仓位限制对证券投资基金投资行为的影响研究

The Impact of Positions Limit on the Investment Behavior of Securities Investment Funds

本文考察了股票仓位限制对证券投资基金投资行为的影响,发现仓位限制抑制了基金的动量行为,并使波段操作成为基金经理应对申购赎回机制和评价考核机制压力的基本策略。这意味着基于仓位限制的基金投资行为使股市波动的幅度减小、频率加快。据此,本文认为在我国股票市场过度波动的情况下,基金业绩差强人意与仓位限制有关,并且基金因为仓位限制而发挥了稳定市场的重要作用。

This paper analyzes the impact of the stock positions limit on investment behavior of securities investment funds. The results show that the position limit constraints momentum behavior of securities investment funds, and make band operation the fundamental strategy for funds managers to reduce pressure from purchase and redemption mechanism, as well as assessment and evaluation system. Because of the position limit, investment behavior of securities investment funds decreases the fluctuation range of stock market and increases the fluctuation frequency. Thus, the authors present that in the current excessively volatile China stock market, unsatisfactory performance of securities investment funds is related to the position limit, and securities investment funds play an important role in stabilizing stock market on count of the position limit in China.