【摘要】：20世紀(jì)90年代初我國(guó)第一只封閉式基金上市。隨著規(guī)范證券投資基金交易法律法規(guī)的頒布，我國(guó)證券投資基金逐步邁上了成熟和規(guī)范的發(fā)展道路。2010年以來(lái)互聯(lián)網(wǎng)金融和大資產(chǎn)管理模式的快速發(fā)展，聯(lián)網(wǎng)金融平臺(tái)與基金管理公司的成功合作，為我國(guó)證券投資基金市場(chǎng)帶來(lái)了第二次高速發(fā)展的時(shí)期。 在新的時(shí)代環(huán)境背景下，大量涌現(xiàn)出創(chuàng)新型基金產(chǎn)品，如上市型開(kāi)放基金（LOF）、指數(shù)基金（ETF）等，給基金管理者、資本市場(chǎng)監(jiān)管者和機(jī)構(gòu)投資者把握基金交易運(yùn)行規(guī)律提出了新的要求。本文以我國(guó)封閉式基金和上市型開(kāi)放式基金價(jià)格和交易量之間的聯(lián)動(dòng)關(guān)系為出發(fā)點(diǎn)，試圖以實(shí)證檢驗(yàn)和理論分析相結(jié)合的方法解決我國(guó)證券投資基金的以下問(wèn)題：第一，我國(guó)封閉式基金、上市型開(kāi)放式基金（LOF）的價(jià)格和交易量存在怎樣的聯(lián)動(dòng)關(guān)系？第二，我國(guó)封閉式基金、上市型開(kāi)放式基金的價(jià)格和交易量之間存在何種形式的波動(dòng)溢出效應(yīng)？第三，我國(guó)封閉式基金價(jià)格和交易量之間的波動(dòng)溢出效應(yīng)是否區(qū)別于LOF基金的價(jià)格和交易量之間的波動(dòng)溢出效應(yīng)？ 本文首先對(duì)封閉式基金、LOF基金價(jià)格和交易量之間的聯(lián)動(dòng)關(guān)系進(jìn)行多元回歸分析。在多元回歸分析的基礎(chǔ)上，通過(guò)二元BEKK-GARCH模型對(duì)價(jià)格和交易量之間的波動(dòng)溢出效應(yīng)進(jìn)行初步估計(jì)。然后再通過(guò)建立Wald系數(shù)檢驗(yàn)的模式，對(duì)我國(guó)封閉式基金和LOF基金價(jià)格和交易量之間的波動(dòng)溢出效應(yīng)進(jìn)行二次檢驗(yàn)，最終確定價(jià)格和交易量之間波動(dòng)溢出的效應(yīng)的傳遞方向。 基于上述方法和思路，本文選擇了12只封閉式基金樣本和27只開(kāi)放式基金樣本進(jìn)行實(shí)證研究，，得到以下研究結(jié)論：第一，我國(guó)封閉基金價(jià)格和交易量之間存在基于信息的關(guān)聯(lián)關(guān)系，并且價(jià)格和交易量對(duì)彼此的影響并不一致，非預(yù)期的當(dāng)期交易量的變動(dòng)對(duì)價(jià)格的變動(dòng)具有較強(qiáng)的解釋力度，非預(yù)期的正向價(jià)格變動(dòng)對(duì)當(dāng)期交易變化影響顯著。第二，我國(guó)封閉式基金價(jià)格和交易量之間存在顯著的雙向波動(dòng)溢出效應(yīng)，但是LOF基金價(jià)格和交易量之間的波動(dòng)溢出效應(yīng)方向并不一致。 文章最后在總結(jié)了本文研究結(jié)論的基礎(chǔ)上，結(jié)合互聯(lián)網(wǎng)金融和大資管時(shí)代不斷發(fā)展的現(xiàn)狀，從基金管理者、投資者和監(jiān)管者等方面就如何完善我國(guó)基金市場(chǎng)的發(fā)展提出了相關(guān)對(duì)策建議。
[Abstract]:In the early 1990 s, the first closed-end fund was listed in China. With the promulgation of laws and regulations regulating the trading of securities investment funds, China's securities investment funds have gradually embarked on a mature and standardized development path. Since 2010, the rapid development of Internet finance and large asset management model. The successful cooperation between networked financial platform and fund management company has brought the second period of rapid development of securities investment fund market in China. In the context of the new era, a large number of innovative fund products, such as the listed open fund (LOF), index fund (ETF) and so on, have emerged to fund managers. Capital market regulators and institutional investors have put forward new requirements to grasp the operation law of fund transactions. Based on the linkage relationship between the price and trading volume of closed-end funds and listed open-end funds in China, this paper tries to solve the following problems of securities investment funds in China by means of empirical test and theoretical analysis. What is the linkage relationship between the price and transaction volume of closed-end fund and listed open-end fund (LOF) in China? Second, what form of volatility spillover effect exists between the price and trading volume of closed-end funds and listed open-end funds in China? Third, is the volatility spillover effect between the price and trading volume of closed-end funds in China different from the volatility spillover effect between the price and trading volume of LOF funds? In this paper, the linkage relationship between closed-end fund, LOF fund price and transaction volume is analyzed by multiple regression analysis. On the basis of multivariate regression analysis, the volatility spillover effects between price and trading volume are estimated by binary BEKK-GARCH model. Then, by establishing the model of Wald coefficient test, the volatility spillover effect between the price and trading volume of closed-end fund and LOF fund in China is tested twice, and the transmission direction of volatility spillover effect between price and trading volume is finally determined. Based on the above methods and ideas, this paper selects 12 closed-end fund samples and 27 open-end fund samples for empirical research, and draws the following conclusions: first, There is an information-based relationship between the price and trading volume of closed funds in China, and the influence of price and trading volume on each other is not consistent. The unexpected change of current trading volume has a strong explanation for the change of price. Unexpected positive price changes have a significant impact on current trading changes. Secondly, there is a significant two-way volatility spillover effect between closed-end fund price and trading volume in China, but the direction of volatility spillover effect between LOF fund price and trading volume is not the same. Finally, on the basis of summing up the conclusions of this paper, combined with the continuous development of Internet finance and large capital management era, from the fund managers, Investors and regulators put forward some countermeasures and suggestions on how to improve the development of China's fund market.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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