中國股票型開放式基金持股二分網(wǎng)絡(luò)研究
發(fā)布時間：2018-09-06 18:15
【摘要】：近年來，我國金融市場的發(fā)展和完善極大地促進了基金市場的蓬勃發(fā)展，基金數(shù)量及規(guī)模均獲得了大幅提升，基金公司的投資行為和投資策略對證券市場的影響日漸復(fù)雜。根據(jù)中國銀監(jiān)會統(tǒng)計數(shù)據(jù)，截止2013年3月份，共有證券投資基金1257只，基金規(guī)模為28340.87億，約占A、B股上市公司股票市價總值的12.13%，基金市場由此成為當前證券市場最受關(guān)注的領(lǐng)域之一。基金市場對于證券市場的影響力，隨著基金規(guī)模的不斷壯大而與日劇增，基金持股對股票市場的影響也有了顯著提升；同時，研究基金持股有助于從中獲取基金持股行業(yè)偏好及基金投資組合等有用的信息，從而更加全面地理解基金持股。 20世紀末，自小世界網(wǎng)絡(luò)和無標度網(wǎng)絡(luò)開始，復(fù)雜網(wǎng)絡(luò)結(jié)構(gòu)和性質(zhì)的研究成為一個引人注目的領(lǐng)域，廣泛應(yīng)用于生產(chǎn)流程、社會關(guān)系網(wǎng)直至社會各個領(lǐng)域的研究中，復(fù)雜網(wǎng)絡(luò)理論的發(fā)展和廣泛應(yīng)用有助于更好的認識和揭示自然和社會中存在的各種實際網(wǎng)絡(luò)的內(nèi)在聯(lián)系和規(guī)律。復(fù)雜網(wǎng)絡(luò)理論與方法將是一座拓寬傳統(tǒng)金融經(jīng)濟理論的“金礦”。事實上，在復(fù)雜網(wǎng)絡(luò)理論和方法引入金融經(jīng)濟研究領(lǐng)域前，跨學(xué)科的研究者已經(jīng)采用復(fù)雜網(wǎng)絡(luò)的分析方法開展了復(fù)雜網(wǎng)絡(luò)在其它領(lǐng)域的探索工作并取得了突破性進展。 本文就我國基金市場中股票型開放式基金持股信息構(gòu)建“基金-股票”二分網(wǎng)絡(luò)，以期用復(fù)雜網(wǎng)絡(luò)的研究方法探索我國股票型開放式基金的持股偏好及其基本特征。 本文選取2010~2012年股票型開放式基金持股信息，采用復(fù)雜網(wǎng)絡(luò)方法建立“基金-股票”動態(tài)二分網(wǎng)絡(luò)模型并對其進行加權(quán)投影得到股票單頂點加權(quán)動態(tài)網(wǎng)絡(luò)和基金單頂點加權(quán)動態(tài)網(wǎng)絡(luò)，從網(wǎng)絡(luò)的基本統(tǒng)計特性和社團結(jié)構(gòu)研究其演化規(guī)律。通過研究發(fā)現(xiàn)，股票單頂點加權(quán)動態(tài)網(wǎng)絡(luò)和基金單頂點加權(quán)動態(tài)網(wǎng)絡(luò)均不具有無標度特性，均具有小世界效應(yīng)；網(wǎng)絡(luò)的聚集程度基本穩(wěn)定，股票之間的平均路徑長度較小并呈現(xiàn)出逐漸增長的趨勢。利用加權(quán)CNM算法對該動態(tài)網(wǎng)絡(luò)進行社團劃分，發(fā)現(xiàn)網(wǎng)絡(luò)最優(yōu)模塊度Q值維持在較低水平，表明股票單頂點加權(quán)動態(tài)網(wǎng)絡(luò)和基金單頂點加權(quán)動態(tài)網(wǎng)絡(luò)社團化趨勢不明顯，，體現(xiàn)了基金的多樣化投資策略。對股票單頂點網(wǎng)絡(luò)中的主要社團按行業(yè)進行進一步研究發(fā)現(xiàn):隨著時間的推移，基金持股行業(yè)偏好更加廣泛，主要投資行業(yè)由2010~2011年的4個擴展到2012年的7個。
[Abstract]:In recent years, the development and perfection of the financial market in China has greatly promoted the vigorous development of the fund market, the number and scale of the fund have been greatly increased, and the influence of the investment behavior and investment strategy of the fund company on the securities market is becoming more and more complex. As of March 2013, there were 1257 securities investment funds with a total size of 2.834087 trillion, according to statistics from the China Banking Regulatory Commission. Accounting for about 12.13% of the total market value of A, B shares, the fund market has become one of the most concerned areas in the current securities market. The influence of the fund market on the securities market has increased dramatically with the increasing size of the fund, and the impact of the fund holding on the stock market has also increased significantly; at the same time, The research on fund holding helps to obtain useful information such as industry preference and portfolio of fund holding, so as to get a more comprehensive understanding of fund shareholding. At the end of the 20th century, since the beginning of the small world network and scale-free network, The study of complex network structure and properties has become a noticeable field, widely used in production processes, social networks and even in the study of various fields of society. The development and wide application of complex network theory is helpful to better understand and reveal the inherent relations and laws of various practical networks existing in nature and society. The theory and method of complex network will be a gold mine to broaden the traditional financial and economic theory. In fact, before the introduction of the theory and method of complex network into the field of financial and economic research, interdisciplinary researchers have used the analytical method of complex network to carry out the exploration of complex network in other fields and made a breakthrough. Based on the information of shareholding in China's fund market, this paper constructs a two-part network of "Fund-Stock", in order to explore the preference and basic characteristics of shareholding of China's stock open-end fund by using the research method of complex network. This paper selects the stock holding information of the stock open-end fund from 2010 to 2012. The dynamic dichotomous network model of "fund stock" is established by using complex network method, and the weighted dynamic network of single vertex of stock and single vertex of fund are obtained by weighted projection. The evolution of the network is studied from its basic statistical characteristics and community structure. It is found that both stock single vertex weighted dynamic network and fund single vertex weighted dynamic network are scale-free and have small world effect, and the aggregation degree of the network is basically