国际对冲基金的中国资产配置研究

"热钱"进入的状况和影响目前正在受到国内各界的广泛关注。文章借用以指数收益推算要素敞口的方法,研究了"热钱"的典型代表———国际对冲基金在中国金融市场上的投资活动和资产分布。从全球对冲基金行业来看,尚不存在大规模投资于中国大陆市场的迹象。全球对冲基金业绩仅与中国股票市场存在较微弱的正相关关系。就大中华区而言,大陆股票、香港股票和台湾股票市场是这一地区对冲基金的主要活动场所。没有发现对冲基金在行业意义上进入中国债券、期货和房地产市场的证据。文章还分析了国际对冲基金进入中国的主要渠道和目前国内对对冲基金的监管现状,并提出有关政策建议。

A Study on Asset Allocation of International Hedge Funds in China

Hot money is of extensive concern now.Through estimating factor exposure by return of indexes,the paper explores the investment activities and asset allocation of international hedge funds in China's financial market.From the angle of global hedge-fund industry,there is no enough evidence which shows hedge funds have entered into China mainland's financial market on a large scale.But as to great China area,hedge funds have mainly invested in mainland,Hong Kong and Taiwan stock markets.Hedge funds haven't entered into China's bond,futures and real estate markets at the industrial level.The paper also analyzes the main ways of international hedge funds' entry into China.At last,it evaluates regulation rules of hedge funds in China and puts forward some policy advices.