开放式基金的净值增长能力与证券市场收益的互动关系检验

A Test about the Relationship between the Net Asset Value Increasing Probality of Open-ended Funds and the Revenue of the Security Market

随着证券投资基金规模的不断增大,基金已经成为我国证券市场上的重要机构投资者,其对证券市场的影响也日益深入。考察股票型开放式基金的净值增长能力及其与证券市场指数收益的互动关系,得出如下结论:(1)我国开放式基金的净值增长率高于市场收益;(2)在一个较长时期内,市场收益的变动是开放式基金净值增长率变动的格兰杰原因,但反过来并不成立;(3)开放式基金的净值增长能力和市场收益之间存在着一种长期的协整关系。

The security investment funds have become important institutional investors in our country along with the rapid increase of their scales, and they are giving more and more influence to the security market. This article reviews the relationship between the growth ability of net asset value（NAV） of the open--ended funds and the revenue of the security market indices. The conclusions are as follows： First, the growth ability of NAV of the open--ended funds in our country overrun the revenue of the security market indices; Second, the change of the revenue of the security market indices was the Granger cause of change of NAV, but, it didn＇t come to existence on the contrary; At last, there existed a long co--intergrated relationship between the growth ability of NAV of the open--ended funds and the security market indices.