【摘要】：開放式基金業(yè)績是投資者在申購、贖回決策過程中重點(diǎn)考慮的因素之一,同時(shí),投資者的申購、贖回行為也會(huì)對開放式基金業(yè)績產(chǎn)生反作用。因此,開放式基金業(yè)績與投資者行為之間的良性互動(dòng)是開放式基金獲得持續(xù)發(fā)展的重要驅(qū)動(dòng)。國外有研究發(fā)現(xiàn)投資者行為對優(yōu)秀基金“激勵(lì)過度”而對差基金“懲罰不足”；而國內(nèi)的研究則發(fā)現(xiàn)了“贖回異象”及基金的“劣汰優(yōu)勝”現(xiàn)象。國內(nèi)外研究尤其是國內(nèi)研究對開放式基金業(yè)績與投資者行為關(guān)系的研究存在很大不足,因此,對中國開放式基金業(yè)績與投資者行為之間關(guān)系的進(jìn)一步研究,會(huì)彌補(bǔ)這一領(lǐng)域的諸多研究空白,具有重要的理論意義。 2001年我國第一只開放式基金成立以來,開放式基金在我國經(jīng)歷了迅猛發(fā)展,在基金業(yè)中居于主導(dǎo)地位；開放式基金在我國仍存在巨大的發(fā)展空間,并將逐漸成為我國家庭和個(gè)人投資者最重要的投資渠道。近來,我國開放式基金不斷面臨巨額贖回現(xiàn)象,業(yè)績優(yōu)秀的基金反而被贖回,因而,結(jié)合中國金融市場與投資者結(jié)構(gòu)的實(shí)際,對中國開放式基金業(yè)績與投資者行為關(guān)系進(jìn)行研究,對于促進(jìn)二者的良性互動(dòng)具有重要的現(xiàn)實(shí)意義。 本文首先對國內(nèi)外關(guān)于開放式基金業(yè)績與投資者行為關(guān)系研究的相關(guān)文獻(xiàn)進(jìn)行了總結(jié),然后從標(biāo)準(zhǔn)金融理論和行為金融理論角度對開放式基金業(yè)績對投資者行為的作用機(jī)制進(jìn)行了分析。理論分析之后,本文以股票型、債券型、平衡型基金為樣本,采用掃描統(tǒng)計(jì)量的方法對基金業(yè)績的持續(xù)性進(jìn)行了檢驗(yàn),并結(jié)合檢驗(yàn)結(jié)果與理論分析對投資者的申購、贖回行為進(jìn)行了預(yù)測；在業(yè)績持續(xù)性檢驗(yàn)的基礎(chǔ)上,文章采用動(dòng)態(tài)面板數(shù)據(jù)模型對三種類型基金業(yè)績與投資者行為的關(guān)系進(jìn)行了實(shí)證研究；最后,本文以股票型基金為樣本對投資者在不同市場階段對基金業(yè)績的反應(yīng)進(jìn)行了考察。 本文得出的主要結(jié)論有：我國債券型基金業(yè)績持續(xù)性情況最好、平衡型次之,股票型最差；我國股票型和平衡型開放式基金中存在“處置效應(yīng)”、“異常贖回”等現(xiàn)象,但這些現(xiàn)象在債券型基金中不存在,結(jié)合基金業(yè)績持續(xù)性的檢驗(yàn)結(jié)果,投資者的這些反應(yīng)具有一定的合理性；我國股票型基金和平衡型基金業(yè)績與凈贖回之間存在顯著的互為因果的格蘭杰因果關(guān)系,而債券型基金則不存在這種關(guān)系；牛市階段,基金投資者多表現(xiàn)為風(fēng)險(xiǎn)規(guī)避型,“處置效應(yīng)”較為明顯,因此我國股票型基金沒有表現(xiàn)出優(yōu)勝劣汰；在熊市階段,優(yōu)秀的基金業(yè)績可以有效抑制凈贖回的增加；在震蕩調(diào)整階段,由于市場前景不確定性較大,基金投資者的“處置效應(yīng)”最明顯,“異常贖回”現(xiàn)象也最明顯。 最后,本文根據(jù)理論分析及實(shí)證結(jié)果,從投資者、基金公司、監(jiān)管者等角度提出了相關(guān)政策建議。
[Abstract]:The performance of open-end funds is one of the key factors to be considered by investors in the process of purchasing and redemption decisions. at the same time, the application and redemption behavior of investors will also have a negative effect on the performance of open-end funds. Therefore, the benign interaction between the performance of open-end funds and investor behavior is an important driver of the sustainable development of open-end funds. Some foreign studies have found that investors' behavior is "excessive incentive" to excellent funds and "insufficient punishment" to poor funds, while domestic studies have found "redemption anomalies" and the phenomenon of "fittest superiority" of funds. There are great shortcomings in the study of the relationship between the performance of open-end funds and investor behavior at home and abroad, especially in China. Therefore, the relationship between the performance of open-end funds and investor behavior in China is further studied. It will make up for many research gaps in this field, which is of great theoretical significance. Since the establishment of the first open-end fund in China in 2001, the open-end fund has experienced rapid development in our country and occupies a dominant position in the fund industry. Open-end funds still have great development space in our country, and will gradually become the most important investment channel for families and individual investors in our country. Recently, open-end funds in China are constantly facing the phenomenon of huge redemption, and funds with excellent performance have been redeemed. Therefore, combined with the reality of China's financial market and investor structure, It is of great practical significance to study the relationship between the performance of open-end funds and investor behavior in China in order to promote the benign interaction between them. First of all, this paper summarizes the relevant literature on the relationship between the performance of open-end funds and investor behavior at home and abroad. Then from the perspective of standard financial theory and behavioral finance theory, this paper analyzes the mechanism of the performance of open-end funds on investor behavior. After the theoretical analysis, this paper takes the stock type, bond type and balanced fund as samples, uses the method of scanning statistics to test the persistence of fund performance, and combines the test results and theoretical analysis to apply for the purchase of investors. The redemption behavior was predicted. On the basis of performance persistence test, this paper makes an empirical study on the relationship between three types of fund performance and investor behavior by using dynamic panel data model. Finally, this paper takes stock fund as a sample to investigate the response of investors to fund performance in different market stages. The main conclusions of this paper are as follows: the performance persistence of bond funds in China is the best, the balance type is the second, and the stock type is the worst; There are "disposal effect" and "abnormal redemption" in stock and balanced open-end funds in China, but these phenomena do not exist in bond funds, combined with the test results of fund performance sustainability. These reactions of investors are reasonable to a certain extent. There is a significant Granger causality between the performance and net redemption of equity funds and balanced funds in China, but there is no such relationship between bond funds. In the bull market stage, most of the fund investors are risk-averse, and the "disposal effect" is more obvious, so the stock funds in our country do not show the survival of the fittest. In the bear market stage, the excellent fund performance can effectively inhibit the increase of net redemption. In the stage of shock adjustment, because of the uncertainty of market prospect, the "disposal effect" of fund investors is the most obvious, and the phenomenon of "abnormal redemption" is also the most obvious. Finally, according to the theoretical analysis and empirical results, this paper puts forward relevant policy recommendations from the perspective of investors, fund companies, regulators and so on.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 鄧小菲;偏股型基金業(yè)績與投資者申贖行為的關(guān)系研究[D];山東大學(xué);2013年

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本文編號(hào)：2487158