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  本文關(guān)鍵詞：我國明星基金的溢出效應(yīng)研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 明星基金 溢出效應(yīng) 固定效應(yīng)面板模型 事件研究法 Logit模型

【摘要】：目前國內(nèi)的基金業(yè)發(fā)展,整體來說比較不規(guī)范,為了競爭市場當(dāng)中的基金投資者,各大基金公司經(jīng)常采用積極的廣告媒體等方式進(jìn)行宣傳,拿出業(yè)績表現(xiàn)較好的基金作為招牌對外展示,在眾多的基金公司宣傳中,基金投資者很難有效的去選擇真正的好的基金。本文正是基于這樣一個現(xiàn)實(shí),研究當(dāng)前市場當(dāng)中存在的所謂明星基金是否真的存在正向溢出效應(yīng),即對自身和整個家族帶來顯著的資金凈流入,這種效應(yīng)是否會影響到其他本來不存在明星基金的基金公司,他們是否會對這一現(xiàn)象做出反應(yīng),并采取造星的策略進(jìn)行模仿。另一方面,研究明星基金季報(bào)公布的十大重倉股是否對二級市場投資者產(chǎn)生一定的影響,如果存在積極的影響,投資者可以據(jù)此參與投資進(jìn)行獲利,同時也說明基金對股票市場的影響比較大�？傮w而言,研究這一題目具有積極的意義,無論是對基金投資者、股票二級市場投資者還是對基金監(jiān)管層,都是有積極意義的。 本文研究的問題主要分為三個方面,都可以歸納為明星基金的溢出效應(yīng),在界定了溢出效應(yīng)等相關(guān)概念,介紹了相關(guān)理論之后,研究的第一個主要問題就是明星基金對家族當(dāng)中其他基金的影響,以及從整個家族的角度來看,影響程度如何。第二個問題研究了明星基金每個季度公布的十大重倉股這一信息是否對股票二級市場投資者產(chǎn)生了影響。本文研究的第三個問題是分析明星基金對其他基金家族的影響。歸納起來,都是研究明星基金對有關(guān)各方的影響大小。 根據(jù)上述研究的主要問題,除了第一章的導(dǎo)論部分,本文接下來的結(jié)構(gòu)安排如下： 第二章是相關(guān)的研究文獻(xiàn)回顧,主要回顧了關(guān)于明星基金溢出效應(yīng)分析的相關(guān)國內(nèi)外文獻(xiàn)。并進(jìn)行了對比,分析了一定的不足之處。 第三章是本文的理論部分,首先解釋了開放式基金、基金家族、溢出效應(yīng)等相關(guān)概念內(nèi)容,接著簡單介紹了基金管理公司的收入來源。本章的重點(diǎn)是闡述明星基金的溢出效應(yīng)概念、溢出效應(yīng)存在的原因以及利用這種溢出效應(yīng)的途徑和方式等,這些是后文進(jìn)行實(shí)證研究的理論基礎(chǔ)。 第四章是實(shí)證分析的第一部分,使用了長達(dá)21個季度的面板數(shù)據(jù)來研究明星基金對其所在家族當(dāng)中的非明星基金的溢出效應(yīng)大小,以及從整個基金家族的角度看,整體的溢出效應(yīng)大小。 第五章是實(shí)證研究的第二部分,主要研究明星基金每個季度的季報(bào)公布的十大重倉股這一信息對股票市場的影響大小,使用事件研究的方法分別從股票收益率波動和換手率波動兩個角度來研究明星基金溢出效應(yīng)的大小。 第六章是實(shí)證的最后一部分,主要研究明星基金對其他基金家族的溢出效應(yīng)。 第七章是本文的最后一章,主要對前面的研究進(jìn)行總結(jié)和歸納,得出相應(yīng)的研究結(jié)論,并針對文章當(dāng)中的研究不足之處提出今后進(jìn)一步研究的方向。 根據(jù)上述提出的研究問題,以及文章的結(jié)構(gòu)安排,經(jīng)過相應(yīng)的實(shí)證研究,文章最后得出的研究結(jié)論如下： (一)文章首先就明星基金是否存在這樣的溢出效應(yīng)進(jìn)行檢驗(yàn)。首先從單個基金的角度,分析了明星基金是否會給自身帶來資金凈流入以及對家族中其他的非明星基金又會產(chǎn)生怎樣的影響。模型一的檢驗(yàn)結(jié)果表明,前期的明星基金并沒有在本期為自己帶來更多的資金凈流入,而給家族中的其他非明星基金帶來了顯著的資金流入,說明明星基金對其他基金產(chǎn)生了正的溢出效應(yīng)。模型二是從基金家族的角度來進(jìn)行分析,得出的結(jié)論是明星基金對整個家族的影響是顯著為正的,即資金是凈流入的狀態(tài)。另一方面,垃圾基金卻并沒有造成自身以及家族中其他非垃圾基金的資金顯著流出,與明星基金對比,產(chǎn)生了一種非對稱現(xiàn)象。 (二)接著采用了已經(jīng)發(fā)展相對比較成熟的事件研究法對明星基金每個季度季報(bào)公布的十大重倉股是否對股票二級市場的投資者產(chǎn)生影響進(jìn)行分析。分別從異常收益率和異常換手率兩個角度進(jìn)行研究處理。在沒有具體區(qū)分基金購買股票的權(quán)重的情況下進(jìn)行研究發(fā)現(xiàn),無論是對于明星基金還是對于用作對比的垃圾基金來說,其異常收益率和異常換手率在統(tǒng)計(jì)上都不夠顯著,與文章的假設(shè)不相一致,為此,對模型進(jìn)行了改進(jìn)處理。處理后模型回歸的結(jié)果顯示,明星基金以及明星基金和垃圾基金共同購買的第一權(quán)重股和權(quán)重股組合在異常收益率和異常換手率上都表現(xiàn)很顯著,而權(quán)重排名第十的股票和次權(quán)重股組合在兩方面表現(xiàn)都不夠顯著。