本文選題：開放式基金　切入點：申購贖回機制　出處：《鄭州大學》2013年碩士論文

【摘要】：所謂有限制開放式基金是相對于開放式基金自由申購贖回而言的,開放式基金隨時申購贖回的特點增加了基金經理的運作難度,突出了流動性風險。因此,基金管理公司為了提高基金業(yè)績會從時間或數額等方面對開放式基金的申購贖回加以限制,即有限制開放式基金。目前,國內外關于開放式基金主要集中于研究其贖回問題、流動性風險和績效等方面,有關有限制的開放式基金的申購贖回機制以及該機制對基金績效的影響還沒有人研究,因此,本文的研究具有重要的理論和現實意義。 本文從開放式基金的贖回制度引發(fā)了流動性風險的問題出發(fā)引入開放式基金有限制的申購贖回機制,基于委托代理理論分析了開放式基金申購贖回機制的原理以及流動性風險的成因,在理論分析的基礎上,選取了有過限制申購贖回行為的120只開放式偏股型樣本基金,運用面板數據模型,分別對2005年第3季度到2012年第4季度、2005年第3季度到2007年第3季度的牛市和2007年第4季度到2012年第4季度的熊市三個周期內樣本基金的申購贖回機制效果進行了實證分析。得出了以下結論：(1)開放式基金主要在股權分置改革時期、2007年牛市、基金大比例分紅之前以及基金重倉股停牌時進行申購限制；(2)申購限制主要基于保護基金原份額持有人利益、防止套利、控制基金規(guī)模以及利于基金公司開展營銷;(3)通過實證分析發(fā)現：超額的市場回報使得牛市成為一個比較特殊的時期,在這個樣本區(qū)間內,基金規(guī)模、基金凈流量和機構持有比例對基金績效缺乏解釋意義；在全周期和熊市,基金規(guī)模、基金換手率與基金收益率顯著負相關；基金凈流量在全周期與基金業(yè)績正相關,熊市階段投資者的處置效應表現的更加明顯,這一指標與基金業(yè)績負相關；份額凈值波動率在全周期和牛市與基金收益率顯著正相關；基金指數漲跌幅和大盤漲跌幅,在三個樣本區(qū)間內與基金績效均是明顯的正相關關系。最后文章提出了一些政策建議,旨在幫助基金管理人提高基金績效、引導投資者進行理性的價值投資和促進我國資本市場健康發(fā)展。
[Abstract]:The so-called restricted open-end fund is relative to the open-end fund's free purchase and redemption. The characteristics of open-end fund's purchase and redemption at any time increase the difficulty of fund manager's operation and highlight the liquidity risk.Therefore, in order to improve fund performance, fund management companies will restrict the requisition and redemption of open-end funds in terms of time or amount, that is, restricted open-end funds.At present, at home and abroad, open-end funds are mainly focused on the issue of redemption, liquidity risk and performance, and there is no research on the mechanism of limited open-end funds' requisition and redemption and its impact on the performance of funds.Therefore, the study of this paper has important theoretical and practical significance.Based on the liquidity risk caused by the redemption system of open-end funds, this paper introduces the limited requisition and redemption mechanism of open-end funds.Based on the principal-agent theory, this paper analyzes the principle of open-end fund purchase and redemption mechanism and the causes of liquidity risk. On the basis of theoretical analysis, 120 open-end partial stock type sample funds with restricted purchase and redemption behavior are selected.Using the panel data model,The effect of sample fund redemption mechanism in the three periods from the third quarter of 2005 to the fourth quarter of 2012, the bull market from the third quarter of 2005 to the third quarter of 2007 and the bear market from the fourth quarter of 2007 to the fourth quarter of 2012 were analyzed empirically.The following conclusions are drawn: (1) Open-end funds are mainly in the period of split share structure reform. In the bull market of 2007, the requisition restriction is mainly based on protecting the interests of the holders of the original share of the fund, before the large proportion of dividends of the fund is suspended and when the trading of heavy stocks of the fund is suspended.To prevent arbitrage, to control the size of the fund and to facilitate the fund company to carry out marketing. Through empirical analysis, it is found that the excess market returns make the bull market a relatively special period. In this sample range, the size of the fund,In the whole cycle and bear market, fund size, fund turnover rate and fund return rate are negatively correlated with fund return, and fund net flow is positively correlated with fund performance in the whole cycle.The disposition effect of investors in bear market stage is more obvious. This index is negatively correlated with fund performance; the volatility of net share in the whole cycle and bull market is significantly positively related to the fund yield; the fund index is higher and lower, and the market is higher and lower.There is a significant positive correlation between fund performance and fund performance in the three sample intervals.Finally, some policy suggestions are put forward to help fund managers improve fund performance, guide investors to make rational value investment and promote the healthy development of China's capital market.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91

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本文編號：1729355