stable. The average path length between stocks is small and showing a growing trend. The weighted CNM algorithm is used to divide the community of the dynamic network, and it is found that the optimal modularity Q value of the network is kept at a low level, which indicates that the trend of corporatization of the stock single vertex weighted dynamic network and the fund single vertex weighted dynamic network is not obvious. Reflect the diversification of the Fund's investment strategy. A further study of the major associations in the stock single vertex network by industry shows that with the passage of time, the preference of the fund holding industry is wider, the main investment industry expanded from 4 in 2010 to 2011 to 7 in 2012.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224
本文編號：2227135
[Abstract]:In recent years, the development and perfection of the financial market in China has greatly promoted the vigorous development of the fund market, the number and scale of the fund have been greatly increased, and the influence of the investment behavior and investment strategy of the fund company on the securities market is becoming more and more complex. As of March 2013, there were 1257 securities investment funds with a total size of 2.834087 trillion, according to statistics from the China Banking Regulatory Commission. Accounting for about 12.13% of the total market value of A, B shares, the fund market has become one of the most concerned areas in the current securities market. The influence of the fund market on the securities market has increased dramatically with the increasing size of the fund, and the impact of the fund holding on the stock market has also increased significantly; at the same time, The research on fund holding helps to obtain useful information such as industry preference and portfolio of fund holding, so as to get a more comprehensive understanding of fund shareholding. At the end of the 20th century, since the beginning of the small world network and scale-free network, The study of complex network structure and properties has become a noticeable field, widely used in production processes, social networks and even in the study of various fields of society. The development and wide application of complex network theory is helpful to better understand and reveal the inherent relations and laws of various practical networks existing in nature and society. The theory and method of complex network will be a gold mine to broaden the traditional financial and economic theory. In fact, before the introduction of the theory and method of complex network into the field of financial and economic research, interdisciplinary researchers have used the analytical method of complex network to carry out the exploration of complex network in other fields and made a breakthrough. Based on the information of shareholding in China's fund market, this paper constructs a two-part network of "Fund-Stock", in order to explore the preference and basic characteristics of shareholding of China's stock open-end fund by using the research method of complex network. This paper selects the stock holding information of the stock open-end fund from 2010 to 2012. The dynamic dichotomous network model of "fund stock" is established by using complex network method, and the weighted dynamic network of single vertex of stock and single vertex of fund are obtained by weighted projection. The evolution of the network is studied from its basic statistical characteristics and community structure. It is found that both stock single vertex weighted dynamic network and fund single vertex weighted dynamic network are scale-free and have small world effect, and the aggregation degree of the network is basically stable. The average path length between stocks is small and showing a growing trend. The weighted CNM algorithm is used to divide the community of the dynamic network, and it is found that the optimal modularity Q value of the network is kept at a low level, which indicates that the trend of corporatization of the stock single vertex weighted dynamic network and the fund single vertex weighted dynamic network is not obvious. Reflect the diversification of the Fund's investment strategy. A further study of the major associations in the stock single vertex network by industry shows that with the passage of time, the preference of the fund holding industry is wider, the main investment industry expanded from 4 in 2010 to 2011 to 7 in 2012.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224
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