基金投资行为能够预测经济吗?——基于宏观、中观、微观三个层面的实证检验  

Can Fund Investment Behavior Predict the Economy?——Empirical Evidence from the Macro,Meso and Micro Levels

作　　者：许林[1] 梁婧怡 汪亚楠 XU Lin;LIANG Jingyi;WANG Yanan(School of Economics and Commerce,South China University of Technology)

机构地区：[1]华南理工大学经济与贸易学院

出　　处：《当代金融研究》2019年第6期59-70,共12页Journal of Contemporary Financial Research

基　　金：教育部人文社科青年基金项目（19YJC790163）;广东省自然科学基金项目（2018A030310370）;广东省哲学社科规划青年项目（GD17YYJ02）;华南理工大学中央高校基本科研业务费项目（x2jm D2181970）

摘　　要：股市作为经济的晴雨表,基金因其投资行为的专业化被投资者所青睐,那么股票型基金在构建投资组合时是否会依据实体经济呢?本文从宏观、中观和微观三个层面,通过构建非平衡动态面板模型,实证检验我国基金超常规发展与经济增长之间的关系,以及基金投资行为对经济增长的预测作用。研究结果显示:从宏观层面来看,基金发展规模和机构投资者持股比例的增加与经济增长之间存在负相关关系;从行业层面来看,基金的行业持仓增加,则经济预期出现向好局面,表明基金具有一定的经济预判能力;从微观层面来看,预期经济上涨向好趋势时,基金管理人会在当期减持投资组合内的股票,并选择配置更多新股以寻求新的经济增长投资机会,这表明基金投资行为对经济增长具有一定的预测作用。As the scale of securities investment funds grows and its importance increases,its specialized investment activities have drawn increasing attention from investors and scholars.From macro,meso and micro perspectives,this paper empirically tests how the investment behaviors of China’s securities investment funds affect and predict the economic growth.The research findings are as follows:at the macro level,the growth of funds and the increase of institutional investors’shareholdings have a negative predictive effect on economic growth;from the industry perspective,the increase of industrial funds positions is expected to form a good economic situation;at the micro level,when the economy is expected to rise,the fund managers will reduce the existing shares in the investment portfolio in the current period and select more new shares to seek new investment opportunities.

关 键 词：基金投资行为 经济增长 经济预测 

分 类 号：F832.48[经济管理—金融学]