Research On The Influence Of Fund Trading Behavior On Fund Performance

After more than 30 years of development,China's securities fund industry has made great progress.Funds can effectively diversify investment risks and stabilize the financial market under strict supervision and security.Therefore,in the context of such rapid development,it is necessary to study the trading behavior of funds and its impact on fund performance.This paper continues from three main aspects: Firstly,From the perspective of behavioral finance,it studies whether funds have momentum reversal trading behavior.Secondly,the fund performance level under this trading behavior is researched.Finally,the correlation analysis and regression analysis are carried out between the index of fund trading behavior and the index of fund performance.This paper takes the Open-end Equity Fund as a sample to study the fund trading mode and its impact on fund performance from the first quarter of 2014 to the first quarter of 2019.First of all,when researching fund transaction behavior,i use the ITM model based on the improved momentum measurement model to examine fund of the current period,the lag issue and the second phase lag momentum trade behavior,but also distinguish ITM measure by fund type,study the different types of funds transaction behavior.The research results show that China generally pursues the short-term performance of individual stocks,that is,there is momentum effect in the current period,there is no momentum or reversal effect in the lagging period,and there is reverse trading behavior in the overall fund and short position trading when the lag period is two periods.From the perspective of fund style,each style fund is also based on the recent realization of the stock to make investment decisions,China's comprehensive fund trading behavior is relatively significant,in the additional trading and cut trading current period take momentum trading,and in the cut trading the lagging period one and two take the reverse trading strategy,"chasing up and killing down" behavior is also more frequent.Then,the fund performance is studied.This paper uses the Jensen index to represent the performance of the fund.The conclusion shows that the systematic risk of the fund is less than the market risk.When studying the stock selection ability of fund managers,TM model was used for analysis.The results showed that more than 73% of the funds in the sample had significantly good stock selection ability,indicating that most fund managers in China had better stock selection ability,but the stock selection ability of China's funds was basically not.Finally,The person correlation analysis and regression analysis are carried out between momentum reversal trading behavior and fund performance,the conclusions show that t When the fund adopts momentum investment strategy according to the performance of the stock in the current quarter and the previous quarter,the fund performance will be improved positively.And from the perspective of impact degree,the momentum effect coefficient in the current quarter is higher than that in the first period of lag,which also shows that the momentumtrading behavior in the current quarter will bring better returns to the fund.The ITM value of two lag periods shows that the momentum investment strategy of the fund will bring damage to the fund's benefit,which belongs to improper trading behavior;when studying the impact of the fund's reverse trading strategy on performance,it is found that taking certain reverse trading behavior in the current period can bring positive benefits,but it is not significant enough.When the fund adopts the reverse trading strategy according to the last quarter's performance of the stock,it will bring negative growth rate,that is,bring the decline of fund income.