本文選題：開放式基金 + 股票型基金��； 參考：《西南財經大學》2014年碩士論文

【摘要】：自1990年-1991年上海、深圳證券交易所相繼成立以來,我國資本市場進入了二十多年的高速發(fā)展期。我國首家相對規(guī)范的基金——淄博鄉(xiāng)鎮(zhèn)企業(yè)投資基金1992年正式成立,隨后于1993年8月在上海證券交易所掛牌上市。此后,我國封閉式基金經歷了二十余年的發(fā)展歷程。由于封閉式基金不能自由申購贖回、只能在二級市場進行交易,同時流動性和信息透明度較低的局限性,其在基金市場的主體地位逐漸被開放式基金所替代。2001年9月,中國第一支開放式基金“華安創(chuàng)新基金”發(fā)行設立,成為中國基金業(yè)新階段開始的標準,隨后的十多年期間,開放式基金的發(fā)展進入上升通道。由于開放式基金不僅具有一般基金專業(yè)化投資、集合理財的特點,并且還擁有封閉式基金所不具有的可自由申購贖回的優(yōu)勢；伴隨著股市的回升,開放式基金的規(guī)模在近些年有爆發(fā)式的增長。隨著開放式基金規(guī)模和數量的迅速增加,其在基金市場占比遠超封閉式基金,成為我國基金市場的發(fā)展主流：2013年新發(fā)基金378支,創(chuàng)歷史新高；截止2013年12月31日,我國共有基金數量1552支,資產凈值合計30024.24億元。開放式基金數量1476支,資產凈值合計28756.28億元,占證券投資基金總資產凈值95.78%。 不同于封閉式基金,開放式基金最大的特點是基金份額不固定,投資者可以隨時根據自身資產配置及市場狀況決定相關基金份額的申購與贖回。在國外對開放式基金市場的長期研究中,研究者認為正是由于開放式基金的這種自由申贖的運營型機制,理性投資者會首先根據開放式基金的表現來選擇申購基金,業(yè)績優(yōu)異的基金往往受到投資者青睞�；鸸驹诠芾碣M不斷增加的同時,有更多的資金用以增加人才培養(yǎng)和提高管理水平,從而獲取更大的競爭優(yōu)勢,以此形成基金市場的“優(yōu)勝劣汰”的良性循環(huán)。然而,與國外研究者的結論相反,我國學者通過對基金贖回現象的研究,發(fā)現我國存在基金業(yè)績越好、投資者贖回越多的“贖回異象”�！摆H回異象”導致了基金市場的“反向選擇”：努力研究市場以提高業(yè)績的基金公司遭到贖回,表現平庸業(yè)績不佳的基金公司卻受到追捧；該現象給基金管理者造成反向激勵,顯然不利于基金市場健康穩(wěn)定地發(fā)展。因此,對開放式基金贖回行為影響因素的研究,可以進一步確認“贖回異象”是否存在,并通過對這些因素對贖回行為的影響機理的研究分析國內外研究差異的原因,具有理論意義。 事實上,自我國第一只開放式基金發(fā)行設立以來,我國開放式基金市場就伴隨著巨大的贖回壓力,為了應對這樣的狀況,各基金公司一方面采取各種對策,包括通過高額分紅、擴大營銷渠道、增加融資等措施以減少贖回壓力；另一方面,基金公司只能依靠不斷地新發(fā)基金,來維持其管理的基金總規(guī)模。盡管近年來新發(fā)基金數量逐年大幅度增加,但依然避免不了大額贖回的窘境。與此同時,基金贖回還呈現出連續(xù)性贖回和巨額贖回的特點。這樣的巨額贖回在影響基金管理者投資策略延續(xù)性的同時,導致基金收益的減少,不僅影響贖回者自身的收益,對未贖回投資者的利益也產生不利,嚴重時甚至對證券市場的穩(wěn)定造成巨大沖擊。研究開放式基金贖回行為的影響因素能為開放式基金的投資者、管理者及證券市場監(jiān)管者提供相應的政策建議和依據,以保障基金市場健康穩(wěn)定發(fā)展,具有重要實踐意義。 本文在參考國內外關于基金贖回相關文獻的基礎上,結合我國開放式基金巨額贖回、非理性行為頻發(fā)的現狀及國家關于贖回相關的政策規(guī)定,總結出可能影響我國開放式基金贖回行為的主要影響因素。通過對國內外理論的研究,從內在原理上對這些因素與投資者贖回行為的關系進行分析并進行相關實證假設。最后針對“面板數據(panel date)"建立了多元回歸模型,對各個可能的因素對投資者贖回率的影響程度進行了實證分析。最后,針對實證分析結論,分別基于證券市場管理者、基金管理者、基金投資者的角度提出相應的政策建議和發(fā)展思路,以促進基金市場健康發(fā)展。 本文結構安排如下： 第一部分為導論,首先對我國開放式基金發(fā)展歷程進行了簡單的回顧,介紹了近年來我國開放式基金迅速發(fā)展的現狀,隨后對我國當前開放式基金贖回特點及問題進行了描述,以此引出開放式基金贖回行為影響因素研究的必要性和實用性。之后對本文的研究方法及思路等進行了簡要的介紹。 第二部分為文獻綜述,分別從國外和國內兩個方面對開放式基金贖回行文相關問題進行了歸納與總結。由于國外開放式基金發(fā)展歷史較長、理論較為豐富,但多數文獻僅就個別因素的影響機理進行分析,例如基金業(yè)績、市場收益、贖回費率、基金規(guī)模、成立時間、投資者結構等。因此,對于國外的文獻,本文分別從資本市場表現、基金自身特點兩個方面進行分類。國內由于開放式基金發(fā)展時間相對較短,對贖回行為的研究主要集中在基金的業(yè)績與基金資金流量之間關系方面,并且不同學者之間的分歧也較大。因而,本文對國內文獻是根據理論發(fā)表時間及理論相關性進行整理。最后,對國內外的研究及文獻進行簡單的評述。 第三部分主要介紹了我國開放式基金贖回情況。首先對我國開放式基金的概念及特點進行分析,并對開放式基金的發(fā)展歷史進行概述,解釋其近些年發(fā)展迅速的原因；然后,使用我國開放式基金幾年來贖回數據,對開放式基金贖回呈現連續(xù)性及巨額贖回特點的現狀進行佐證；最后,列舉了我國關于基金贖回的相關政策法規(guī),并對其進行簡要評價。 第四部分為開放式基金贖回行為影響因素的分析,通過總結國內外研究成果,以及國內基金贖回狀況及相關政策規(guī)定,分別從宏觀因素、基金特點、投資者結構三個方面總結出對贖回行為進行了總結及歸納。同時結合國內外研究,分析了這些因素對投資者贖回行為的影響機制 第五部分,是本文對開放式基金贖回行為影響因素研究的實證部分。首先,通過分析以上總結的各個因素對贖回行為的影響機制,進行實證假設；然后,針對所研究的面板數據,借鑒國內研究,建立相應的數據模型進行回歸。通過對回歸結果的解讀,分別從對股票型基金、債券型基金、混合型基金三個方面對結論進行了描述和總結。 第六部分為本文的結論及政策建議。本文的出的結論是：開放式基金的贖回行為在一定程度上存在反向選擇的“贖回異象”,股票型基金與混合式基金的基金贖回率同基金業(yè)績成正比,而債券型基金則成反比；股票型與混合型基金贖回率同基金分紅力度成反比,但債券型基金則沒有顯著相關性；三種類型基金的贖回率同滯后一期的基金規(guī)模成正比,且與基金滯后一期成立時間成顯著正相關；基金的持股集中度對股票型基金、混合型基金的贖回率成正相關；債券型基金贖回率同利率顯著正相關。同時,根據實證結論,分別基于證券市場監(jiān)管者、基金管理者、基金投資者三個層次提出了相關政策建議,以促進基金投資市場的健康穩(wěn)定的發(fā)展。 本文的主要貢獻在于：(1)對證券投資基金進行了區(qū)分。以投資類型將其分為股票型基金、債券型基金及混合型基金,研究不同的因素對不同類型的基金之間的聯系；研究發(fā)現,證券市場走勢、基金業(yè)績、分紅力度與基金贖回率的相關程度及他們對贖回行為的影響方式,是與基金投資類型的不同緊密聯系的。