市场异象与风格漂移的动态相依性——基于Copula函数的经验研究  

The Dynamic Dependence between Market Anomalies and Style Drift——A Natural Experiment Approach Based on Copula

作　　者：张剑[1] 张再生[1] 闫东玲[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《北京理工大学学报（社会科学版）》2013年第5期67-73,共7页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：教育部人文社科基金资助项目(09YJA790147)

摘　　要：为对中国股票型基金普遍存在的风格错配现象进行有效解释,从市场异象与风格漂移之间的内在逻辑关系出发,利用Copula模型对中国股票市场的价值溢价、规模溢价和动量溢价等主要市场异象与风格漂移之间的动态相依关系进行考察。研究发现:价值溢价、规模溢价与风格漂移之间存在不够显著的动态相依关系,其尾部相关结构以下尾相关为主;动量溢价与风格漂移之间存在显著的动态相依关系和对称的尾部相关性。上述结果说明:中国股票型基金尚不具备成熟的市场异象识别能力,在风格投资中更多地表现出一种追涨杀跌的羊群效应。This paper is aimed at exploring the reason for wide-spread style mismatch in Chinese equity funds. We started from the internal logic relations between market anomalies （value premium, size premium and the momentum premium） and the style drift, and employed Copula Model to conduct investigations of dynamic dependencies between market anomalies and the style drift. The empirical study showed that there were not significant dynamic dependencies between the value premium and style drift or size premium and style drift, and these two anomalies related to style drift at their low tails, while momentum premium and style drift were significant dynamic dependent with a symmetric effect. These findings suggest Chinese equity funds do not yet have mature capabilities for recognizing market anomalies, and thev often evince certain features of the herd behavior.

关 键 词：市场异象 风格飘移 尾部相关 

分 类 号：F830.9[经济管理—金融学]