我国开放式基金赎回行为的实证分析——基于面板数据模型

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1、JE厦窑煎厶芏亟±芏位监奎△gS!B△￡IABSTRACTABSTRACT：Thefirstopen—endedfund-Huala／iinnovationwasbominSeptember2001AfterfOe10-year-oldgrowingJourney,ouropen-endedfundsmarkethasmadeagreatprogressinbothissuenumberandinitialraisescaleWhenitCOIIleStotherelationshipbetweenfunds’performanceandflowsofthefunds，f

2、oreignscholarsdidn‘tdrawdifferentconclusionsbecauseofdifferentindicatoradaptations，theyalldidn’tfindthatfundsinvestorswouldpunishoptimalfundsButmostdomesticscholarsclaimedredemptionpuzzleinhomefundsmarket，whileothersheldfoeoppositeopinionInordertodofurtherresearchontherelationshipbetweenp

3、erformanceandflows．60equity’open—endedfundsand23bondopen—endedfundsarechoseninthearticleAfteranalyzingthecurrentsituationofouropen-endedfundsmarketandselectingfoepropervariablesinfluencingthelandsflows，thearticleestablishesfoeunbalancedpaneldatamodelBesides，todorobusttestforthemodel，thear

4、dcleselectsTreynorindex，sharpratioandJensenindexasproxyvariablesdescribingfundsperformanceBycombiningthequalitativeandquantitativeanalysis，theconclusionsdrawnfromfoearticleare：lTocertainextent．theredemptionpuzzlestillexistsamongourequityopen—endedfI】nds．namely,thefundsinvestorsismoreprone

5、tochooseredemptionwhenconfrontedwiththefundshaveahi曲erhistoricalreturn，andthefundsnetsubscriptionsharedecreases2Judgingfromwhetherthethreemonthsorsixmonthslagaveragereturn，thebofldopen-endedfundsinvestorsdon’tdisplayDispositionEffect，thereisnoevidenttoprovetheredemptionpuzzleinbondfundsma

6、rketFinally,thearticleprovidescertainsuggestion南rthesakeofenhancingourfundsmarkethealthydevelopmentKEYWORDS：open—endedfunds；fundsperformance；shareinflows；redemptionpuzzle；paneldatamodelCLASSN0：矿诵，业—噩g堙厶堂亟±堂世监窑日塞目录中文摘要⋯．．iilABSTRACT．．⋯ivl引占⋯．．⋯1l选题背景⋯112选题意义⋯一2l3拟解决问题和技术路线⋯3131拟解决问题313．2技术

7、路线⋯⋯⋯⋯⋯⋯414研究方法、自Ⅱ新点与局限性52文献综述621国外研究状况⋯62ll蛙金业绩测算与基金流量影响因素研究6212基金业绩与基金流量关系研究⋯72．2国内研究状况82．2l一般统计分析方法82．22面板数据模型．．92．23其他理论和模型1l2．3国内外文献评述ll23l研究结论评述ll2．32研究模型和内容评述123我国丌放基金的概况和基金流量的因素分析1431我国”放式基金的概况143l1我国基金分类14312我国丌放式基金的现状15313丌放基金“用脚投票”的申购赎回机制173,2开放式基金投资者赎回的动