摘要
我国开放式基金是否存在"赎回之谜"以及存在的条件和范围尚无明确的结论。运用多元线性回归模型、面板数据模型和分位数回归模型三种方法对我国开放式基金"赎回之谜"进行检验,结果显示:分位数模型能够捕捉基金业绩对基金净申购率的非对称性影响,这是多元线性回归模型和面板数据模型无法实现的。通过将分位数模型和对应分析方法结合使用,发现我国开放式基金"赎回之谜"的存在性与股票市场类型有关,当基金业绩用基金净收益率衡量时,开放式基金"赎回之谜"主要存在于涨市中,平衡市中基金申购赎回行为与业绩关系不强,跌市中基金业绩与净申购率显著正相关。
Whether ＂the paradox of fund redemption＂ exists or not and what are the conditions and extents of it are still under debates. This article tests the paradox of fund redemption through three methods ： multi-linear regression model, panel data model, and quantile regression model. The result shows that quantile regression model can reveal the performance of funds＇ asymmetric effects to the net ratio of fund sub- scriptions, which can not be realized by multi-linear model and panel data model. By combining quantile regression model and correspondence analysis, we find the existence of the paradox of fund redemption is related with stock market performance. When the performance of the funds is measured in net income ratio, the paradox of fund redemption exists mainly in a surging market; there is no obvious relation between the performance of the funds and the fund redemption behaviour in a neutral market; there exists positive relations between the performance of funds and net ratio of fund subscriptions in a declining market.
出处
《广东商学院学报》
北大核心
2011年第2期38-46,共9页
Journal of Guangdong University of Business Studies
基金
北京市高等学校人才强教深化计划高层次人才资助项目(PHR 20100513)
北京市优秀博士学位论文指导教师人文社科项目(YB 20091003801)
关键词
开放式基金
“赎回之谜”
分位数回归
对应分析
open-ended funds
the paradox of fund redemption
quantile regression
correspondence a- nalysis
