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我国开放式基金波动择时能力的实证分析 被引量：1

Empirical Analysis on Volatility Timing Ability of Open-end Funds
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摘要 通过改进的投资组合表现评价单因素模型,并结合FF3模型,运用参数检验方法来探讨开放式基金的波动择时能力,研究表明我国开放式基金具有一定的波动择时能力,但比较弱. In this paper, we employ the modified single-factor model that evaluate portfolio＇s performance of portfolio and combines to FF3 model to investigate volatility timing of open-end funds in China by using of parameter methods. The results suggest that open-end fund have weak ability of volatility timing.
作者 方博文 刘再华 李荣
机构地区 湖南大学统计学院
出处 《合肥学院学报（自然科学版）》 2006年第3期18-21,共4页 Journal of Hefei University :Natural Sciences
关键词 波动择时 开放式基金 EGARCH模型 volatility timing open-end funds EGARCH model
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献16

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二级参考文献19

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共引文献163

同被引文献14

  • 1马超群,傅安里,杨晓光.中国投资基金波动择时能力的实证研究[J].中国管理科学,2005,13(2):22-28. 被引量：23
  • 2Engle R F.. Autoregressive conditional heteroskedasticity with estimates of the variances of U. K. inflation [J]. Econometrica, 1982, 31: 987-1008.
  • 3Bollerslev T.. Generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1986, 31:307-327.
  • 4Taylor S.. Modeling financial time series[M]. New York: Wiley, 1986.
  • 5Andersen TG, Bollerslev T, Diebold FX, Labys P.. Modeling and forecasting realized volatility[J]. Econometrica, 2003, 71: 529-626.
  • 6Busse Jeffrey A.. Volatility timing in mutual funds: evidence from daily returns [J]. Review of Financial Studies, 1999, 12: 1009-1041.
  • 7Chang, E. C. LeweHen, W. C. , Market timing and mutual fund performance [J]. Journal of Business, 1984, 57:57-72.
  • 8Fleming J, Kirby C, Ostdiek B. The economic value of volatility timing[J]. Journal of Finance, 2001, 56 : 329 -352.
  • 9Engle R F.. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J]. Journal of Business and Economic Statistics, 2002, 20: 339-350.
  • 10Andersen TG, Bollerslev T, Diebold FX, Labys P. Exchange rate returns standardized by realized volatility are (nearly) Gaussian[J]. Multinational Finance Journal, 2000, 4: 159-179.

引证文献1

二级引证文献2

合肥学院学报（自然科学版）
2006年 第3期

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