证券投资基金的择时与风格转换——基于市场流动性视角的研究  

The Timing and Style Shifting Abilities of Mutual Funds——A Research from the Perspective of Market Liquidity

作　　者：高金窑[1] 王庆瑜 GAO Jin-yao;WANG Qing-yu

机构地区：[1]山东大学经济学院金融系 [2]国家工业信息安全发展研究中心

出　　处：《金融论坛》2019年第4期58-70,共13页Finance Forum

基　　金：国家自然科学基金青年项目(71201092);山东大学人文社科青年团队项目(IFYT15026)

摘　　要：本文在四因子模型基础上实证研究中国证券投资基金的流动性择时能力与风格转换能力。结果表明,中国的证券投资基金不具有流动性择时能力,同时也不具有市场收益择时能力与市场波动择时能力;但是中国的证券投资基金表现出显著的流动性风格转换能力;市场流动性好时证券投资基金倾向于提高大盘股和价值凤的权重,降低小盘股和成长股的权重。Based on the four factor model, this paper presents an empirical study of the timing and style shifting abilities of Chinese mutual funds. The results of the paper indicate that the mutual funds have no liquidity timing ability, and also has no market return timing and volatility timing abilities;but show a significant liquidity style shifting ability;when the market liquidity is high, the mutual funds tend to increase the investment ratios of large-cap stocks and value stocks, and decrease those of small-cap stocks and growth stocks.

关 键 词：证券投资基金 市场流动性 择时能力 风格转换 

分 类 号：G11[文化科学] G23