Scale Of Index Fund On The Impact On The Fund Performance Based On Market Cycle

Index funds have developed rapidly in the domestic securities market with their unique advantages.In recent years,the increasing scale of index funds can show that index funds have become an important investment variety in China’s capital market.From an investor’s point of view,an effective investment strategy has also become particularly important.Based on the theory of scale effect,liquidity constraint and existing literature,we find that there is a certain relationship between fund size and fund performance.The purpose of this paper is to study the influence of single fund size,fund manager management scale and fund family size on the performance of stock index fund based on market cycle perspective,and to explain the mechanism of this influence from the investment behavior of fund portfolio.This article first systematically combs the domestic and foreign related research,finds the research development breakthrough point;On the basis of this paper,this paper empirically tests the influence of stock index fund size issued from 2009 to 2017 on its performance.Secondly,this paper analyzes three scale factors from fund itself,fund manager and fund family.Based on the change of fund size on investment behavior,the regression model based on fund size panel data is established,and the Granger causality test and fama-macbeth model are used as auxiliary research.The empirical results show that :(1)the size of the stock index fund itself,the fund size managed by the fund manager and the fund family size have significant positive effects on the fund performance;(2)In the bull market environment,the size of the fund itself and the size of the fund managed by the fund family have a significant positive relationship to the performance of the fund,and the size of the fund manager has a positive impact on the performance of the fund,but it is not significant in the rising stage of the market cycle;(3)In a bear market environment,the size of the fund itself,the size of the fund manager management and the size of the fund family have significant positive effects on the performance of the fund.According to this research result,when the market price rises,the investor can follow the index itself to obtain the income,in the market cycle downward stage,the investor may choose the fund scale relatively large stock type index fund to carry on the investment.On this basis,this paper studies the mechanism of fund size affecting fund performance.According to the existing research summary,this paper takes the fund investment behavior as the influence way.The increase of fund size will reduce the liquidity of the fund and increase the diversification of investment.The test results show: On the one hand,with the increase of the size of the index fund itself,the fund size managed by the fund manager and the fund size managed by the fund family,the negative impact on the liquidity of the fund portfolio is not significant;on the other hand,with the increase of the fund size,the ratio of the top ten shares of the fund portfolio decreases significantly and the number of shares held by the fund increases significantly,indicating that the investment of the fund is more decentralized and the behavior of decentralized investment significantly improves the performance of the fund.Therefore,for exponential funds,the effect of diversification behavior on fund performance is more significant than that of liquidity change,so it is concluded that the change of fund diversification investment behavior is the main reason for the influence of fund size on fund performance.The result is that fund size has a positive impact on fund performance.