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股票型基金投资风格随市漂移已成为一种常态,故动态识别基金风格漂移现象具有重要意义。本文构建了识别投资风格漂移的TGARCH-M模型,并选取2006年之前成立的开放式股票型基金作为样本,将2006~2015年的股市行情分为上涨、下跌、回调、震荡、再次上涨五个阶段,利用TGARCH-M模型对这五个阶段及整个期间的样本股票型基金投资风格漂移和收益率波动情况进行了动态验证。结果表明该模型能够较好识别投资风格漂移现象:占比85.71%的基金在长期均发生了风格漂移,在股市下跌阶段漂移现象更为严重,而在股市上涨阶段大部分基金可以坚持投资风格,同时风格漂移与收益率的波动大小无必然联系。最后,本文进一步分析了投资风格漂移的可能原因,并对监管投资风格漂移现象给出了相关建议。
The investment style of equity funds has become a normal phenomenon with the drift of the city. Therefore, it is of great significance to dynamically identify the phenomenon of fund style drift. This paper constructs a TGARCH-M model that identifies the drifting investment style, selects the open-ended equity funds established before 2006 as a sample, and divides the stock market from 2006 to 2015 into five categories: up, down, callback and shocks Stage, the use of TGARCH-M model of these five stages and the entire period of the sample equity funds investment style drift and yield fluctuations of the dynamic verification. The results show that the model can better identify the phenomenon of investment style drift: the fund accounting for 85.71% has experienced a style drift in the long run, and the drift phenomenon is more serious during the decline of the stock market. Most funds can uphold the investment style in the rising stage of the stock market, At the same time, there is no necessary correlation between the style drift and the volatility of the rate of return. Finally, this article further analyzes the possible causes of investment style drift, and gives some suggestions on the phenomenon of regulatory investment style drift.