影响我国开 放式基金规模变动因素的实证研究论文.docVIP

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. T he 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 puzzle’; (2) VI security market reward is distinctly positive relevant to fund scale; (3) the net value of funds is negative relevant to the change of current fund scale, while the lags are positive relevant to the change of scale; (4) share ratio of institutional holders has negative influence on the change of scale; (5) the supply of new funds is negative relevant to the old funds, etc. These conclusions provide a guide for fund managers to  forecast  the  change  of  scale  and  adopt  corresponding  measures accordingly. 【Key Words】Open-end Fund; Scale Change; Influential Factor; Panel Data VII 山西财经大学　 学位论文原创性声明　 本人郑重声明：所呈交的学位论文，是本人在导师的指导下，独立进行研 究工作所取得的成果。除文中已经注明引用的内容外，本论文不包含任何其他 个人或集体已经发