因而,對所研究的基金按投資對象的類型進行分類是有必要的。(2)對分紅指標進行了優(yōu)化。不同于以往以分紅的絕對量或是分紅頻率來衡量基金的分紅力度,本文采用本期分紅額與基金滯后一期季末單位凈值的比例作為分紅力度的衡量指標。由實證結果所知,以該分紅指標衡量的分紅力度與股票型基金和混合型基金的凈贖回率之間,存在顯著的負相關性,其結論與國內外主流研究相一致,證明該指標有一定的說服力。(3)相關數據完整、跨度時間長,且覆蓋了兩個較為完整的證券市場上升、下降的周期。同時分別對股票型基金、債券型基金用持股集中度、市場利率進行回歸,具有針對性,且其中利率對債券的贖回率成顯著正相關。另外,由于本人理論研究有限,考慮欠周全,本文也存在很多不足：一方面,我國開放式基金發(fā)展時間短,信息披露不夠全面及時,有些數據取得比較困難且時效性不足。另一方面,受知識水平限制,對少數進行拆分的基金相關影響因素無法用比較合理的指標來衡量,因而將其剔除；同時,計量模型也相對粗糙。希望這些問題能在今后的研究中得到不斷的完善。
[Abstract]:Since the establishment of the Shanghai stock exchange in Shanghai in 1990 and the establishment of the Shenzhen stock exchange in succession, China's capital market has entered a period of more than 20 years of rapid development. The first relatively standardized fund in China, the Zibo township enterprise investment fund, was formally established in 1992 and then listed on the Shanghai stock exchange in August 1993. It has gone through more than twenty years of development. Because the closed-end fund can't buy redemption freely, it can only trade in the two level market, while the liquidity and information transparency are low, its main position in the fund market is gradually replaced by the open fund in September, China's first open fund "Huaan innovation fund". In the following more than 10 years, the development of the open-end fund has entered the rising channel. The open-end fund not only has the specialized investment of the general fund, but also has the characteristics of the fund management, and also has the advantages that the closed-end funds do not have in the free purchase and redemption. With the recovery of the stock market, the scale of the open-end fund has increased in recent years. With the rapid increase in the scale and quantity of the open-end fund, it has become the mainstream of the fund market in the fund market, which is far beyond the closed-end fund in the fund market. In 2013, the new fund has set a new high of history; by the end of December 31, 2013, China has a total of 378 The total number of funds is 1552, the net worth of assets is 3 trillion and 2 billion 424 million yuan. The number of open funds is 1476, the net worth of assets is 2 trillion and 875 billion 628 million yuan, accounting for the net value of the total assets of the securities investment fund 95.78%.
Unlike closed-end funds, the largest feature of the open fund is that the fund's share is not fixed. Investors can decide to buy and redeem the share of the fund at any time according to their own asset allocation and market conditions. In the long term study of the open fund market, the researchers recognize that it is the free redemption of the open-end fund. The rational investors will first choose the purchase fund according to the performance of the open-end fund. The funds with excellent performance are often favored by the investors. At the same time, the fund company has more funds to increase the talent training and improve the management level, so as to gain a greater competitive advantage, so as to gain a greater competitive advantage. However, contrary to the conclusion of foreign researchers, Chinese scholars have