中国基金的股票投资偏好演变及其市场影响

Evolution and Impacts of Transition of Preferences for Stock Investment by Mutual Funds

利用我国证券投资基金1998～2008年41个季度的股票持仓数据,实证分析了我国基金持股偏好的演变路径及偏好变化对股票市场的结构影响。研究发现:我国基金的持股偏好在样本期内存在清晰的演变路径,且在2003年中期前后发生了显著变化,基金由前期偏好流通比率低、beta值高的个股转向后期偏好流通比率高、beta值低的个股,同时基金对高价格、大市值、低换手率个股的偏好在样本后期得到了显著加强;基金在样本期内持股偏好的转变对市场中大、小公司组合在估值和交易等方面的差异造成了一定影响。结论认为,我国股票基金持股偏好的演进趋势符合基金投资的审慎原则,对我国股市的平稳运行逐渐发挥出积极作用。

Using a long series of seasonal stock portfolio data of investment funds,the authors find the adjustment process of the preferences of mutual funds for stock investment from 1998 to 2008 can be roughly divided into three stages,and the preferences of home investment funds for stock have changed a lot since the middle of 2003.The results suggest that home investment funds shifted its preferences for stocks with low floating ratio and high beta towards stocks with high floating ratio and low beta,and its preferences for stock with high share price,large size,and low turnover rates was strengthened.In addition,this transition of preferences also causes some evident impacts on stock market.