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Studies On Function And Performance Evaluation Of Chinese Security Investment Funds

Posted on:2010-02-27Degree:DoctorType:Dissertation
Country:ChinaCandidate:F B LiangFull Text:PDF
GTID:1119360272998581Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
As a financial intermediary, securities investment fund is an inevitable outcome of securities market developing to a certain stage. It provides the investing platform of"professional management, risk sharing, revenue sharing", so that small and medium-sized investors could share the return brought by professional investment and scale economies. After 140 years'development, especially into the 80's after the 20th century, with the rapid increase in investment scale and advances in information technology, securities investment funds have become a huge industry, and gradually become the most important institutional investors, play an important role in the world's financial system.Securities investment funds in China started late, have a short history about more than ten years, but obtain rapid development under strongly support for regulatory agencies. The function and performance of securities investment funds market gradually highlighted with the expansion of fund scale. Especially after the worldwide financial crisis in 2007, Chinese security market has shocked heavily. Do funds have stabilized the market or outperformed? These are questions that worthy to consider. We use theoretical analysis and empirical study in this paper to judge the function, the scale, the structural characteristics, and the performance of Chinese securities investment funds. We try to find the reasons that restrict the development of Chinese funds. Research methods in this paper will be based on the combination of research methods and practical problems. We will study this topic using historical analysis, comparative analysis, empirical analysis, and normative analysis. In the process of theoretical analysis, we integrate the theoretical analysis and development reality, distinct the commons and differences and format the special problems using special methods. In the process of empirical analysis, we focus on the function and performance evaluation of Chinese securities investment funds. We use empirical methods to study the function, scale, structural characteristics, and overall performance of Chinese securities investment funds. This article is divided into 6 chapters:Chapter 1: The development of world securities investment funds. In this chapter, we define the concept and properties of securities investment funds, and then analysis the development of western countries'securities investment funds. We analysis the background and development context of Chinese securities investment funds as to find the deeply reasons of Chinese investment funds.Chapter 2: The relevant theory and literature review. First of all, we investigate the causes of funds, drawing on the research results of financial intermediation theory. We analysis the theory of investment funds from lower the transaction costs, risk management and lower the participation costs of investors. Secondly, we card the combing theory of Fund function. Finally, we analysis the domestic and foreign literature of Fund's function and performance evaluation.Chapter 3: The empirical test of Funds'stabilizing market function. We judge the function of Chinese investment funds from herding and feedback trading, and study the behavior of Funds in stock market's different cycles.Chapter 4: The analysis of Funds market's size and structure. In this chapter, first we describe Chinese investment funds'size and structure using statistics methods. Second, we test the relationship of Fund, stock and bond prices and size. Finally, we judge the size and structure of Chinese investment funds basing on reality and empirical analysis.Chapter 5: Studies on overall performance evaluation of Funds'market. In this chapter, first we describe the system of funds'overall performance evaluation. Then we test the Funds'overall performance evaluation using three-factor model and moment method based on investor preferences.Chapter 6: Countermeasures and proposals in the development of Chinese investment funds market. In this chapter, first we comprehensively judge the development of Chinese investment funds market basing on the previous theoretical analysis and empirical testing. Then we make following countermeasures and proposals: adjusting the inter-structure of Funds market, enhancing the operational capability of Funds'companies, and improving government supervision.The purpose of this paper is to judge the function, size, structure and overall performance evaluation. The main conclusions are as follows:(1)We adopted a revised method of LSV on Chinese Securities Investment Fund Herding. The results of the empirical test show that there is significant herding in the stock trading of Chinese opened-end funds. The results of the empirical test to different types of funds show that the small stocks herding is more significant than the larger stocks; the herd behavior of stocks in the same industry is more significant than the stocks of one company; comparing the different performance of stocks last quarter, there are more herding behaviors in the general performance stocks than the better and the worse performance stocks. Considering the vary in function to stabilize the market in different cycles of the stock market, we found that: in the relative stability stock market, the fund herding exists but is less significant. When asset prices are rising, the sale behavior is not obvious, herding increased buying; when asset prices declining, the buying behavior reduces, herding increase sales. Overall, when stock market waves violently, the herd behavior increases.(2)We used the GARCH event model and the variation of the GJR-GARCH model to test the feedback trading of Chinese funds. The conclusions show that the stabilizing affection to the shanghai stock market is more obvious than to the Shenzhen stock market. The stabilizing market function of Chinese funds exists but is not obvious.(3)Through the establishment of BEKK model, we tested the relevance of the price and size of the funds and the stocks and the bonds. The results show that the BEEK model put forward by Engle and Kroner (1995) can explain the reality of China better than other multi-GARCH models. Funds prices and sizes are significantly affected by the stock market. Bond funds are less relative between Funds market and stock market. Meanwhile, Funds'prices and sizes are minor affected by stock market when the stock market had a low risk level. This degree would significant increase as the risk level increasing.(4)We test the overall performance evaluation using three-factor model and moment method based on investor preferences. We find that closed-end funds are common in single product but be excellent in all. Allocation funds are better than stock funds in stability and better than bond funds in profit. Different kinds of stock funds are highly distinguished. We find that stock funds have more risk and more profit. Bond funds have the ability to resistant risk. Bond funds could achieve profit stably when there are more shocks in stock market. We didn't see the regularity changes as the size of fund management companies increasing.(5)Though our theoretical analysis and empirical test results of Chinese investment funds market, we find that the Chinese Funds product structure is imbalance. The ratio of partial stock funds is too high. The herd behavior is too significant. We suggest that we should promote the product structure adjustment, upgrade the ability of Fund operations and improve the regulatory system.There are some shortcomings remained in this paper. We need to perfect them in the follow-up researches. First, Funds herding and feedback trading are important factors in the study of Funds'functions, but that's not enough. Second, methods choosing and risk-free option choosing will impact the results of performance evaluation. We didn't discuss it further. Third, the shocking cycle since 2007 has not stopped. The data in this paper couldn't study it comprehensively. In addition, since the author's ability is limited, many theoretical and empirical analyses in this paper are on the surface. I hope that I can further it in the follow-up studies.
Keywords/Search Tags:Security Investment Funds, Herding, Feedback Trading, GARCH Model, Performance Evaluation
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