文档介绍：山西财经大学
硕士学位论文
影响我国开放式基金规模变动因素的实证研究
姓名:高曦
申请学位级别:硕士
专业:数量经济学
指导教师:李景华
2008-03-28
摘要
由于投资者可以进行自由申购及赎回开放式基金份额,导致了开
放式基金的规模处于不断变化之中,这对基金的流动性管理与基金运
作有十分不利的影响,尤其是出现持续大额的净赎回时,不仅严重影
响基金的运作,甚至会导致金融市场的剧烈波动。因此研究开放式基
金规模变动的影响因素及其影响程度具有重要的现实意义。
本文在国内外理论和实证研究的基础上,对各种可能影响我国开
放式基金规模变动的因素做了较详尽的理论分析,并选择只偏股
型和只偏债型基金从年第四季度到年第二季度的面
板数据建立经济计量模型,由此估计出各种因素对开放式基金规模变
动的影响方向和程度。本文实证研究的主要结论包括:( )基金相对
业绩对开放式基金规模变动有显著的正向影响。投资者偏好持有和申
购业绩表现出色的基金,证明并不存在所谓的“赎回困惑”;( )证
券市场报酬因素与基金规模变动有显著的正相关性;()本期基金净
值对本期的规模变动有负方向影响,但基金净值滞后值对规模变动具
有正向的影响;()机构持有人的持有份额比例对偏股票型基金规模
变动有负方向的影响,对偏债券型基金影响不显著;()新基金供给
对老基金规模变动有负方向的影响等等。这些结论可以为基金管理
者预测基金规模的变动与采取相应措施提供依据与参考。

【关键词】开放式基金规模变动影响因素面板数据
V
Abstract
As investors can buy or redeem the open-end fund shares
freely, the fund scale is constantly changing. It can be
destructive to fund liquidity management and fund operation,
especially when continual and substantive redemption happens,
not only the fund operation will be affected severely, but the
financial market will also be confronted with drastic
fluctuations. Therefore, it is significant for us to study the
influential factors on the change of the scale of open-end funds
as well as the degree of such influence.
Based on the theoretical and empirical studies both at
home and abroad, this paper makes detailed theoretical
analysis of all the factors that may affect the scale of open-end
fund in China. The panel data of 46 pieces of partial-stock funds
and 16 pieces of partial-bond funds (from the forth quarter of
2004 to the second quarter of 2007) are individually chosen to
build two econometric models to reckon the effect and the
influential extent of all factors. The main conclusions of this
empirical study include: (1) relative performance of open-end
funds has positive influence on fund scale. Investors prefer to
hold and buy the funds which have excellent performance. This
proves that there is no so-called ‘redemption