我国开放式基金股票配置策略与基金业绩间关系的实证研究

摘要

利用2005-2012年我国58只偏股型开放式基金的半年度数据,通过排序研究和建立平衡面板数据模型,对基金持股集中度和股票资产换手率与基金业绩的关系进行实证研究.结果表明,用赫芬达尔指数刻画的持股集中度与用基金累计单位净值增加值刻画的基金业绩显著正相关,股票资产换手率也与基金累计单位净值增加值显著正相关.提出:基金投资者可通过选择持股集中度和股票资产换手率高的基金来获得理想的投资收益.%This paper selects the semi-annual data of 58 open-ended stock-leaning funds in China during 2005-2012,and then adopts the sequencing research method and sets up the balance panel data model to study the relationship between stock concentration as well as stock turnover ratio and performance of open-ended fund empirically.The empirical results show that fund performance has the positive correlation with both stock turnover ratio and stock concentration represented by Herfindahl index.Fund investors could achieve ideal income through investing in funds with high stock turnover ratio and stock concentration.