中国投资基金波动择时能力的实证研究

中国管理科学 ›› 2005, Vol. ›› Issue (2): 22-28.

中国投资基金波动择时能力的实证研究

马超群¹, 傅安里¹, 杨晓光²

1. 湖南大学工商管理学院, 长沙, 410082;
2. 中国科学院系统科学研究所, 北京, 100080

收稿日期:2004-09-16 修回日期:2005-01-19 出版日期:2005-04-28 发布日期:2012-03-07
基金资助:
国家社科基金资助项目(03BJY056);国家自然科学基金优秀群体资助项目(700221001);国家自然科学基金重点资助项目(70331001)

Empirical Study on Volatility Timing Ability of China’s Investment Funds

MA Chao-qun¹, FU An-li¹, YANG Xiao-guang²

1. College of Business Administration, Hunan University, Changsha 410082, China;
2. Institute of Systems Science, CAS, Beijing 100080, China

Received:2004-09-16 Revised:2005-01-19 Online:2005-04-28 Published:2012-03-07

摘要/Abstract

摘要： 投资基金的择时能力是基金绩效评价的核心内容。本文通过引入收益择时因子改进了Busse的波动择时模型,并以此为工具从波动时变性的角度对我国证券投资基金的择时能力进行了实证研究。实证结果表明,不仅中国证券投资基金具有较为显著的波动择时能力,开放式基金的波动择时能力强于封闭式基金;而且改进的波动择时模型优于Busse波动择时模型。

关键词: 基金, 条件市场波动, 波动择时

Abstract: Timing ability is an important index to evaluate an investment fund’s performance.In this paper,we introduce the return timing factor into Busse’s volatility timing model,and employ the model to investigate China’s investment funds.Our empirical results shows that,not only China’s investment funds have significant volatility timing abilities,in particular for the open-end funds,but also the modified models are superior to classical models.

Key words: fund, conditional market volatility, volatility timing

中图分类号:

F830

马超群, 傅安里, 杨晓光. 中国投资基金波动择时能力的实证研究[J]. 中国管理科学, 2005, (2): 22-28.

MA Chao-qun, FU An-li, YANG Xiao-guang. Empirical Study on Volatility Timing Ability of China’s Investment Funds[J]. Chinese Journal of Management Science, 2005, (2): 22-28.

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