我国证券投资基金投资策略研究

【作者】 刘月来；

【导师】 葛正良；

【作者基本信息】 华东师范大学 ， 金融学， 2004， 硕士

【摘要】 2003年春季的中国股市，出现了一波被人们称之为局部牛市的行情，在上证指数大幅上涨的同时，只有不到30％的股票出现了上涨，而大多数股票或者原地踏步，或者不涨反跌。在上涨的多数股票中，都出现了基金的身影，基金成为这些股票流通股的最主要的持有者，基金的持股量、持股比例以及集中持有股票的方式对2003年上半年以及全年的股市行情起到了非常重要的作用，基金的投资理念以及建立在此基础上的投资策略已经对中国股市的行情波动起到了举足轻重的作用。因此，研究基金的投资策略，对基金本身的发展、对我国股市的影响，既有重要的理论意义，也有一定的现实意义。 本文正是在这样的背景下展开了对我国证券投资基金投资策略的研究。 第一章对我国的基金发展与现状作以简单介绍：证券投资基金在中国属于新生事物，但在管理部门的大力扶持下，依托高速成长的新兴市场环境，在短短几年时间里获得了突飞猛进的发展。开始试点的1998年，有五只基金，净值只有107.4亿元；到2004年第一季度末，基金的规模已达2400亿元以上。在基金规模快速增长的同时，基金品种的创新也呈加速趋势。一方面，开放式基金后来居上，逐渐成为基金设立的主流形式；另一方面，基金产品差异化日益明显，基金的投资风格也趋于多样化，除传统的成长型、混合型外，债券基金、收益型基金、价值型基金、指数基金、具有概念的优势企业基金等纷纷问世。短短5年时间，规范后的证券投资基金经历了从无到有、从少到多的过程，形成了由封闭到开放、由品种单一到个性化、多层次的品种体系。基金业目前已经成为中国证券市场中最有朝气、最有活力的一个分支。其投资策略对市场的影响也越来越大。 而基金投资策略的形成不是一蹴而就的，而是有一个过程，是在一定的投资理念的基础上形成的。投资理念的形成是有一定的认识基础与市场基础的。本文第二章就是分析建立在投资理念基础上的投资策略形成的认识基础与市场基础。由于市场参与者都是普普通通的个人，因而具有理性与情感，在一些情况下，非理性的情感因素会左右人们的行动，从而作出搏傻的投机行为。同时，由于市场参与者的非理性、信息不对称以及人们对信息的理解存在偏差，因此市场也存在低效或失效的情况，这就为基金经理采用不同的投资策略奠定了市场基础。 本文第三章的内容就是研究基金经理在分析了市场有效还是无效的情况下采取的具体投资策略。如果市场是无效或低效的，就可以利用市场的无效之处采用积极的投资策略(价值型、成长型、概念型以及时机抉择型投资策略)；反之，如果市场是有效的，那只有用消极的投资策略(买入持有型、指数分散化等投资额略)来进行投资。 鉴于我国的证券市场正处在新兴加转轨的特殊历史时期，我国证券市场的有效性的高低是基金经理不得不考虑的问题，我国证券市场至少还没有达到半强有华东师范大学硕士论文我国证券投资基金投资策略研究效，至于能否达到弱式有效，不同的学者研究的结果有较大的差异。这至少说明我国的证券市场是低效的，因此基金就会常常采取积极的投资策略，在不同的市场环境与政策背景下，采用价值型、成长型、概念型等的投资策略来进行投资，当市场监管力度增大时市场处于熊市时也会采用分散化的投资策略来分散风险。这正是本文第四章的研究主题。通过分析基金这几年的投资策略，可与看出基金的投资策略是逐步由不成熟走向成熟，由混乱走向清晰，由跟风走向独立与领导的地位，并渐渐地影响整个市场的投资理念。 不仅如此，基金的投资策略从长期来看是有周期性的。在过度追高成长型股票的后期，搏傻的空中楼阁理论取代了价值投资，贪婪的欲望取代了理性，有限的成长性已经不能满足人们对股价快速上涨的欲望，因此概念股也就会应运而生，故事与神话就靠着概念炒作起来。随着神话与股市泡沫最终破灭，慢慢熊市使股价大幅下跌，这样，当新一轮牛市随着经济复苏的到来，人们对没有业绩支撑的股票还会心有余悸，这时理性的谨慎占主导地位，再买股票必然会走回到稳健的价值型投资的老路上。因此，由价值型开始发展到成长型再逐步演化为概念型的投资策略，都是由当时的市场环境决定的。而在股市下跌的过程中，基金经理们为了达到规避风险的目的也会采用分散型的投资策略。 本章还分析了在不同的投资策略下，基金所取得绩效，鉴于基金数目的不断增多与数据的庞大，本文采用了两部分来进行研究，一部分以封闭式基金为主，时间段为两年，第二部分则以2003年基金的绩效为研究对象，在此基础上分析子基金的影响力。同时对基金未来的投资策略做出预侧与展望。 通过全文的分析与研究，可以发现，随着中国证券市场的飞速发展，以证券投资基金为代表的机构投资者，对中国证券市场的稳定和健康发展发挥着越来越重要的作用。证券投资基金正在成为推动我国证券市场形成正确的投资理念的重要动力。 由于我国的证券市场还处在发展的初期，新型加转轨是其特征，所以成熟的投资理念与投资策略的形成还需要一个过程，从一1999年的成长型到2000年的概念炒作，再到20更多还原

