我国封闭式基金的持股集中度与业绩的关系研究

Empirical Study on the Relationship between Holding Concentration and Performance of Close-End Fund

本文主要研究我国封闭式基金从2000年6月到2007年6月的持股集中度对基金业绩的影响,首先运用基尼系数和赫芬达指数(Herfindahl Index)对我国基金的持股集中度进行研究,然后分别用Jensen Alpha、Fama和French三因子模型对基金的业绩进行全面的刻画,最后研究持股集中度和基金业绩之间的关系。研究结果表明:持股集中度可以在一定程度上影响基金的业绩,持股集中的封闭式基金的业绩要好于持股分散的封闭式基金。

This paper studies the relationship between the holding concentration and performance of close-end fund.We use Gini coefficient and Herfindahl index to measure the holding concentration of fund,and use three factors Jensen Alpha,Fama and French to measure the performance of fund.We find that: the higher the holding concentration,the high the fund's performance.