中国开放式基金表现的动态能力研究

本文以中信指数与中信债券指数的加权超额收益率为市场基准 ,以GDP增长率和消费物价指数的增长率以及广义货币供给增长率为条件变量 ,构建了证券投资基金表现的条件评价模型 ,对中国开放式证券投资基金的选股能力和市场时机把握能力进行了测度。计量方法上采用混合数据模型的回归方法以提高回归结果的有效性。研究结论为 :中国开放式基金不但具有一定的选股能力 ,而且具有良好的市场时机把握能力 ;条件模型的解释能力高于无条件模型。

Study on Dynamic Ability of Chinese Open-end funds

This paper analyzes stock picking ability and market timing ability of Chinese open-end funds based on conditional quadratic regression model. The benchmark portfolio is the weighted excess returns of Zhongxin index and Zhongxin bond index. The conditional variables are GDP increase and consumer price index increase and generalized money supplied increase. Methodologically, these funds are studied by using panel data regression because this regression is more efficient. The conclusion is that these funds have stock picking ability and the market timing ability. Furthermore, the regression of the conditional model prefers to that of the unconditional model.