开放式基金流量变化与投资者行为之关联性研究——来自基金市场与股票市场的经验证据  

The Correlation Between Open-end Fund Flow and Investor Behavior Empirical Evidences from Fund Market and Equity Market

作　　者：于江宁[1] 朱启贵[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《证券市场导报》2015年第11期57-63,共7页Securities Market Herald

基　　金：国家社会科学基金重大项目(项目批准号:14ZDA013);国家社会科学基金重点项目(项目批准号:11AZD031)资助

摘　　要：本文选取中国开放式基金2004年9月-2015年3月季度数据,运用时间序列VAR模型和非平衡面板模型分析基金流量变化的影响因素与投资者行为。结果显示,除了基金历史业绩,股票基金流量还与股票市场超额收益、股票市场波动、宏观经济指标、投资者情绪正相关。对其他类型基金进一步研究发现,当股票市场收益增加时,混合基金和债券基金流量也相应增大,而货币市场基金表现为资金净流出。从基金流量的动因来看,基金市场投资者具有明显的投机倾向。Utilizing quarterly data of open-end funds in China from September 2004 to march 2015, this paper applies time series VAR model and unbalanced panel data model to examine the causes of mutual funds flow and investor behavior. In addition to the effect of historical return, study indicates strong positive relationship between equity funds flow and some factors such as excess return and volatility of stock market, economic indicators, and investor sentiment. Further study conducted toward other different types of funds shows that bond funds flow and hybrid funds flow increase along with the growth of stock market return; in contrast money market funds flow would decrease as it happened. According to the influence factors of funds flow, investors act like speculators.

关 键 词：基金流量 投资者行为 股票市场超额收益 投资者情绪 

分 类 号：F832.5[经济管理—金融学]