基金持股与股价波动性研究:基于业绩报酬设计的期权分析

The Relationship between Fund Ownership of Shares and the Fluctuation of Share Prices

从期权思想的角度分析,我国投资基金的业绩报酬类似于一个基于投资组合的看涨期权,其价值和波动率成正向关系。这容易导致基金管理公司通过投资波动率大的股票或利用其信息和资金优势加大股票波动率以获得超额收益。通过实证检验我们发现,1999年1季度到2000年3季度期间,我国的投资基金持股和股价波动性存在着正相关关系。而这种正相关关系又体现为基金持股后加大股价的波动性。

Analyzing from the perspective of option, performance return in China's investment fund is something like the bullish option based on investment combination, whose value has a positive correlation with the fluctuation of share prices. But to obtain excessive profits, fund management companies tend to invest in the sharp fluctuated shares or aggravate the fluctuation of shares with their own information and capital advantages. Through empirical study, it is found that, from the 1st quarter of 1999 to the 3rd quarter of 2000, there has been a positive correlation between the fund ownership of shares and the fluctuation of share prices. In return the positive correlation will aggravate the fluctuation of share prices, which is just the reflection of such positive correlation.