开放式基金赎回问题研究——基于Panel-Data的Granger因果检验

The Redemption Study of Open-end Fund:Based On Granger Causality Tests in Panel-Data

本文应用新近发展的Panel-Data Granger因果检验方法,检验开放式基金的赎回率和基金单位净值(NAPS)增长率以及基金累计净值(ACCNAV)增长率之间的因果关系。通过对2002年12月31日以前成立的17支基金的14个季度数据的研究发现:(1)基金单位净值增长率和基金累计净值增长率并不是基金赎回率的Granger原因,一直困扰着开放式基金的"赎回困惑"不过是一个"假象";(2)基金赎回率是基金单位净值增长率和基金累计净值增长率的Granger原因,高的基金赎回率大大的降低了基金单位净值增长率和基金累计净值增长率。

This paper introduces the recently developed ＂Granger Causality Tests in Panel-Data＂ to study the causal relationship between the ratio of redemption and the increase rate of NAPS and ACCNAV.With the quarterly data of 17 Open- end Funds found before 2003 for the period 2003：1 to 2006：2,we find that： （1）The increase rate of NAPS and ACCNAV isn＇t the granger causality of the ratio of redemption,the ＂redemption bepuzzlement＂ of Open-end Fund is just a gloss;（2） The ratio of redemption is the granger causality of the increase rate of NAPS and ACCNAV,the high ratio of redemption reduces the increase rate of NAPS and ACCNAV large.