基金流量与基金投资行为——基于动态面板数据模型的实证研究

Mutual Fund Flows and Investment Behavior:An Empirical Study Based on Dynamic Panel Data Model

本文通过引入基金流量变量,对中国证券投资基金是否稳定市场这一争议性命题进行解析,挖掘中国基金经理投资行为"异质性"背后的基金申赎行为因素,试图从基金流量引发基金经理资产配置动态调整的视角对中国证券投资基金"是否行为理性"这一重要命题进行重新诠释。在实证过程中,本文构建动态面板模型对2006～2010年股票型开放式基金季度数据进行估计,检验结果表明我国证券投资基金投资行为受到基金流量的显著影响,基金持有人行为对基金经理投资行为具有冲击效应,并直接影响到基金经理的策略选择和资产组合调整。结合研究结论,本文提出推进中国版"401K"计划,优化基金持有人结构,合理引导基金投资者行为,减小基金异常申赎行为对市场波动性的传递效应等政策建议。

By introducing the variable of mutual fund flows, the paper analyzes the disputative issue in the Chinese securities market, that is whether the mutual funds have the function of stabilizing the stock market or not. Mining the key factors of influencing the purchasing and redemption behind the heterogeneity behavior, we try to explore and explain the behavior of mutual funds stabilizing or destabilizing the markets from mutual fund flows resulted in dynamic adjustments of the funds portfolios. In this paper, the impact of fund flows on the funds~ in- vestment behavior is analyzed by the dynamic panel data model, based on the updated data from 2006 to 2010. The results show that mutual fund flows significantly affect the strategic choices and portfolio adjustments of mu- tual funds managers. Based on the research conclusion, we put forward some policy proposals such as implementing the 401K project of Chinese edition, improving the structure of mutual fund holders, guiding rational behaviors of investors of mutual funds, and decreasing the transmission effect of market volatility by abnormal purchasing and redemption behavior.