本文關(guān)鍵詞： 行業(yè)配置 配置效率 基金業(yè)績(jī) 市場(chǎng)波動(dòng)　出處：《華南理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：雖然證券投資基金僅僅經(jīng)歷了短短13年的發(fā)展，但卻逐漸成為了資本市場(chǎng)上的中堅(jiān)力量。截止至2013年12月，開(kāi)放式基金的數(shù)量更是高達(dá)1516只，產(chǎn)品種類繁多，基金管理公司面臨著幾乎完全競(jìng)爭(zhēng)的市場(chǎng)。如何提升業(yè)績(jī)，從而吸引更多的客戶資源，成為了他們不得不回答和探索的問(wèn)題�；饦I(yè)績(jī)是基金管理公司的聲譽(yù)，越來(lái)越多的研究也表明，基金公司業(yè)績(jī)?cè)胶�，其獲得的基金凈流入量越多。而在提升業(yè)績(jī)的諸多因素中，行業(yè)配置則是不得不提的因素，理論界直接給出諸多進(jìn)行行業(yè)配置方法，而基金管理公司也越來(lái)越注重行業(yè)配置。然而，國(guó)內(nèi)卻較少見(jiàn)到行業(yè)配置對(duì)基金業(yè)績(jī)的影響及影響程度研究，，更別提從市場(chǎng)波動(dòng)的角度，進(jìn)一步考察行業(yè)配置對(duì)基金業(yè)績(jī)的影響及影響程度，而這正是進(jìn)行基金進(jìn)行行業(yè)配置并且更好地進(jìn)行行業(yè)配置的前提假設(shè)。 基于此，本文將選取我國(guó)開(kāi)放式基金作為研究對(duì)象，采用了理論研究與實(shí)證研究相結(jié)合的研究方法，選取了2006年1月1日之前成立的55只股票型開(kāi)放式基金作為研究樣本，以2006年至2012年為全樣本研究期間，對(duì)開(kāi)放式基金行業(yè)配置效率進(jìn)行考察和研究，并將本文的市場(chǎng)波動(dòng)界定為市場(chǎng)周期下的牛市、熊市及震蕩市，從而分市場(chǎng)環(huán)境，更深入地對(duì)行業(yè)配置效率進(jìn)行研究。首先，本文基于行業(yè)配置效率定義，構(gòu)建了行業(yè)配置效率指標(biāo)，對(duì)基金行業(yè)配置效率進(jìn)行定量分析，并從全樣本期間、分市場(chǎng)環(huán)境對(duì)行業(yè)配置效率進(jìn)行了檢驗(yàn)，通過(guò)實(shí)證得出，我國(guó)開(kāi)放式基金的行業(yè)配置效率顯著為正。再次，在對(duì)行業(yè)配置效率測(cè)算后，本文進(jìn)一步實(shí)證研究基金行業(yè)配置效率對(duì)基金業(yè)績(jī)的影響及影響程度，并對(duì)模型進(jìn)行了穩(wěn)健性檢驗(yàn)，結(jié)果表明，基金的行業(yè)配置效率對(duì)基金業(yè)績(jī)具有顯著為正的影響，但貢獻(xiàn)度較低。其次，本文進(jìn)一步考察了市場(chǎng)波動(dòng)下基金的行業(yè)配置效率對(duì)基金業(yè)績(jī)的影響，結(jié)果發(fā)現(xiàn)，在市場(chǎng)波動(dòng)下，行業(yè)配置效率對(duì)基金業(yè)績(jī)依舊均有顯著為正的影響，在牛市期間，行業(yè)配置效率對(duì)基金業(yè)績(jī)具有較大的貢獻(xiàn)。最后，結(jié)合現(xiàn)有的研究及當(dāng)前資本市場(chǎng)的現(xiàn)狀，本文為基金管理公司提供了可行性的建議。
[Abstract]:Although the securities investment fund has experienced only just 13 years of development, it has gradually become the backbone of the capital market. As of December 2013, the number of open-end funds is as high as 1516, a wide range of products, the fund management company is facing almost completely competitive market. How to improve the performance, in order to attract more customer resources, as they have to answer and to explore issues. The fund performance is the fund management company's reputation, more and more research also shows that the fund performance is better, the fund net inflows more. In many factors to improve the performance of the industry configuration is to mention, given the direct theory many of the industry sector allocation method, and fund management companies also pay more attention to the industry configuration. However, the domestic industry configuration have seldom seen the impact on the fund's performance and impact Not to mention, from the perspective of market volatility, we need to further investigate the impact of industry allocation on fund performance and the extent of its impact, which is the premise hypothesis for fund allocation and better allocation of industry.
Based on this, this article will select the open-end fund in our country as the research object, uses the research method of combining theoretical research and empirical research, selected 55 open-end funds established before January 1, 2006 as the research sample, from 2006 to 2012 during the full sample research, investigation and Study on the allocation efficiency of the open the fund industry, and the market volatility is defined as the market cycle of the bull market, bear market and shock the city, to the market environment, more in-depth research on the industry allocation efficiency. Firstly, this paper based on the definition of industry allocation efficiency, build industry allocation efficiency index, quantitative analysis on the allocation efficiency of the fund industry, and from the full sample period, market environment to test the efficiency of the allocation of industry, through empirical analysis, the allocation efficiency of China's open-end fund industry is significantly positive. Again, in the The industry allocation efficiency, allocation efficiency of this paper further empirical research on the fund industry impact on fund performance and the influence, and the model of the robust test results show that the efficiency of the allocation of funds, the industry has a significant positive impact on fund performance, but the contribution is low. Secondly, this paper further investigates the influence. The allocation efficiency of market volatility fund industry fund performance results in market volatility, industry allocation efficiency of fund performance still have significant positive effects, in the bull market period, industry allocation efficiency has great impact on fund performance. Finally, combined with the present situation of research and the current capital market in this paper. Provide feasible suggestions for the fund management company.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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