| Securities Investment Fund's position is the ratio of the capital that is put into the stock market from a fund to the assets that the fund can use. As stock market prices affect the performance of the funds, to maintain performance growth, the most direct and effective way that a fund manager adopts is to adjust the position according to the stock market changes. In a bear market, fund managers will lower down the position, and in a bull market, will raise the positions. In 2004, China Securities Regulatory Commission promulgated and implemented the Securities Investment Fund Management. It was the first time that the position of securities investment funds are put under institutional constraints, which means the adjustment of the position by fund managers would be limited. Therefore, this paper focused on how the constrained position changes in the stock market can affect the Fund's investment behaviors and the characteristics of such behaviors under the constraints in the position.This paper first briefly introduces the source and cause of the institutional constraint of securities investment fund positions. The author takes the open-ended equity funds as the research object to get the following conclusions through the study of securities investment funds in bear markets and bull markets respectively:In a bear market or bull market, Securities Investment Fund Foundation faces the pressure that liquidity risk and performance rankings of the Fund requires position increase or decrease. And when the positions are in the institutional constraints, the fund managers will perform band operations to achieve profitability by making use of policies, and other means of manipulation. At the same time, the Fund's investment behaviors also show the Effect of Sheep Flock that the funds will herd, chasing after go up and killing cheapen, which phenomenon in a bear market is more significant. Then, the author applies empirical studies of the position constraints on how the securities investment funds in a bear market and bull market adjust positions responding to the position constraints of the system risk. The empirical study results show that the position rate of open-ended stock funds change in positive correlation with the Shanghai Stock Index price, and the Investment Funds in China in bull and bear markets perform band operations. In the bear market, the open-ended stock fund in response to the risk of position constraints of the system will tend to invest large capitalization stocks in the falling stock market, as well as some lower price-earnings ratio and a lower risk of stocks. And in a bull market, the fund tends to hold stocks with higher risks and price-earnings ratio to get higher returns. Finally, the author draws conclusions and makes policy recommendations as to strengthen the supervision of securities investment funds, standardize fund rating and ranking and guide fund investors to shift their investment philosophy. |
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