found that the better the performance of the fund is and the more redemption of the redemption of the investors. The redemption phenomenon leads to the "reverse choice" of the fund market. The fund companies, which have been redeemed by the market to improve their performance, have been sought after by the fund companies that show poor performance; this phenomenon gives the fund managers a reverse incentive, which is obviously not conducive to the healthy and stable development of the fund market. Therefore, the research on the influence factors of the redemption of the open-end fund can further confirm the "redemption difference" It is of theoretical significance to analyze the mechanism of these factors on redemption behavior and to analyze the reasons for the differences between China and abroad.
In fact, since the opening of the first open-end fund in China, the open end fund market in China has been accompanied by huge redemption pressure. In order to cope with this situation, various fund companies have taken various countermeasures, including through high dividends, expanding marketing channels, increasing financing and other measures to reduce the redemption pressure; on the other hand, the basis for reducing redemption pressure. The company can only rely on continuous new funds to maintain its managing fund. Although the number of new funds has increased substantially in recent years, it still can not avoid a large redemption dilemma. At the same time, the redemption of the fund has also shown the characteristics of a continuous redemption and huge redemption. The continuity of the investment strategy leads to the decrease of fund income, which not only affects the returns of the Redeemer, but also has a bad impact on the interests of the unredeemed investors, and even to the stability of the securities market. The factors that affect the redemption of the open fund can be the investors, managers and the managers of the open-end fund. It is of great practical significance for securities market regulators to provide corresponding policy recommendations and basis to ensure the healthy and stable development of the fund market.
On the basis of references to the redemption of funds at home and abroad, combined with the large amount of redemption of our open-end fund, the current situation of the frequent irrational behavior and the national redemption related policies, this paper summarizes the main influencing factors that may affect the redemption of the open-end fund in China. In principle, the relationship between these factors and the redemption behavior of investors is analyzed and the empirical hypothesis is carried out. Finally, a multiple regression model is established for "panel data (panel date)", and the impact degree of various possible factors on the redemption rate of investors is empirically analyzed. Finally, the empirical analysis is based on the securities, which are based on securities. From the perspective of market managers, fund managers and fund investors, the corresponding policy recommendations and development ideas are put forward to promote the healthy development of the fund market.