【Abstract】 The Chinese stock market appears partly bull market in the spring of 2003.Only not more than 30 percent stocks went up, while some of others didn’t go up, some fell down. The securities funds are the most important share-holders of the stocks which went up. The volume and ratio of stocks which the funds held have influenced Chinese stock market. The investment ideas of funds and their investment strategies had played an important role in our stock market. So there is important meaning in studying the funds’ investment strategies on stock markets.In chapter one I simply introduce the development and present situation of Chinese stock investment funds. The funds cam into being several years ago in China and developed very quickly with the the development of stock markets, especially the government gave good policy. In November 1997,our state department published <the present management methods of securities funds>In March 1998,funds Jintai and Kaiyuan were set up. From then on, the securities funds developed very fast. In 1998,the beginning period of the funds, there were only five funds and their net value were 10.74 billion yuan, but the net value had reached 240 billion yuan in the end of spring ,2004. In the meanwhile, the sorts of fund innovation increased. On one hand ,the open-fund developed faster than closed funds and became the most important style. On the other hand, the difference of different funds is becoming more and moreapparent. And now the funds have formed a series of products. Their investment strategies have influenced the stock markets deeper and deeper.There is a process for Chinese securities funds developing their investment strategies and the strategies are based on investment ideas. And there are some cognition and market conditions for the formation of funds’ investment ideas. The chapter two analyzed the cognition and market conditions on which the funds’ investment ideas and strategies developed. The investors of stock market are common people. They owe intellect and emotions. So under some instances, the emotions could influence the investors behaviors so that they behave unreasonably. At the same time, because of information-asymmetry, the stock market would lose its efficiency or has low efficiency. And the funds managers can use different strategies by taking advantages of the market’s low efficiency.The main content of chapter three studies the concrete investment strategies which based on the markets. If the market has no or low efficiency, the funds managers can employ the low efficiency and use enhanced investment strategies. On the contrary, the funds managers can use the passive investment strategies if the market is efficiency.The Chinese funds managers have to consider the market’s circumstance because the domestic stock market is in a special period of developing and transferring. The stock market have not reachedsemi-strong form efficiency, as if it reaches weak form efficiency, different scholars draw different conclusions. And this phenomenon indicates that the domestic market at least has low efficiency. Therefore the funds managers often can use enhanced strategies. According to market circumstance and different policy, funds managers use different strategies. This is the main content of chapter four.In this chapter I also analyzed the funds performances under different investment strategies. Because there is too much data, so I just studied two periods, one is for closed funds, the other is for open funds. I also analyzed the funds’ influence on the markets. At the same time, I give a forecast of funds investment strategies in the near future.更多还原