Research Of The Impacts Of Historical Transaction Information On Fund Trading Strategy

Since China Securities Regulatory Commission proposed the strategy of "extraordinary institutional investors" in 2001,institutional investors in our country have enjoyed rapid development.At present,securities investment funds have formed as the main body of institutional investors and the others have combined into the diversified development pattern.As the most important investment body in securities market,the transaction behavior of institutional investors has drawn extensive attention in the field of financial economics.Therefore,the research on the trading strategies and influencing factors of securities funds has much important significance.First of all,this paper manually collected the detailed shareholding data of 141 open-end securities investment funds between the first quarter of 2009 and the second quarter of 2015,and studied the trading behavior of China's securities investment funds from the perspective of momentum and reversal based on the historical transaction information.Conclusions had been made from this research:(1)There is a momentum trading behavior in the funds' investment strategy portfolio,and there is a sign of intertemporal reversal in the ratio of opening and closing transactions.(2)The funds tended to reduce their holdings whether the historical returns were high,low or moderate.Secondly,the whole sample had been subdivided based on the positive and negative historical returns,the length of historical ownership cycle,the ranges and size of historical holdings,and this paper studied the impacts of historical transaction information on fund trading behavior used multiple regression model.The results showed that:(1)There is a correlation between the historical return rate and the shareholding proportion change of institutional investors.When the historical return is positive,there is a positive correlation between the historical return and the shareholding proportion change,and a negative correlation when the historical return is negative.And when the historical return is positive,the larger the size of the fund holding,the stronger the significance.When the historical income rate is negative,there is a negative correlation only when the fund is small.(2)There is a positive correlation between historical shareholding cycle and the shareholding proportion change of fund: when the historical holding cycle is long,the shareholding proportion change of fund increased.And the shareholding size of fund had significant effect on the correlation between historical shareholding cycle and the shareholding proportion change: the longer the historical shareholding cycle and the larger the shareholding size,the stronger the significance.And there is a positive correlation in the large and small shareholding cycle when the historical shareholding cycle is shorter.(3)There is a correlation between the historical shareholding ranges and shareholding proportion change of fund,when the historical shareholding ranges were much more,there is a positive correlation between historical shareholding ranges and shareholding proportion of fund,and a negative correlation when the historical shareholding ranges were few.Fund size had significant effect on the correlation between historical shareholding ranges and the shareholding proportion change of fund: when the historical shareholding ranges were much more,the smaller the size,the stronger the positive significance,and the larger the size,the stronger the negative significance when the historical shareholding ranges were few.Finally,in order to understand the impacts of historical transaction information on institutional investors' trading strategies thoroughly,we also carried on the taxonomic study of fund shareholding ranges,and the results were consistent with the above conclusions.This study had great practical value for understanding the transaction behavior of China's securities investment funds.