【作者】 赵建群；

【导师】 何问陶；

【作者基本信息】 暨南大学 ， 金融学， 2008， 博士

【副题名】理论探讨及中国判据

【摘要】 由于一系列“基金黑幕”事件的不利影响,以及行为金融学理论中所提供的关于基金“羊群行为”、“动量交易策略”等的理论支持,基金的市场稳定功能正在被误解和被否定;也有文献提供了基金具有市场稳定功能的实证结论,但是在理论上存在以偏概全的嫌疑;鉴于市场力量逐步强大的我国证券投资基金需要得到正确的理解,本论文以“市场稳定功能”为题展开理论研究,并结合中国实际给出了初步结论。在理论研究部分,论文从两个角度分析了基金是否具备稳定市场的功能,或者说怎样才能具备稳定市场的功能。首先,论文认为,具有现实意义的“市场稳定功能”应该是“促成价格运动忠实于基本价值事件的功能”,因此,基金对市场的稳定主要体现在帮助消除或降低人为因素对原始价值知识传递的干扰或破坏,而基金的这种功能是受到其行为能力、行为特征和市场实力的影响的。其次,论文认为,基金即使具备价值信息优势、理性特征以及市场实力优势,也不一定能够稳定市场,或者说愿意去稳定市场,因为当进入市场时,基金的身份特征将会是相对的和变化的,于是在不同主体结构的市场中,基金将呈现不同的市场动机和市场影响力,最终导致不同的价格运动。同时,作为理论研究部分的补充,论文以契约关系为基础,对基金身份特征的“保障性”和可变性进行了论证。在实证研究部分,论文首先利用所推证的研究工具对基金的身份特征进行了检验。检验发现:(1)我国基金管理公司的专业能力优势并未得到实证支持;(2)在控制收益率的波动方面,我国的基金都没有超越大盘,表现出比较低的调整或控制能力;(3)我国的基金市场总体上来说正在趋于更充分的竞争,而非垄断加剧,同时基金对于市场的影响力正在趋于上升,并逐步成为市场的主导力量。第二部分的实证主要是对基金的持股行为与股票价格稳定性的关系进行了检验。检验发现:(1)在通常情况下,基金的业绩调整行为与大盘的波动是相互影响的,但是在进入牛市时,基金成为大盘的波动制造者的情况占据主要地位,在熊市阶段,基金开始表现出与大盘波动脱离关系:(2)基金既可能是市场的波动源,也可能是市场的稳定器,具体关系取决于基金在整个证券市场中的整体力量占比、基金行业内部的实力对比,以及基金与散户投资者的力量对比;(3)从具体数量关系上看,根据保守估计,我国股票价格运动中出现的波动,能够由基金持股行为解释的部分平均约为2.7%,高的季度可能达到或超过10%。结合理论与实证,论文认为:证券投资基金的市场稳定功能受制于它的契约关系特征和市场势力变化;功能的表现呈现出阶段性特征。更多还原

【Abstract】 With the adverse effection of series of "Inside Story of Funds " and the supports by behavioral finance theories which are called "Herd Behavior", "Momentum Trading Strategy", and so on, the funds’ function on stabilizing-market is being misunderstood and being denied. There are also many positive conclusions on the stabilizing-market function in some literature, but they, in the theoretic view, seem not all-around. With the fact that the mutual funds are being more and more powerful in the economy, they need to be correctly understood. Therefore, titled on the stabilizing-market function, this thesis researches the theories and comes to a primary conclusion linking with China evidence.In it’s theoretical part, the thesis, from two angles, discovers whether the funds have the stabilizing-market function or how can they make it. From one angle, the thesis shows that, as the practical stabilizing-market function should be the function that keeps the price being loyal to the basic value, if the funds have such functions, they must help to eliminate or reduce the interference or damage by the human factors throughout the transfer of the original value-knowledgement. Of course, this function of the funds is subject to the funds’ capacity, behavior characteristics and market power. From the other angle, the thesis shows that even if the funds have the value-information superiority, the rational characteristic, and the market-power dominance, they can hardly stabilize the market, or are hardly willing to do it, because when being put into the market, their identities are relative and changing, which means that in different market with different subject-structure, the funds’ motivation and influence are different, which will results in different kinds of price movements. As the supplement of the theoretical part, based on the contractual relationship, the thesis shows that the funds’ characteristics are not only fixed but also changeable.In its empirical part, the thesis, firstly, using tools gotten from research, tests the characteristics of the funds’ identities. The test shows that, in our country: (1) the funds’ professional competence are not notable; (2) in the control of the return-ratio fluctuation, the funds have not exceeded the market, and shown lower ability of adjustment or control; (3) on the whole, the funds industry is becoming more and more competitive, rather than monopoly, simultaneously the funds are rising to be the leading force of the market. Secondly, the thesis tests the relationship between the behavior of the funds and the stability of the stock price. The test shows that, in our country: (1) under normal circumstances, the funds’ achievement adjustment and the fluctuation of the stock price influence mutually, but when in the bull market, the funds, mostly, becomes the producers of the fluctuation, and when in the bear market, the behavior and the stability tend to become out of relationship; (2) whether the funds are the source of the fluctuation or the stabler of the market depends on the funds’ entire share of the market, the funds’ strength contrast within the funds industry, and the power balance between the funds and retail investors; (3) looked from a stoichiometric way, about 2.7% averagedly, or above 10% in some quarters, estimated conservatively, of the fluctuation of the stock price can be explained by the stock-holding behavior of the funds.According to the theories discussion and test results, the thesis finds that the funds’ stabilizing function is controlled by the feature of its contract relationships and the change of market power, and that the function differs in different stage.更多还原