而垃圾基金購買的權(quán)重股,在異常收益率上也表現(xiàn)出了同明星基金類似的情形,只是影響的方向是相反的,但是,在異常換手率這一指標(biāo)上并沒有表現(xiàn)出統(tǒng)計(jì)上的顯著性。 (三)文章接著檢驗(yàn)了明星基金對其他基金家族的影響。文章使用面板Logit模型來檢驗(yàn)基金家族的一些特征變量與基金家族中是否出現(xiàn)明星基金之間的關(guān)系。檢驗(yàn)的結(jié)果顯示,從基金家族過去的業(yè)績很難直接判斷出產(chǎn)生明星基金的概率高低。而家族旗下基金之間業(yè)績波動較大的公司更有可能產(chǎn)生明星基金。從規(guī)模的角度看,規(guī)模越大的基金家族出現(xiàn)明星基金的概率相對較高。最后,從基金家族在前一期是否為明星家族還是垃圾家族來看,當(dāng)基金公司在前一期是明星家族時,下一期產(chǎn)生明星基金的概率較犬。在Logit模型回歸結(jié)果的基礎(chǔ)上,我們根據(jù)其中顯著的三個特征變量即基金家族旗下基金之間業(yè)績的標(biāo)準(zhǔn)差、基金家族的規(guī)模大小、前期是否是明星家族來構(gòu)造組合,進(jìn)一步分析不同家族的投資能力大小并研究其投資策略,研究結(jié)果發(fā)現(xiàn),明星家族并沒有顯著表現(xiàn)出較高的收益率水平,單純根據(jù)是否存在明星基金來投資明星家族的策略是不成功的,無法獲得較好的收益率。進(jìn)一步細(xì)分可以看出,低離差的明星家族業(yè)績穩(wěn)定,且收益水平較高,他們屬于真正的明星家族,整體的投資能力較強(qiáng),可以使得家族大部分基金的業(yè)績保持在較高的水平。相反,高離差的明星家族事前打造明星基金動機(jī)較大,家族業(yè)績表現(xiàn)很不穩(wěn)定,他們不屬于真正的明星家族,無法為投資者帶來較好的回報(bào)率。 本文主要的創(chuàng)新點(diǎn)有,其一,對明星基金的溢出效應(yīng)進(jìn)行了比較全面、系統(tǒng)的研究,涉及面比較寬廣。其二,對明星基金的溢出效應(yīng)進(jìn)行了更加廣義的拓展,并沒有局限在某一個方面,尤其是詳細(xì)的研究了明星基金對股票二級市場投資者的影響,而類似的文獻(xiàn)幾乎沒有。其三,在研究明星基金季報(bào)公布的十大重倉股對股票二級市場投資者影響的時候,遵循的是通用的事件研究法,但是在具體運(yùn)用時,將季報(bào)的內(nèi)容進(jìn)行拆分細(xì)化來分析,比較精確的研究不同信息對投資者的影響程度大小。 最后,對全文進(jìn)行總結(jié),提出了本文研究的不足之處,并指出了今后進(jìn)一步研究的方向。
[Abstract]:At present, the development of the fund industry, the whole is not standardized, in order to market competition among fund investors, the major fund companies often adopt aggressive advertising media for propaganda, with better performance of the fund as a sign of external display, many fund companies in the propaganda, it is difficult for the investors to choose the real good fund. This article is based on such a reality, there is the study on the current market the so-called star fund really has a positive spillover effect, namely to itself and the whole family have significant net inflow of funds, whether this effect will affect the others don't exist star fund fund companies, whether they will make in response to this phenomenon, and take the star strategy to imitate. On the other hand, the research of star fund quarterly published ten awkwardness on two level city Have a certain impact field investors, if positive effects exist, investors can then participate in investment profit, but also shows the influence of the fund on the stock market is relatively large. Generally speaking, the research on the subject is of positive significance, both for the fund investors, the stock market two of fund investors or regulators, are have a positive meaning.
