动态视角下中国证券投资基金市场的绿色效率--基于DEA-Tobit的实证分析  被引量:5

Green efficiency of China’s Securities Investment Fund Market from a Dynamic Perspective--based on DEA-Tobit empirical analysis

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作  者:杨世峰 王珊珊 王越 Yang Shifeng;Wang Shanshan;Wang Yue

机构地区:[1]兰州财经大学 [2]兰州财经大学金融学院

出  处:《投资研究》2019年第9期72-83,共12页Review of Investment Studies

摘  要:本文以节能环保相关的绿色基金为对象,研究中国证券投资基金市场的运行效率。运用DEA模型评价其效率及其近三年动态变化,应用Tobit回归模型检验影响因素。结果表明:绿色基金大多数处于DEA无效状态,但效率水平均值总体处于中上水平且其效率变化处于上升趋势;基金经理能力、基金投资规模显著正向影响绿色基金效率。本文结论对于新时代下投资组合策略有参考意义,最后出于绿色基金更好的发展提出了政府应加强定向优惠扶持等的对策建议。This paper takes the green fund which is related to energy conservation and environmental protection as the object, to study the efficiency of China’s securities investment fund market.DEA is used to evaluate its efficiency and its dynamic changes in the past three years.Tobit regression model is used to test the influencing factors.The results show that most of the green funds are in an invalid state of DEA.However, the average level of efficiency is generally in the middle and upper level and its efficiency change is in an upward trend.Fund manager ability and fund investment scale have significantly positive a impact on the efficiency of green fund.The conclusion of this paper has reference significance for portfolio strategy in the new era. For the better development of the green fund, finally, the paper puts forward the countermeasures and suggestions that the government should strengthen the targeted preferential support and so on.

关 键 词:绿色基金 数据包络分析(DEA) TOBIT回归 影响因素 

分 类 号:F832.51[经济管理—金融学]

 

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