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Research On Securities Investment Fund’ Performance Appraisal

Posted on:2014-05-14Degree:MasterType:Thesis
Country:ChinaCandidate:Y Y ZhangFull Text:PDF
GTID:2269330422952246Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
The securities investment fund in China began in1992, with nearly20years ofdevelopment, it has become the main institutional investors in stock market. The purposes ofthe government developing institutional investors as a representative of the securitiesinvestment fund is to stabilize the stock market, although the controversy on the funds couldreduce sharp fluctuations in the stock markets has not idle, but there is no denying that itsinvestment behavior and performance directly affect the stability of the market and theinterests of investors. The thesis select100Open-ended Stock Fund, as the simple of quarterlyreport from q12008to q42011, to research the investment behavior and the performance ofthe securities investment.First, Chapter I introduces the background and significance of this thesis, and brieflydiscusses the development of the funds in China; Chapter II review the relevant literature ofdomestic and foreign on trading behavior and performance evaluation; Chapter III analysisthe production process based on the behavioral finance theory, provide theoretical support forthe empirical research of this paper; The fourth chapter review the index of the performanceevaluation.The fifth chapter empirical analysis is the focus of this thesis. First, introduce theselection and screening of the sample data; Next, using the mainstream ITM momentummodel to measure the sample fund’s trading behavior, we found that the adjustment show nosignificant contact with the stock price that lag1-2quarter, but intra-period momentumtrading behavior is very significant; intra-period momentum trading behavior may be causedby the herd behavior, the next we use the CCK model to measure the herd behavior during thesample period, the results show that it have no significantly herd behavior, thus theconclusions that the intra-period momentum trading behavior has credibility; Finally, we useJensen index to evaluate the performance of the funds, while use the T-M model to measurethe security selection ability and market timing ability of the funds, the results show that theintra-period momentum trading make the fund’s performance better than the market, fundmanagers have a certain stock selection and timing capability.Last Chapter review the problems in China’s fund, and put forward some suggestionsonon how to regulate the development of the funds.
Keywords/Search Tags:momentum trading, intra-period momentum, herd behavior, performanceevaluation
PDF Full Text Request
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