经济政策不确定性影响基金资产配置策略吗?——基于中国经济政策不确定指数的实证研究  

Does Economic Policy Uncertainty Impact Asset Allocation of Mutual Fund and Empirical Study Based upon China Economic Policy Uncertainty Index

作　　者：李凤羽[1] 史永东[1] 杨墨竹[2] 

机构地区：[1]东北财经大学应用金融研究中心,辽宁大连116025 [2]东北财经大学金融学院,辽宁大连116025

出　　处：《证券市场导报》2015年第5期52-59,70,共9页Securities Market Herald

基　　金：国家自然科学基金(71471031;71171036;71072140);国家社会科学基金重大项目(12&ZD067);国家社会科学基金重大转重点项目(14AZD089);辽宁特聘教授支持计划(辽教发[2013]204号);教育部人文社科青年基金项目(12YJC790091);辽宁省教育厅人文社会科学重点研究基地专项项目(ZJ2013037;ZJ2013043);辽宁省教育厅科学研究一般项目(W2013206);东北财经大学2014年校级创新团队项目(DUFE2014T01);东北财经大学2014年校级青年培育项目(DUFE2014Q10)

摘　　要：本文主要研究经济政策不确定性是否会对A股市场投资基金的资产配置策略产生影响,使用斯坦福大学和芝加哥大学联合披露的中国经济政策不确定指数衡量我国政府经济政策的不确定性,发现A股市场投资基金在经济政策不确定性上升时会降低持股比例并增持现金等流动性资产。有别于国外已有研究,本文还着重分析了投资基金在面临经济政策不确定性时的资产配置动机,通过比较经济政策不确定性对不同类型基金现金持有比例的影响以及对基金未来资金流的预测能力,发现预防性动机和市场择时动机能够共同解释A股市场投资基金在面临经济政策不确定性时的资产配置策略。本文不仅从研究内容上对目前有关经济政策不确定性引发的经济后果的研究进行了补充,而且也为学术界和实务界深入理解A股市场的"政策市"特征提供了一个全新的思路。This thesis focuses on the impact of economic policy uncertainty on the mutual funds＇ asset allocation strategies in A-share stock market. By measuring economic policy uncertainty with China Economic policy Uncertainty Index which is jointly published by Stanford University and Chicago University, this thesis finds that mutual funds in A-share stock market intend to cut down the proportion of shareholding and raise the proportion of cash holding with economic policy uncertainty increasing. Distinct from existing research, this thesis also analyzes the motivations of mutual funds＇ asset allocation facing economic policy uncertainty by comparing the impacts of economic policy uncertainty on different types of mutual funds＇ cash holding decisions and future fund flows to prove that both precautionary motive and market timing motive can explain the impact of economic policy uncertainty on asset allocation strategies of mutual funds in A-share stock market. This thesis not only supplements the existing research on the economic consequences of economic policy uncertainty, but also provides a brand-new thought for both academician and practitioner to deeply understand the ＂policy market＂ characteristics of A-share stock market.

关 键 词：经济政策不确定性 投资基金 资产配置 

分 类 号：F830.9[经济管理—金融学]