Study On Shock Effect From The International Stock Price Volatility To Investment Style Drift Of China’s Open-end Funds

With the process of global integration gradually push forward and the international financial market competition is increasingly fierce, open-end funds with its unique advantages has become one of the main choices of our residents to invest in financial management. However, affected by a number of factors, such as stock market volatility, fund managers change frequently, etc. To obtain short-term excess returns, fund managers often tends to breach to their advertised investment style. And the resulting outcome maybe the investment style drifts of open-end funds. So far, scholars have studied the causes of and the relations between open-end fund’s investment style drift and performance. But no one has studied the shock effect come from international stock price fluctuations to our countey’s open-end fund investment style drift.For this reason, this paper hopes to solve three problems as follows. Firstly, is to test whether their presence of fractal characteristics. Secondly is how to measure the extent of Chinese open-end fund investment style drift. The third one is whether international stock price volatility has a shock effect on China’s open-end fund investment style drift and what kind of shock effect.Based on the above background, this article on the basis of combing open-end fund market development status quo at home and abroad, made the following constructions. Firstly, use R/S analysis method to analyze the fractal characteristics of the six CITIC style asset index. Secondly, using fractal theory to calculate the box fractal dimension of China’s open-end fund investment style, by building a drift index of investment style (DIIS) to analysis the open-end fund investment style drift in the study period status from the perspective of both static and dynamic and get an investment style drift time series. Finally, by constructing a VAR model contains two variables, which are DIIS and international stock index (SPI), to analyze shock effect from fourteen SPIs to our open-ended index fund investment style drift, this is the first systemic exploration about the shock effects from the international shock price’s fluctuation to China’s open-end fund stock investment style drift.Based on the empirical results, there come the following three conclusions. Firstly, the six kinds of pure style CITIC assets index return series have a long-term memory characteristic, which is fractal characteristic. Secondly,266 open-end funds during the study period took place the investment style drift in general, but with the different division of the period, the conclusion of the study is slightly different. Thirdly, subjected to stock market volatility home and abroad, China’s open-end funds investment style drift will be a positive effects, the affected style drift period from the stock market is about 5, the shock effect comes from the domastic stock index to China’s open-end funds has a more large fluctuations, while the international stock index lasted for a more long period. HSI,000001,399001,000300 contribute about half of all the variables to DIIS, they are the main factors in investment style shift. And our open-end funds have a higher sensitivity to the domestic main board market and HongKong stock market.