本文選題：基金流量　切入點：開放式基金　出處：《湖北大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：經(jīng)過十余年的快速發(fā)展,我國的開放式基金已經(jīng)成為股票市場上最大的機構(gòu)投資者,隨著我國開放式基金規(guī)模的不斷擴大,類型的不斷完善,開放式基金與股票市場之間的相互聯(lián)系與影響也逐漸引起了廣泛的關(guān)注與研究。本文從基金流量與股票市場收益之間的關(guān)系入手,選取2006年第一季度至2012年第四季為研究期間,從我國的股票型基金,混合型基金,債券型基金以及貨幣市場基金中選取研究樣本,對我國開放式基金流量與股票市場收益之間的互動關(guān)系進行了全面的實證研究。 在研究中我們主要關(guān)注了股票市場收益率與不同類型基金流量之間的相互影響以及基金流量的變動對股票市場波動性的影響。實證研究中我們主要用到VAR模型、脈沖響應(yīng)函數(shù)、格蘭杰因果檢驗和GARCH模型。研究結(jié)果表明,我國股票型基金與混合型基金的凈現(xiàn)金流量與前一期的股票市場收益率正相關(guān),我國股票型基金與混合型基金投資者存在反饋交易行為。同時我們還發(fā)現(xiàn)前一期股票型基金的凈現(xiàn)金流量與當期的股票市場收益率正相關(guān),這表明我國股票型基金流量對股票市場收益率具有壓力效應(yīng)。債券型基金與貨幣市場基金的流量變化無法由前期的股票市場收益率來解釋,說明債券型基金與貨幣市場基金是相對獨立于股票市場的投資品種,這在一定程度上可以起到穩(wěn)定市場的作用。在基金流量對股票市場波動性的影響方面,我們發(fā)現(xiàn)在我國開放式基金規(guī)�？焖贁U大,基金流量呈現(xiàn)大規(guī)模凈流入時,我國的股票市場的波動性明顯高于基金流量的穩(wěn)定期。 最后在本文研究結(jié)論的基礎(chǔ)上,我們就如更好的何促進我國開放式基金與股票市場和諧穩(wěn)定的發(fā)展提出了相關(guān)政策建議。
[Abstract]:After more than ten years of rapid development, open-end funds in China have become the largest institutional investors in the stock market. With the continuous expansion of the scale and type of open-end funds in China, The relationship and influence between the open-end fund and the stock market has gradually aroused extensive attention and research. This paper starts with the relationship between the fund flow and the stock market returns, and selects the fourth quarter of in the first quarter of 2006 to 2012 as the research period. From the stock funds, mixed funds, bond funds and money market funds in China, this paper makes a comprehensive empirical study on the interaction between the flow of open-end funds and the return of the stock market. In the research, we mainly focus on the interaction between the return rate of stock market and the flow of different types of funds, and the influence of the change of fund flow on the volatility of stock market. In the empirical study, we mainly use the VAR model. Impulse response function, Granger causality test and GARCH model. The results show that the net cash flow of equity funds and hybrid funds is positively correlated with the return of stock market in the previous period. At the same time, we also find that the net cash flow of the stock fund in the previous period is positively related to the return rate of the stock market in the current period. This indicates that the stock fund flow has a pressure effect on the stock market yield, and the change of the bond fund flow and the money market fund flow can not be explained by the stock market yield. It shows that bond funds and money market funds are relatively independent of the stock market, which can stabilize the market to some extent. We find that the volatility of China's stock market is obviously higher than that of the stable period of fund flow when the scale of open-end funds expands rapidly and the fund flow presents a large net inflow. Finally, on the basis of the conclusion of this paper, we put forward some policy suggestions on how to promote the harmonious and stable development of open-end fund and stock market in China.
【學(xué)位授予單位】：湖北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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