發(fā)布時(shí)間：2019-02-21 16:08

【摘要】：2001年9月，我國(guó)第一只開(kāi)放式基金華安創(chuàng)新成立，從此，我國(guó)證券投資基金業(yè)進(jìn)入一個(gè)嶄新的發(fā)展階段，基金逐漸成為證券市場(chǎng)投資的主力。隨著封閉式基金的停發(fā)和陸續(xù)到期，開(kāi)放式基金無(wú)論從品種數(shù)量還是資產(chǎn)規(guī)模來(lái)看，都已經(jīng)成為基金市場(chǎng)的主要運(yùn)作方式和發(fā)展趨勢(shì)。影響基金凈值的因素有很多，，資產(chǎn)配置集中度是一個(gè)重要的方面。資產(chǎn)配置集中度在一定程度上反映了基金經(jīng)理的投資風(fēng)格及其對(duì)未來(lái)市場(chǎng)的看法，在某種程度上可能會(huì)對(duì)基金凈值造成一定的影響。 本文選取我國(guó)2005年12月31日以前成立的41只股票型開(kāi)放式基金為研究樣本，分析研究2007年到2010年股票型開(kāi)放式基金的資產(chǎn)配置集中度對(duì)基金凈值的影響。首先，通過(guò)描述我國(guó)股票型開(kāi)放式基金的凈值表現(xiàn)，對(duì)基金凈值的影響因素進(jìn)行了分析。其次，運(yùn)用基尼系數(shù)和赫芬達(dá)爾指數(shù)衡量我國(guó)股票型開(kāi)放式基金的資產(chǎn)配置集中度，并對(duì)基金的資產(chǎn)配置集中度進(jìn)行特征描述。再次，運(yùn)用Panel Data模型實(shí)證分析我國(guó)股票型開(kāi)放式基金資產(chǎn)配置集中度對(duì)基金凈值的影響，文章將研究期間分成三個(gè)周期，逐一進(jìn)行實(shí)證研究，進(jìn)一步分析不同時(shí)期資產(chǎn)配置集中度對(duì)基金凈值的影響。最后，文章在總結(jié)上述研究結(jié)果的基礎(chǔ)上，分別對(duì)基金管理者、投資者以及監(jiān)管者提出相應(yīng)的建議。 研究結(jié)果表明，就整體的樣本時(shí)間段而言，資產(chǎn)配置集中度中的持股集中度和行業(yè)集中度這兩個(gè)指標(biāo)對(duì)基金凈值都具有非常顯著的正向影響。對(duì)于不同的時(shí)間段而言，在股市上升周期，持股集中度指標(biāo)對(duì)基金凈值具有比較顯著的正向影響，而行業(yè)集中度指標(biāo)對(duì)基金凈值的影響不顯著；在股市下降周期，資產(chǎn)配置集中度的兩個(gè)集中度指標(biāo)對(duì)基金凈值的影響均不顯著；在股市震蕩周期，資產(chǎn)配置集中度的兩個(gè)集中度指標(biāo)對(duì)基金凈值都具有較為顯著的正向影響。
[Abstract]:In September 2001, China's first open-end fund, Hua'an, was founded. Since then, China's securities investment fund industry has entered a new stage of development, and the fund has gradually become the main investment in the securities market. With the closure and maturity of closed-end funds, open-end funds have become the main mode of operation and development trend of the fund market, both in terms of the number of varieties and the size of assets. There are many factors affecting the net value of the fund, asset allocation concentration is an important aspect. To a certain extent, the concentration of asset allocation reflects the investment style of fund managers and their views on the future market, and to some extent may have a certain impact on the net value of the fund. In this paper, 41 equity open-end funds established before December 31, 2005 in China are selected as the research samples to analyze the impact of concentration of asset allocation on the net value of equity open-end funds from 2007 to 2010. First of all, by describing the equity performance of equity open-end funds in China, this paper analyzes the influencing factors of fund net value. Secondly, we use Gini coefficient and Herfindahl index to measure the concentration degree of asset allocation of equity open-end funds in China, and describe the characteristics of asset allocation concentration degree of funds. Thirdly, using the Panel Data model to analyze the influence of the concentration degree of asset allocation on the net value of the fund, this paper divides the research period into three periods, and carries on the empirical research one by one. Further analysis of the different periods of concentration of asset allocation on the net value of the fund. Finally, on the basis of summarizing the above research results, the paper puts forward corresponding suggestions to fund managers, investors and regulators. The results show that both the ownership concentration and the industry concentration in asset allocation concentration have a significant positive impact on the net value of the fund. For different time periods, in the stock market rising cycle, the stock holding concentration index has a significant positive impact on the net fund value, but the industry concentration index has no significant impact on the fund net value. In the stock market decline cycle, the two concentration indicators of asset allocation concentration have no significant impact on the net fund value, while in the stock market volatility cycle, the two concentration indicators of asset allocation concentration ratio have a significant positive impact on the net fund value.
【學(xué)位授予單位】：南京航空航天大學(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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