation range of dynamic correlation coefficient between open-end fund and Shanghai-Shenzhen stock market is stable. Fifth, the volatility of the market return of open-end funds in China has fractal structure characteristics. The Hurst index of different types of open-end fund returns in the open-end fund market is greater than 0.5, and the long-term memory characteristic is significant, and there is a statistical cycle.
【學位授予單位】：西北農(nóng)林科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.5

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