反馈交易行为、基金业绩和市场波动之关系研究——基于证券市场稳定的视角

Study on the Relationship among Feedback trading, Fund Performance and Market Volatility:Based on the Perspective of the Securities Market Stability

基金的投资行为对提升投资业绩和维护证券市场稳定具有重要影响。本文以开放式基金为样本,实证分析了不同行情下基金投资行为的选择偏好,结果发现:基金倾向选择正反馈交易,且牛市倾向性最强,震荡市最小。但基金正反馈交易未能获得长期超额收益,且与市场波动具有显著正相关关系,表明基金反馈交易不但没有促进证券市场稳定,反而加剧了市场波动。该结论对于监管部门监管与引导基金投资行为、以促进证券市场稳定具有借鉴意义。

The empirical analysis of the fund investment behavior under different market preference is get. The results show that funds generally choose positive feedback trading, the funds did not get excess returns for a long time, and harmful to market stability, the fund＇s positive feedback trading as the dog in the manger. This conclusion is useful to fund the spontaneous adjust- ment investment behavior and regulators guide fund investment behavior stability the securities market.