The structure of this article is as follows:
The first part is an introduction, first of all, a brief review of the development process of China's open fund is made, and the current situation of the rapid development of our open-end fund in recent years is introduced. Then the characteristics and problems of the redemption of the open-end fund in China are described in order to lead to the necessity and reality of the research on the influencing factors of the open base gold redemption. This paper briefly introduces the research methods and ideas of this paper.
The second part is the literature review, which are summarized and summarized from two aspects of the open fund redemption from foreign and domestic aspects. Because of the long history of the development of open funds abroad, the theory is more abundant, but most of the literature only analyzes the influence mechanism of individual factors, such as fund performance, market income and redemption fee. Rate, fund scale, time of establishment, investor structure and so on. Therefore, for the literature of foreign countries, this paper classifies the two aspects of the capital market performance and the characteristics of the fund, respectively. Because the development time of the open-end fund is relatively short in China, the relationship between the performance of the fund and the fund flow of the fund is mainly in the study of the redemption behavior. And the differences between different scholars are also larger. Therefore, this paper collate the domestic literature according to the theoretical publication time and theoretical relevance. Finally, a brief review of the research and literature at home and abroad is made.
The third part mainly introduces the redemption of the open-end fund in China. First, it analyzes the concept and characteristics of the open-end fund in China, summarizes the development history of the open-end fund and explains the reasons for its rapid development in recent years. Then, it uses our open fund to redeem the data for several years and presents the redemption of the open fund. Finally, the relevant policies and regulations about fund redemption are listed and evaluated briefly.
The fourth part is the analysis of the factors affecting the redemption of the open-end fund. By summarizing the research results at home and abroad, as well as the state of the domestic fund redemption and the relevant policies, this paper summarizes and summarizes the redemption behavior from three aspects of macro factors, fund characteristics and investor structure. The influence mechanism of these factors on investors' redemption behavior
The fifth part is the empirical part of the study on the influence factors of the open-end fund redemption. First, the empirical hypothesis is carried out by analyzing the influence mechanism of the above factors on the redemption behavior. Then, in view of the panel data studied, the corresponding data model is established for reference by the domestic research. Interpretation of the fruit, respectively, from the stock fund, bond funds, mixed funds three aspects of the conclusions are described and summarized.
The sixth part is the conclusion and policy recommendations of this paper. The conclusion of this paper is that the redemption behavior of the open-end fund has a "redemption anomaly" to a certain extent. The redemption rate of the fund and the mixed fund is proportional to the fund performance, and the bond fund is inversely proportional; the stock type and the mixed fund are the same. The redemption rate is inversely proportional to the fund bonus, but the bond fund has no significant correlation; the redemption rate of the three types of funds is directly proportional to the lag phase of the fund scale, and has a significant positive correlation with the time lag of the fund; the ownership concentration of the fund is positively related to the redemption rate of the stock base gold and the mixed fund. The redemption rate of the bond fund is positively correlated with the interest rate. At the same time, according to the empirical conclusion, the relevant policy suggestions are put forward on the basis of three levels of securities market regulators, fund managers and fund investors, in order to promote the healthy and stable development of the fund investment market.
The main contributions of this paper are as follows: (1) a distinction between securities investment funds and investment types is divided into stock fund, bond fund and mixed fund to study the relationship between different types of funds. Research finds, securities market trend, fund performance, dividend intensity and fund redemption rate The degree and their influence on redemption is closely related to the type of fund investment. Therefore, it is necessary to classify the types of the investment subject to be classified. (2) the index of the dividend is optimized. The proportion of the dividend amount and the net value of the end of season unit at the end of the fund is used as a measure of the strength of the dividend. The results are known to have a significant negative correlation between the dividend intensity and the net redemption rate of the stock fund and the mixed fund. The index has a certain persuasiveness. (3) the relevant data is complete, the span is long, and it covers the cycle of two more complete securities markets rising and falling. At the same time, the stock fund, the bond fund's ownership concentration and the market interest rate are returned, which are pertinent, and the interest rate has a significant positive correlation to the redemption rate of the bond. In addition, because of my limited theoretical research and thoughtful consideration, there are also many shortcomings in this paper. On the one hand, the development time of the open-end fund in China is short, information disclosure is not comprehensive and timely, some data are difficult and lack of timeliness. On the other hand, limited by the knowledge level, the factors related to the separation of a small number of funds are not related. The method is measured by more reasonable index, so it is eliminated; meanwhile, the measurement model is relatively rough. I hope these problems can be continuously improved in the future research.

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1786348