我国开放式证券投资基金交易策略与市场有效性  

Trading Strategy of China's Open-ended Securities Investment Fund and Market Efficiency

作　　者：李学峰 胡允棠 蔡守平 LI Xuefeng;HU Yuntang;CAI Shouping(School of Finance,Nankai University;PBC School of Finance,Tsinghua University;Beijing Rongheng Fund Management Co.,Ltd)

机构地区：[1]南开大学金融学院 [2]清华大学五道口金融学院 [3]北京融亨基金管理有限公司

出　　处：《金融市场研究》2023年第7期59-73,共15页Financial Market Research

摘　　要：文章从市场有效性理论与行为金融学相结合的角度,分别使用GTW改良方法和卡尔曼滤波技术研究了我国开放式基金的交易策略和证券市场有效性,再用计量方法考察了二者的关系。研究发现:在考察期内,我国开放式基金更偏向于使用惯性交易策略,证券市场呈现出渐进有效性。文章对开放式基金的交易策略与市场有效性进行考察,发现开放式基金使用惯性策略会降低我国市场的有效性,而使用反转交易策略则会在一定程度上提升我国证券市场效率。From the perspective of combining market efficiency theory and behavioral finance,this paper studies the trading strategy and the efficiency of the securities market by using the GTW improvement method and Kalman filter technology,and then examines the relationship between the two by measurement method.During the investigation period,the study found that China's open-end funds were more inclined to use inertial trading strategy,and the securities market was gradual efficiency.This paper investigates the relationship of trading strategy of open-end funds and market efficiency,and finds that inertial strategy of open-end funds will reduce the efficiency of the Chinese securities market,while reverse trading strategy will improve the efficiency of China's securities market to a certain extent.

关 键 词：开放式证券投资基金 惯性策略 反转策略 市场渐进有效性 

分 类 号：F832.51[经济管理—金融学]