我国开放式证券投资基金与QFⅡ“处置效应”比较--基于“买卖周期时间”统计量视角的实证研究

A Comparative Analysis on the Open Security Investment Fund and QFIIs

本文通过修改"买卖周期时间"统计量,构建更为科学的衡量投资者"处置效应"的指标,对2005～2008年我国开放式基金与QFII的"处置效应"进行了实证检验和比较分析。研究发现,我国开放式基金存在显著的"处置效应",而QFII不存在这种现象,在一定程度上起到了"中和"我国开放式基金"处置效应"投资行为的作用,但QFII对市场的积极作用也有限;并据此提出了本研究的启示和政策建议。

Through modifying the past ＂duration of round trips＂ statistics and constructing a more scientific index to measure the ＂disposition effect＂ of investors, this paper make an empirical study and further makes a comparative analysis on the ＂disposition effect＂ of the open security investment funds and qualified foreign institutional investors （QFIIs） in china between the year 2005 and 2008. We show that the open security investment funds obviously exhibit the ＂disposition effect＂ while QFIIs don＇ t, which could ＂neutralize＂ the ＂disposition effect＂ of the open security investment funds. However this positive effect to our market is limited. From this point we conclude our research implications and policy suggestions.