我国证 券投资基金业的绩效分析——基于动量交易行为的视角-performance analysis of chinas securities investment fund industry - based on momentum trading behavior.docxVIP

ABSTRACT ABSTRACT I II Research on Securities Investment Fund’? Appraisal Performance —Based on the Momentum Trading Vision ABSTRACT The securities investment fund in China began in 1992, with nearly 20 years of development, it has become the main institutional investors in stock market. The purposes of the government developing institutional investors as a representative of the securities investment fund is to stabilize the stock market, although the controversy on the funds could reduce sharp fluctuations in the stock markets has not idle, but there is no denying that its investment behavior and performance directly affect the stability of the market and the interests of investors. The thesis select 100 Open-ended Stock Fund, as the simple of quarterly report from q1 2008 to q4 2011, to research the investment behavior and the performance of the securities investment. First, Chapter I introduces the background and significance of this thesis, and briefly discusses the development of the funds in China; Chapter II review the relevant literature of domestic and foreign on trading behavior and performance evaluation; Chapter III analysis the production process based on the behavioral finance theory, provide theoretical support for the empirical research of this paper; The fourth chapter review the index of the performance evaluation. The fifth chapter empirical analysis is the focus of this thesis. First, introduce the selection and screening of the sample data; Next, using the mainstream ITM momentum model to measure the sample funds trading behavior, we found that the adjustment show no significant contact with the stock price that lag 1-2 quarter, but intra-period momentum trading behavior is very significant; intra-period momentum trading behavior may be caused by the herd behavior, the next we use the CCK model to measure the herd behavior during the sample period, the results show that it have no significantly herd behavior, thus the conclusions that the