我国股票型QDII基金选股择时 能力分析.pdfVIP

Business and Globalization 商业全球化, 2017, 5(2), 5-13 Published Online April 2017 in Hans. /journal/bglo /10.12677/bglo.2017.52002 An Analysis of Ability of Security Selection and Market Timing for QDII Equity Funds in China 1 1* 2 Yiting Li , Hui Jin , Yanka Cao 1 School of Economics, Hangzhou Dianzi University, Hangzhou Zhejiang 2 State Street Technology (Zhejiang) Co., Ltd., Hangzhou Zhejiang th st th Received: Apr. 12 , 2017; accepted: Apr. 21 , 2017; published: Apr. 30 , 2017 Abstract Considering the features of QDII Equity funds, the TM and HM and CL models are modified by joining the currency factor and extended to Panel data models. To analysis managers’ stock selec- tion ability and timing ability of QDII Equity funds, a total number of 18 QDII Equity funds are se- lected from 2011 to 2015 which has more than five years duration as the research samples. The empirical results show that Chinese QDII fund managers have no ability on stock selection, but a certain ability of market timing. Furthermore, changes of exchange rates significantly impact on performance. Keywords QDII Equity Funds, Security Selection Ability, Market Timing Ability, Panel Data Models 我国股票型QDII基金的选股择时 能力分析 1 1* 2 李伊婷 ，金 辉 ，曹艳卡 1杭州电子科技大学经济学院，浙江 杭州 2道富信息科技(浙江)有限公司，浙江 杭州 收稿日期：2017年4月12 日；录用日期：2017年4月21 日；发布日期：2017年4月30 日 *通讯作者。 文章引用: 李伊婷, 金辉, 曹艳卡. 我国股票型QDII 基金的选股择时能力分析[J]. 商业全球化, 2017, 5(2): 5-13. /10.12677/bglo.2017.52002 李伊婷，金辉，曹艳卡 摘 要 根据QDII基金的特征，考虑汇率波动因素对反映选股择时能力的T-M、H-M和C-L模型进行修正并将其扩 展为面板数据模型。选取具有5年以上存续期的共18只股票型QDII基金为研究样本，以2011年到2015 年的