Identification Of Investment Style Drift Of Open-end Fund In China And Its Impact On Stock Market Volatility

Possessing the advantages of pooling of interests and risk,professional management,the fund has been popular with most investors at the beginning of emergence.Although the domestic fund market started late,the number and types of funds have been greatly enriched in recent years,betterly meeting the needs of different investors.When the fund is initially issued,the fund company will draw up the prospectus of the fund,in which states the investment style of the fund clearly.But in the actual investment process,fund managers tend to go against the initial commitment and change the investment style of the fund in pursuit of short-term excess returns.It not only damages the interests of individual investors,but also disturbs the order of securities market and increases the difficulty of the supervision.After studying the relevant literature at home and abroad,it is found that scholars always analyzed the investment style of fund based on its return or holding assests,but rarely on the risk,ignoring the nature of fund which is a risk-based investment tool.This article selects the open-end equity funds established before 2006,removing the enhanced indexing fund,the passive indexing fund and the fund including incomplete data,taking 73 funds as samples.The research interval is from 2006.1.4 to 2016.12.30.According to the market quotation,the interval can be divided into seven parts:sharply rising,fast falling,slightly swinging,shocking downward,another rising,another falling,another slightly swinging.Identify the value-growth attribute of the fund based on the Gruber regression model and the scale-income attribute based on the GARCH-t model.Then,construct the investment style box of the sample funds from the dimensions of risk and income,and analyze the investment style of the funds comprehensively.Next,this paper further constructs the TGARCH-M model,and studies the "leverage effect" of the yield volatility of the sample funds.The empirical study shows that the sample funds all has the drift of investment style,and the investment style of sample funds at each stage appears similar,that is,the investment style of the fund varies its style with the change of the market quotation,and there exists "herd effect" in the stock market.During the study period,the investment style of the sample fund concentrates on the growth type in the rising stage of the stock market.In the declining stage of the stock market,the investment style of the sample fund concentrates on the value type.In the slight adjustment stage of the stock market,the investment style of the fund concentrates on the balance type and presents the non-growing investment style.In the downward shock stage of the stock market,the investment style of the fund is mainly of value type.At the same time,after 2009,the fund's preference for small and mid-cap stock investment increased,and the drift of fund investment style continued to turn into small and mid-cap,and the drift of investment style intensified the volatility of the domestic stock market.After 2009,the equity funds and partial mixed equity funds had an obvious "leverage effect" and the volatility of China's stock market showed a significant ARCH effect.At last,this paper analyzed the reasons for the drift of fund investment style from the perspective of market,information economics and behavioral finance and put forward specific and feasible suggestions from the perspective of investors,fund managers and regulators.In this way,we can not only protect the interests of investors,but also promote the healthy and orderly development of China's fund market.