本文關(guān)鍵詞：中國證券投資基金動量、反轉(zhuǎn)交易行為的實證研究　出處：《山東大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 行為金融學 動量效應 反轉(zhuǎn)效應

【摘要】：動量效應、反轉(zhuǎn)效應、日歷效應、規(guī)模效應、市盈率效應等金融異象極大地挑戰(zhàn)了現(xiàn)代金融學理論,盡管有學者試圖從風險角度對其進行解釋,但實證研究發(fā)現(xiàn),即使經(jīng)過風險調(diào)整,動量效應仍顯著存在。在傳統(tǒng)金融學無法給出合理解釋的背景下,行為金融學理論立足于投資者實際決策過程,從心理認知偏差的角度對投資者的交易行為及其導致的金融異象加以解釋,并形成了系統(tǒng)的理論模型。 既然動量效應、反轉(zhuǎn)效應普遍存在于股票市場,那么,專業(yè)的基金管理人如何利用這一“異象”調(diào)整資產(chǎn)組合成為大家關(guān)注的焦點。因此,本文在回顧了中國證券投資基金發(fā)展歷史的基礎上,簡要分析其交易行為的特點。在實證研究方面,本文以2004年第四季度至2012年第三季度基金交易數(shù)據(jù)作為研究樣本,采用Badrinath and Wahal改進的GTW模型分析中國證券投資基金動量、反轉(zhuǎn)策略傾向。實證結(jié)果表明,與Grinbaltt等人的研究結(jié)果不同,中國的證券投資基金整體表現(xiàn)為反轉(zhuǎn)交易者,且傾向于買入過去表現(xiàn)好的股票,賣出時也選擇過去表現(xiàn)好的股票,即“高買高賣”。此外,本文還分析了不同投資風格(成長型、價值型、平衡型)、不同市場狀態(tài)(牛市、熊市、震蕩調(diào)整期)下基金交易策略的不同。發(fā)現(xiàn)價值型基金有最強烈的“高買高賣”意向,且基金在震蕩調(diào)整期的動量、反轉(zhuǎn)指標最低。 在此研究基礎上,本文用spearman等級相關(guān)系數(shù)檢驗方法分別計算三個衡量基金績效的指標(時間加權(quán)收益率、夏普指數(shù)、詹森指數(shù))與ITM指標的相關(guān)性。出于統(tǒng)計數(shù)據(jù)可得性的考慮,本文選用國泰安數(shù)據(jù)庫“基金評價指標”中的“周度數(shù)據(jù)近三年評價文件”相關(guān)數(shù)據(jù),分析2010年第三季度至2012年第三季度基金績效指標與ITM的相關(guān)性。發(fā)現(xiàn)基金根據(jù)上一季度的股票價格變動情況采取“高買高賣”的策略有助于提升投資業(yè)績,根據(jù)個股兩個季度前的表現(xiàn)采取的策略對基金績效的影響視其評價指標的不同而不同。另一方面,除了基金買入上個季度表現(xiàn)好的股票(追漲)這一策略與時間加權(quán)收益率、夏普指數(shù)這兩個基金業(yè)績之間存在顯著正相關(guān)的關(guān)系、買入兩個季度前表現(xiàn)好的股票與根據(jù)夏普指數(shù)計算的基金績效指標有顯著負相關(guān)關(guān)系以外,沒有證據(jù)證明其他的投資策略與基金各績效指標之間存在顯著相關(guān)關(guān)系。 最后,本文提出了相關(guān)的政策建議。主要有：(1)加快完善市場做空機制。以真正起到起到平抑股市波動性、提高流動性及加快價值發(fā)現(xiàn)的作用。(2)完善基金評價體系,注重其長期表現(xiàn)。(3)提高上市公司門檻,并完善強制退市機制,以提高證券市場整體質(zhì)量。
[Abstract]:Financial anomalies, such as momentum effect, reversal effect, calendar effect, scale effect, price-earnings ratio effect, have greatly challenged the modern financial theory, although some scholars have tried to explain it from the perspective of risk. However, the empirical study found that even after risk adjustment, momentum effect still exists significantly. Under the background that traditional finance can not give a reasonable explanation, behavioral finance theory is based on the investors' actual decision-making process. From the perspective of psychological cognitive bias, this paper explains the trading behavior of investors and the financial anomalies caused by it, and forms a systematic theoretical model. Since momentum effect, reversal effect exists generally in the stock market, how the professional fund managers use this "vision" to adjust the portfolio has become the focus of attention. On the basis of reviewing the development history of China's securities investment funds, this paper briefly analyzes the characteristics of its trading behavior. This paper takes the fund trading data from in the fourth quarter of 2004 to in the third quarter of 2012 as the research sample. Badrinath and Wahal improved GTW model is used to analyze the momentum of Chinese securities investment funds and the trend of reverse strategy. The empirical results show that. Different from the research results of Grinbaltt and others, Chinese securities investment funds as a whole behave as reverse traders, and tend to buy stocks with good performance in the past, and also choose the stocks that performed well in the past when they sell. In addition, this paper also analyzes the different investment styles (growth, value, balance, different market conditions (bull market, bear market). It is found that the value fund has the strongest intention of "buying high and selling high", and the momentum of the fund in the period of shock adjustment is the lowest. On the basis of this study, this paper uses the spearman rank correlation coefficient test method to calculate three indicators (time-weighted return, sharp index) to measure the performance of the fund. The correlation between Jensen index and ITM index. In view of the availability of statistical data, this paper selects the relevant data of "cycle data in recent three years evaluation document" in Cathay Pacific database "Fund Evaluation Index". This paper analyzes the correlation between fund performance index and ITM from in the third quarter of 2010 to in the third quarter of 2012. It is found that the fund adopts "high buying and high selling" according to the stock price change in the last quarter. The strategy helps to improve investment performance. According to the performance of the stock two quarters ago, the impact of the strategy on the performance of the fund varies according to its evaluation index. On the other hand. In addition to the strategy of funds buying stocks that performed well in the last quarter (catch-up) and time-weighted yields, there is a significant positive correlation between the performance of the Sharp index and the performance of the two funds. Buying stocks that performed well two quarters ago had a significant negative correlation with the Fund's performance indicators based on the Sharp Index. There is no evidence that there is a significant correlation between other investment strategies and fund performance indicators. Finally, this paper puts forward the relevant policy recommendations. There are mainly 1: 1) accelerate the improvement of the market short-selling mechanism in order to play a real role in stabilizing the volatility of the stock market. Improving liquidity and accelerating the discovery of value. 2) perfecting the fund evaluation system, paying attention to its long-term performance, raising the threshold of listed companies, and perfecting the forced delisting mechanism in order to improve the overall quality of the securities market.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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