开放式股票型基金饰窗效应的实证研究

Empirical Research on the Window-dressing Effect of Open-end Equity Funds

以开放式股票型基金为例,用AR(1)—GARCH(1,1)模型就中国基金净值在季末、年末最后一个交易日是否存在被显著拉升而表现出的饰窗效应进行了研究。实证结果表明中国开放式股票型基金季末(非年末)存在显著的超额正回报。此外和国外不同之处,中国开放式股票型基金净值在年末有超额负回报,而在稍后的年初存在超额正回报。

Open-end equity funds as an example to research is taken that if their returns are abnormally inflated in the quarter-end and year-end days with the AR （ 1 ）-GARCH （ 1, 1 ） model. The empirical results show that quarter-end but not year-end open-end equity fund returns are significantly high. the abnormal returns of open-end equity funds are negative in the year-end day while positive in the next day is found, which is different from foreign courtiers.