我国开放式基金赎回问题研究.doc

中 文 摘 要 由于我国证券市场的不成熟，以及基金市场的初创，我国的开放式基金表现出与国外开放式基金较多的不同处。研究这些不同之处和导致这些不同处的原因，无论是对基金管理公司还是基金投资者或者证券监管部门，都是具有一定意义的。 本文通过对收集到的2003年和2004年的基金数据。用统计方法研究了开放式基金成立以来的赎回状况、分红时机问题，以及股市波动对赎回的影响作用。用实证方法分析了基金收益率、分红、基金规模和基金净值对赎回的影响以及基金赎回对基金流动性资产的关系。得到的研究结果显示：我国的基金分红具有一定的规律性。机构投资者有存在年报效应的迹象。在整个样本的观察期内，没有明显证据表明股市的风险状况对基金赎回起作用。模型回归的结果暗示总体上滞后一期收益和分红都对基金赎回具有控制作用。我国目前的基金市场存在着表现差的基金受到一定惩罚，但表现好的也没有受到奖励的不完全非对称处置效应。基金赎回与基金流动性资产存在正相关关系，但是这种正相关关系完全不同于理论分析得到的正相关的推论。 关键词：开放式基金；赎回；影响因素；流动性资产 Abstract Due to the immaturity of our country’s security market and the beginning of our fund market, there are much difference between our open-end mutual fund and foreign. It is significant to investigate the differences and the reasons for fund companies, investors and securities regulatory department. In this paper, through collecting fund data of 2003 and 2004, investigating the redemption situation and dividend situation, the influence of the volatility of stock market to redemption with the statistic method. With the empirical way to analysis the influence of the return of fund, dividend, asset and net value to redemption, and to study the relationship between redemption and liquid assets. The research result show the fund dividend has regularity. There is an evidence of institute investors’ annals effect. In the whole observation, there is not evidence to prove the risk situation of stock market affects the redemption. The regressive result implies that log return and log dividend of fund can control the redemption. There is an asymmetrical disposition effect in our open-end mutual fund market, the funds behaving badly are punished, but the funds behaving nice are not awarded. The redemption has a positive relation with the liquid assets, but the relation is different from the theoretical one. Key words: open-end mutual fund; redemption; influence factors; liquid assets 目 录 中文摘要 英文摘要 1 导论…………………………………………………………………………............1 1.1我国开放式基金赎回