| Jintai, Kaiyuan Securities Investment Fund was officially established in1998, which Indicates that China Fund embarked on the specification development path. In the course of ten years, the Securities Investment Fund has played a transformative role of the savings-investment in the national economy; Chinese fund industry has completed a historic major leap forward in the System start-up stage of development to the stage of rapid development. Due to the rapid expansion of asset size, the influence of securities investment funds on the capital market is becoming increasingly is becoming one of the most important institutional investors. Most funds are open-end fund, the largest part of which is equity Open Fund. Therefore, the research of equity open-end funds is conducive to the healthy development of the fund industry.Since the Fund as a financial tool, the scholars of all walks of life began to conduct research on fund performance. Similarly, the performance evaluation of China is very important for is a young fund industry of our country. Markowitz proposed portfolio theory in1952, Treynor (1965) on the basis of the securities market line Treynor index; benchmark on the capital market line, Sharpe (1966) Sharp; Jensen (1969) Jensen Alpha is also based on the securities market line. With the further development of the asset pricing theory, scholars have put forward the Fama three factor alpha and Carhart four-factor alpha to the performance evaluation.The method of fund performance evaluation has been to improve,and the theoretical sector performance point of view is also diversified; Previous literature in general in terms of investment style, governance structure, investment behavior to examine fund performance, investor sentiment has also been a concern. However, the market structure to start not examine performance, the analysis is not deep enough, If you do an empirical analysis of the actual situation would fund industry to a certain extent deviation. Therefore my paper starts from the perspective of market structure, focus empirical analysis, market concentration and market share both to fund performance. Papers in a single fund for measuring units, change the value of the relationship by grouping compared three kinds of concentration and performance, and then do a regression analysis of concentration on the performance and market share of20%under the premise of further study of the relationship between the two.In the sampling, we have chosen our country in December2009(inclusive) prior to the establishment of securities investment funds, the screening criteria for open-end funds-equity funds, excluding closed-end funds, bond and currency funds of QDⅡ and open-end fund; regression interval regression estimated that at least12months the monthly rate of return observations, so the sample from2003to2010, the implementation of the interval from2004to2010, monthly for a unit of time, sample number260. Market rate of return data from the Shanghai and Shenzhen A-share weighted rate of return of the value of all shares of listed companies accounted for80percent of CITIC bond index yield of20%. Riskless asset yields a one-year deposit interest rates, according to a year in December converted to monthly data, data from the People’s Bank of China website. The collation and analysis of the data is in Eviews3.1and Matlab (R2011b) to complete.Carhart four-factor model measure the real performance of the Fund as the basis described by the three kinds of concentration grouping, and then come to market concentration and fund performance regression analysis of fund performance; then in market share from low to high Sort, to examine different combinations of market share concentration contribution to the performance, and finally the comprehensive analysis of market concentration and market share both to draw conclusions and propose relevant policies.Finally, the combination of empirical, we believe that China’s stock open-end funds in general in terms of industry, the higher the concentration, the fund performance of the worse, while the opposite is true indicators of the number of funds; to inspect the market share, lower market share is relatively better performance. This is at odds with the traditional conspiracy hypothesis and the efficient structure hypothesis, in the backdrop of a special course of development of securities investment fund industry, standardize fund development and return aspects of China’s fund industry for investors to reap still have a long way to go. In the thesis writing process, innovation, three points:first, divided into the change of a greater than zero and less than zero two groups on the degree of concentration; concentration is divided into higher and lower concentration, the concentration change of the corresponding a value to do comparative analysis; fifth of the market share under the premise investigated quartile concentration of each share of the contribution of performance, critical thinking and visual analysis to the empirical results convincing. Second, the selected sample data using the popular international theoretical circles Carhart four-factor model to calculate fund performance, excluding the market factors, scale factor, value factor, and momentum factors, the real measure of the fund manager’s ability to invest for the next step in the regression model to provide accurate and reliable due to the variable value. Third, given the small scale of China’s fund market, development time is not long, we abandon the frame of mind from fund companies, all using the monthly data as a single fund, the smallest unit of this and previous studies at home and abroad with the public, in line with China’s economic background, but also do the quantitative analysis.With the research on market structure and fund performance, we focused approach, described a reasonable empirical process, but due to limited time and energy, there are many aspects is not included in the empirical. Concerns and improve the following two aspects:to try to introduce new model parameters can be considered in future research and policy factors can be introduced as a dummy variable, the design of an appropriate value, the fund industry in the continuous development and evaluation of the Fund also needs model of continuous improvement before he was promoted to the task of evaluation of the Fund; if given the opportunity to query10years or more of data, and recommended that the authority to establish a comprehensive database of information about the Fund, to find a more original value instead of the assumed values, you can make the results more convincing. In addition, if the use of annual data, weekly data to test the Fund to assess and contrast the different frequency, the future can continue to study. |
PDF Full Text Request