本文關(guān)鍵詞：中國封閉式證券投資基金業(yè)績評價研究　出處：《天津商業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 封閉式投資基金 業(yè)績評價 影響因素 實(shí)證研究

【摘要】：在中國證券投資基金業(yè)發(fā)展的15年歷程中，在國家管理層的扶持和規(guī)范下，基金規(guī)模不斷壯大，品種不斷創(chuàng)新，法律法規(guī)逐漸健全，社保基金、保險資金、企業(yè)年金等機(jī)構(gòu)投資者和散戶投資者市場快速成長，中國基金業(yè)得到了迅猛的發(fā)展。而如何借鑒國外的基金業(yè)績評價體系對我國證券投資基金業(yè)績進(jìn)行全面客觀的評價，已經(jīng)受到各方的關(guān)注�，F(xiàn)在國內(nèi)關(guān)于基金業(yè)績評價的研究還存在諸多不足之處，滯后的理論研究與現(xiàn)實(shí)中對于基金業(yè)績評價的需求不相平衡，所以對基金業(yè)績進(jìn)行評價的研究是十分必要的。論文主要在借鑒西方國家先進(jìn)的基金業(yè)績評價理論的基礎(chǔ)上，主要從實(shí)證的視角對我國基金業(yè)績評價體系進(jìn)行了研究。眾所周知證券投資基金的收益率水平差別較大，如何在眾多基金產(chǎn)品中選擇適合自己的品種，，如何在眾多基金公司中選擇優(yōu)秀的理財(cái)專家值得我們深入的思考。 論文首先提出了研究背景和意義，對基金的發(fā)展歷程、基本情況、評價意義作了簡要介紹；然后對國內(nèi)外證券投資基金業(yè)績評價的理論和實(shí)證研究結(jié)果進(jìn)行了文獻(xiàn)綜述；接著介紹了證券投資基金的內(nèi)涵和作用、證券投資基金業(yè)績評價的理論基礎(chǔ)、目前我國封閉式基金的概況以及我國封閉式基金業(yè)績評價存在的障礙和問題；之后介紹了基金業(yè)績評價的研究方法，主要有相關(guān)性與平穩(wěn)性研究方法、引導(dǎo)與沖擊響應(yīng)研究方法、總體績效指數(shù)評價法（包括夏普指數(shù)、詹森指數(shù)、特雷諾指數(shù)）、T-M模型和FF因子分析模型等；實(shí)證分析時，結(jié)合我國證券投資基金市場的特點(diǎn)，選取了我國上海證券交易所的11只封閉式基金,具體為基金安順（AS）、基金安信（AX）、基金漢盛（HS）、基金漢興（HX）、基金金鑫（JX）、基金科瑞（KR）、基金泰和（TH）、基金通乾（TQ）、基金興和（XH）、基金銀豐（YF）和基金裕陽（YY）。所選取的樣本區(qū)間為2010年1月至2012年12月，以11只基金的周收盤價數(shù)據(jù)為研究目標(biāo)，每只基金獲得152個周收盤價時間序列樣本數(shù)。由于基金主要投資于滬深股票市場，所以采用滬深300指數(shù)的周收盤價時間序列數(shù)據(jù)作為反映市場運(yùn)行狀況的指標(biāo)。市場無風(fēng)險利率采用市場基準(zhǔn)利率數(shù)據(jù)代替，并將年利率轉(zhuǎn)換為日利率。 實(shí)證分析結(jié)果表明：基金的價格收益率波動大約維持在±4%左右，樣本基金的運(yùn)行績效都超過了無風(fēng)險利率的水平，部分樣本基金的投資績效具有明顯的規(guī)模效應(yīng)，大部分基金在投資過程中的選股能力尚顯不足，基金管理人在某種程度上也缺乏較好的擇時能力，尤其是非線性的把握時機(jī)的能力尚有待提高。此外，論文還對影響我國基金業(yè)績的因素進(jìn)行了分析，提出一些可行性建議：規(guī)范證券市場，優(yōu)化證券基金市場結(jié)構(gòu)，加強(qiáng)市場監(jiān)管，深化基金業(yè)績評價體系和機(jī)構(gòu)的改革等。
[Abstract]:In the development of Chinese securities investment fund industry for 15 years, in the national management support and norms, the fund size has grown varieties of continuous innovation, and gradually improve laws and regulations, social security funds, insurance funds, corporate pension and other institutional investors and retail investors, rapid growth, Chinese fund industry has been rapid development and how to draw lessons from the foreign fund performance evaluation system for comprehensive evaluation of the performance of the securities investment fund in China, has been concerned. Now the domestic research on the performance evaluation of funds still exist many deficiencies, theoretical research and practical lag in fund performance evaluation is the demand of phase equilibrium, so for the study to evaluate the performance of the fund is very necessary. This paper on the basis of the experience of advanced western countries fund performance evaluation theory, mainly from the empirical perspective The Chinese fund performance evaluation system is studied. As everyone knows the securities investment fund yields vary greatly, how to choose their own suitable varieties in many fund products, how many fund companies choose the outstanding financial experts are worthy of our deep thinking.
This paper put forward the research background and significance, the development history of the fund, the basic situation, the significance of evaluation are briefly introduced; then on the domestic and foreign securities investment fund performance evaluation theory and empirical research results were reviewed; then introduces the connotation and function of securities investment fund, the theoretical basis of stock investment fund performance evaluation at present, China's closed end fund and the existence of the fund performance evaluation in China closed obstacles and problems; then introduces the research methods of fund performance evaluation, mainly associated with the stability of the research methods, research methods to guide the response and impact the overall performance evaluation index method (including SHARP index, Jansen index, Toreno T-M model and FF index), factor analysis model; empirical analysis, combining the characteristics of China's securities investment fund market, selected the China Shanghai Stock Exchange The 11 closed-end funds, specifically for the foundation of Anshun (AS), Anxin Fund (AX), the fund Hansheng (HS), (HX), the fund Hanxing Jin Xin Fund (JX) fund, Corey (KR), Taihe (TH), (TQ), Tongqian fund fund Xinghe (XH), Yinfeng Fund (YF) and Yuyang Fund (YY). The sample interval is from January 2010 to December 2012, to fund 11 week closing price data as the research object, each fund received 152 week closing price time series sample number. The fund invests primarily in the Shanghai and Shenzhen stock market, closing price time series data so the Shanghai and Shenzhen 300 index as the week reflects the operating situation of market index. The market risk-free interest rate by market benchmark interest rate data instead, and the annual interest rate is converted to daily rates.
The empirical results show that fund price volatility remained at approximately + 4% or so, the operation performance of the sample funds have exceeded the level of the risk-free rate, and has obvious scale effect part of the sample fund investment performance, most of the fund stock selection in the process of investment is insufficient, the fund manager is also a lack of good the alternative to a certain extent when ability, especially the ability to grasp the opportunity of the nonlinear still need to be improved. In addition, the paper also analyzed the influencing factors of fund performance in China, puts forward some feasible suggestions: regulation of the securities market, optimize the market structure of the securities fund, strengthen market supervision, deepen the fund performance evaluation system and mechanism the reform.

