China's Securities Investment Fund Trading Strategy And Its Influence Factors Of Research

In China’s securities market, securities investment fund occupies an important position, its behavior has a huge impact on the securities market. With the growth and development of fund, the influence on the securities market is growing, and the fund’s investment behavior influences the stock market more and more. Therefore, the study on the trading strategies of securities investment fund and its influencing factors is of great significance.Using the data of the China security market from2000to2010and the improved GTW model, taking "quarter" and "half year" as a period respectively, this dissertation studies the investment fund behavior from the perspective of the momentum and contrarian trading strategies. We find that most investment funds adopt momentum trading strategies. We also find that there exists an asymmetry features when fund managers adopt momentum trading strategies, that is, the investment funds tend to "chase" but not "sell". Besides, the similarity of the investment strategies of funds is significant, but relatively speaking, the similarity of the investment strategies of open-end funds is more significant than that of closed-end funds.Furthermore, using the Logit model for panel data, this dissertation analyzes the factors which influences the funds to choose trading strategy(momentum strategy or contrarian strategy).The results indicate that the trading strategy in previous period exist a positive impact on the strategy in the current period. That is, if the fund manager chose momentum (contrarian) strategy in the last period, he will choose momentum (contrarian) strategy again. Moreover, the manager’s experience and previous period’s performance have a negative influence on the manager’s choice of momentum strategy, while market conditions, fund’s investment style and the scale of fund do not affect the fund managers’choice. Besides, we also find that the trading strategy in previous period affects the closed-end funds more significantly, while manager’s experience and previous period’s performance have more effects on the choice of trading strategies of the open-end fund manager.