This paper is mainly divided into three aspects, can be summarized as the star fund spillover effects, spillover effects on the definition of related concepts, then introduces the related theory, the first major problem is the study of the influence of other star fund fund family, and from the family point of view, how is the influence degree second. Study the problem of star fund each quarter released ten awkwardness this information on whether the stock market two investors affected. The third problem of this study is to analyze the impact of other star fund fund family. To sum up, all is the study of star fund impact on the size of the relevant parties.
In addition to the introduction of the first chapter, the following structure is arranged as follows:
The second chapter is related research literature review, mainly reviews related domestic and foreign literature on the spillover effect analysis of star funds, and compares and analyzes some shortcomings.
The third chapter is the theoretical part of this paper, firstly explains the open-end fund, fund family, spillover effects and other related concepts, then introduces the fund management company's source of income. The focus of this chapter is the concept of this star fund spillover effect, reason of spillover effect exists and ways and means of the spillover effect of the these, is the theoretical basis of the empirical research.
The fourth chapter is the first part of the empirical analysis. We use the panel data of 21 quarters to study the spillover effect of Star Funds on non Star Funds in their families, and the overall spillover effect from the perspective of the whole family of funds.
The fifth chapter is the second part of the empirical research, mainly studies the Star Fund Quarterly quarterly published by the ten awkwardness effect of this information on the stock market size, using the event study method respectively from the volatility of stock returns and exchange rate fluctuations in the two point of view to study the star fund spillover effect size.
The sixth chapter is the last part of the empirical study. It mainly studies the spillover effect of star fund on other fund families.
The seventh chapter is the last chapter of this paper, mainly summarizing and summarizing the previous research, and obtaining the corresponding research conclusions, and aiming at the shortcomings of the research, put forward the direction for further research.
According to the research problems mentioned above, and the structure of the article, after the corresponding empirical research, the conclusion of the article is as follows:
(a) the first star fund spillover effect whether there is such a test. The first single from the perspective of the fund of the star fund will bring its impact on the net inflow of funds and other non star fund family and a model. The test results show that the star fund and nothing in this period adds to the net inflow of funds, and to other non star fund family has brought significant capital inflows, that star fund has positive spillover effects on other funds. The two model is analyzed from the perspective of the fund family, it was concluded that the effect of star fund of the whole family is positive, which is a net inflow of state funds. On the other hand, the fund did not cause their garbage and other waste of funds in the fund family was out and out The contrast of the star fund produces an asymmetrical phenomenon.
(two) then the development has been relatively mature method of event study Star Fund Quarterly quarterly published by the ten awkwardness on whether the stock market two investors were analyzed. From the abnormal return and abnormal turnover of two angles of study treatment. Study found that in the absence of specific weights to distinguish the fund to buy shares of the case, whether it is for the star fund or for comparison of garbage funds, the abnormal returns and abnormal turnover rate in statistics are not significant, and the hypothesis is not consistent, therefore, the model is improved. Regression model after the results show that star fund and the star fund and fund waste together to buy the first heavyweight and heavyweight combination in abnormal returns and abnormal turnover rate are very significant, and the right of rearrangement Tenth of the shares and the weight stock portfolio performance in two aspects are not significant. The weight stock funds to buy junk, the abnormal return also showed a similar situation with the star fund, but the effect is opposite to the direction of the exchange rate, but in abnormal this index did not show significant in statistics.
(three) the paper then tests the impact of other star fund fund family. The paper use the panel Logit model to test the fund family some characteristic variables and the fund family whether there is relationship between the star fund. The test results show that, from the fund family's past performance is difficult to directly determine the probability level of the star fund and between the family's fund performance fluctuations of the company is more likely to produce a star fund. From the scale point of view, the probability of the larger fund family star fund is relatively high. Finally, from the fund family in the previous period whether the star family or family garbage, when the fund is in the star family the previous period, the probability of the next generation of star fund is dogs. Based on the results of Logit regression model, we according to the three variables significantly that fund family The fund's performance between the standard deviation of fund family size, early is to construct star family combination, further analysis of different family investment capacity and study its investment strategy, the results of the study showed that the star family was not showed a significantly higher yield levels, only according to the existence of star fund investment star family policy is not successful, unable to obtain better returns. Further subdivision can be seen from the low star family stable performance is poor, and the income level is higher, they are the real star of the family, the overall investment ability, can make the family most of the fund's performance remained at a higher level. On the contrary, from high the star family prior to create a star fund motivation is large, family performance is not stable, they do not belong to the real star family, not for investors with A good return rate.
The main innovations of this paper, one of the star fund spillover effect comprehensively, systematically, covers a relatively broad. Second, the spillover effect of star funds to expand more broadly, and not limited to a certain area, especially the detailed effects of star fund on the two level of stock market investors, and like almost no literature. Third, time in the study of the impact of star fund quarterly published by the ten awkwardness of the stock market two investors, followed by the event study method in general, but in the specific application, the contents of the quarterly split refinement analysis, comparison accurate information for investors of different degree of influence.
Finally, the full text is summarized, the shortcomings of this study are put forward, and the future direction of further research is pointed out.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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