本文選題：證券投資基金　切入點(diǎn)：技術(shù)效率　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：效率是企業(yè)經(jīng)營管理的核心,金融企業(yè)的效率不僅決定了其競爭力,而且對一國的金融市場乃至經(jīng)濟(jì)的有效運(yùn)行有重要影響。經(jīng)過二十多年來的發(fā)展,證券投資基金已成為我國金融市場上的主要機(jī)構(gòu)投資者之一,對于穩(wěn)定金融市場、合理分配經(jīng)濟(jì)資源和完善投資渠道有重要作用。然而近年來,我國基金業(yè)的整體業(yè)績低迷,所以對基金績效和影響因素的分析顯得格外重要。同時,本文基金技術(shù)效率的分析是對于目前基金績效考察標(biāo)準(zhǔn)的有效補(bǔ)充。 本文采用隨機(jī)前沿方法,以FF三因素模型作為生產(chǎn)函數(shù),估計和分析了我國證券投資基金的技術(shù)效率。文章選取了截止到2011年12月基金市場存續(xù)過的1187只基金作為研究對象,采用2005年1月到2011年12月間的相關(guān)數(shù)據(jù),通過構(gòu)建合適的基金技術(shù)效率測算模型,分析并總結(jié)出我國證券投資基金行業(yè)不同市場環(huán)境下的總體效率,對比并分析了不同類型基金的技術(shù)效率。為研究技術(shù)效率的影響因素,本文從基金經(jīng)理個人特質(zhì)及基金本身特點(diǎn)兩方面定義了包括學(xué)歷、經(jīng)驗(yàn)和基金報酬等12個解釋變量,構(gòu)建線性模型估計解釋變量與技術(shù)效率的相關(guān)性,對基金技術(shù)效率的影響因素進(jìn)行了分析。 通過計算,本文得出我國證券投資基金業(yè)的技術(shù)效率并不高,在牛市、熊市和震蕩市三種不同的市場環(huán)境下,整個基金業(yè)的技術(shù)效率分別為0.5737、0.479和0.768,說明我國基金業(yè)業(yè)績還有很大程度依賴運(yùn)氣因素。另外,不同類型基金在不同市場環(huán)境下技術(shù)效率存在一定差異。通過構(gòu)造研究影響基金技術(shù)效率的線性模型進(jìn)行估計發(fā)現(xiàn)教育背景和薪酬水平等4個因素對技術(shù)效率的影響并不顯著；基金經(jīng)理任職基金數(shù)和基金規(guī)模等3個因素與技術(shù)效率旱負(fù)相向關(guān)系；證券從業(yè)經(jīng)驗(yàn)和機(jī)構(gòu)客戶持有比等5個因素與基金技術(shù)效率正相關(guān)。 在結(jié)構(gòu)上,文章主體由七章組成。第一章為緒論,闡述了本文的選題背景、目的和意義：第二章回顧和討論了國內(nèi)外證券投資基金績效研究的方法及相關(guān)文獻(xiàn),并闡述了技術(shù)效率及隨機(jī)前沿模型研究的發(fā)展；第三章從制度完善、監(jiān)管機(jī)制、市場特點(diǎn)等方面對我國證券投資基金發(fā)展的各階段發(fā)展特點(diǎn)進(jìn)行了回顧和分析；第四章解釋了計算基金技術(shù)效率所采取的計量模型、估計方法、數(shù)據(jù)來源和計量處理等方面內(nèi)容；第五章是文章的核心部分,給出了不同類型樣本基金在布同市場環(huán)境下的技術(shù)效率評估的實(shí)證研究結(jié)果,并進(jìn)行了理論解釋。第六章建立多元回歸模型研究了基金技術(shù)效率的影響因素。第七章是對文章的綜述并總結(jié)了本文的創(chuàng)新和不足之處。
[Abstract]:Efficiency is the core of enterprise management. The efficiency of financial enterprises not only determines their competitiveness, but also has an important impact on the effective operation of a country's financial market and economy. Securities investment funds have become one of the main institutional investors in China's financial market, which plays an important role in stabilizing the financial market, rationally distributing economic resources and perfecting investment channels. However, in recent years, the overall performance of the fund industry in China has been depressed. Therefore, the analysis of fund performance and influencing factors is particularly important. At the same time, the analysis of fund technical efficiency is an effective supplement to the current evaluation standard of fund performance. In this paper, we use the stochastic frontier method and FF three-factor model as the production function to estimate and analyze the technical efficiency of China's securities investment funds. This paper selects 1187 funds that have existed in the fund market until December 2011 as the research object. Based on the relevant data from January 2005 to December 2011, this paper analyzes and summarizes the overall efficiency of China's securities investment fund industry under different market conditions by constructing a suitable fund technical efficiency measurement model. This paper compares and analyzes the technical efficiency of different types of funds. In order to study the influencing factors of technical efficiency, this paper defines 12 explanatory variables, including education, experience and fund compensation, from two aspects: personal characteristics of fund manager and fund itself. A linear model is constructed to estimate the correlation between the explanatory variables and the technical efficiency, and the influencing factors of the technical efficiency of the fund are analyzed. Through calculation, this paper concludes that the technical efficiency of China's securities investment fund industry is not high, in the bull market, bear market and shock market three different market environment, The technical efficiency of the whole fund industry is 0.5737 / 0.479 and 0.768 respectively, which indicates that the performance of China's fund industry is still largely dependent on the factors of luck. There are some differences in technical efficiency among different types of funds in different market environment. By constructing a linear model to estimate the technical efficiency of funds, it is found that four factors, such as educational background and salary level, have no significant effect on technical efficiency. The number and size of funds held by fund managers are negatively related to the technical efficiency, and five factors, such as securities experience and institutional customer holding ratio, are positively related to the technical efficiency of funds. In structure, the main body of the article is composed of seven chapters. The first chapter is the introduction, which expounds the background, purpose and significance of this paper. The second chapter reviews and discusses the methods and related documents of the research on the performance of securities investment funds at home and abroad. The third chapter reviews and analyzes the characteristics of the development of China's securities investment fund from the aspects of system perfection, supervision mechanism, market characteristics and so on. The fourth chapter explains the measurement model, estimation method, data source and measurement processing used to calculate the technical efficiency of the fund. Chapter 5 is the core part of the article. The empirical results of technical efficiency evaluation of different types of sample funds in the same market environment are given. The sixth chapter establishes the multiple regression model to study the influencing factors of fund technical efficiency. The seventh chapter is a summary of the article and summarizes the innovation and shortcomings of this paper.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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