开放式基金交易策略的影响因素研究——来自中国证券市场2004-2010年的证据

An Analysis of the Influencing Factors on Open-end Funds' Trading Strategies:Evidence from China's Security Market from 2004-2010

本文采用中国证券市场2004年至2010年所有开放式基金的数据,运用面板数据Logit模型对影响其交易策略(动量或反转)选择的因素进行了分析。研究发现,在2004年至2010年期间,中国证券市场的开放式基金大部分采取了动量交易策略,并且基金经理的从业经历、基金上期业绩排名对开放式基金是否选择动量交易策略存在显著影响。

Using the data of open-end funds in the China security market from 2004 to 2010, this paper uses the Logit model for panel data to analyze the factors which influence the choice of trading strategy（momenttun strategy or contrarian strategy） of open-end funds. The results indicate that most of open-end funds in the China security market adopt momentum trading strat- egy during the period 2004-2010; the experience of fund manager and ranking of funds significantly influence their choice of trading strategy.