【學(xué)位授予單位】：天津商業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 朱才斌;陳斌;;2004年我國封閉式證券投資基金業(yè)績評價[J];北京工業(yè)大學(xué)學(xué)報(bào)(社會科學(xué)版);2005年04期

2 邢雷;;我國證券投資基金發(fā)展問題研究[J];北京市經(jīng)濟(jì)管理干部學(xué)院學(xué)報(bào);2007年02期

3 陳學(xué)榮;投資基金業(yè)績綜合評估的指數(shù)法及其應(yīng)用[J];財(cái)貿(mào)經(jīng)濟(jì);2000年05期

4 孔愛國,劉武;基金的市場時機(jī)選擇檢驗(yàn)──對基金管理人業(yè)績的評價[J];復(fù)旦學(xué)報(bào)(社會科學(xué)版);2001年05期

5 陳宇峰;證券投資基金業(yè)績評價理論模型述評[J];廣西財(cái)政高等專科學(xué)校學(xué)報(bào);2002年06期

6 吳啟芳,陳收,雷輝;基金業(yè)績持續(xù)性的回歸實(shí)證[J];系統(tǒng)工程;2003年01期

7 郭放;;我國證券投資基金業(yè)績評價及擇時能力研究[J];哈爾濱商業(yè)大學(xué)學(xué)報(bào)(社會科學(xué)版);2010年06期

8 肖挺;我國證券投資基金業(yè)績分析[J];決策借鑒;2001年05期

9 陳收,楊寬,吳啟芳,舒彤;投資基金績效評價的Sharpe指數(shù)與衰減度實(shí)證分析[J];管理科學(xué)學(xué)報(bào);2003年03期

10 俞喬;市場有效、周期異常與股價波動——對上海、深圳股票市場的實(shí)證分析[J];經(jīng)濟(jì)研究;1994年09期

本文編號：1437280