证券投资基金对证券市场的影响及其微观机制研究
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摘要
本文以行为金融理论为基础,从博弈的角度出发,研究证券投资基金对证券市场的影响及其微观机制。
论文主要分为三个部分:第一部分是开放式基金业绩与规模的关系研究。研究表明,虽然我国的基金业绩与规模间不存在正相关关系,但是,在基金管理公司层面上,基金业绩与基金公司的整体规模间存在正相关,这种正相关关系的存在为基金间的相互博弈提供了动因。基金需要通过博弈来争取较好的业绩以及业绩排名,从而实现基金管理公司的利润最大化。
论文的第二部分是博弈行为分析,这一部分主要是运用证券市场微观结构理论和博弈论,研究基金间的博弈行为。为此,我们建立了一个基金博弈模型,从动态的角度阐述了基金博弈的微观机制。在模型中,我们引入了信息成本的概念,正是由于信息成本的存在,才导致了信息的不对称以及投资者的不完全理性。在博弈过程中,证券的均衡价格由各市场参与者的博弈行为决定,随着博弈过程的不断进行而动态调整。这个动态的模型不仅说明了基金博弈的微观机制,而且从一个新的角度说明了市场泡沫的形成、发展和破灭的过程。
基于上述模型,本文进一步讨论了基金博弈行为对证券市场波动性、有效性和流动性的影响。从理论模型的结果来看,基金的博弈行为将促进市场信息的传递,提高市场的有效性,降低市场的波动;另一方面,由于基金投资行为与个人投资者有着根本的区别,基金将降低市场的流动性。
论文的第三部分是实证研究,从实证的角度分析基金博弈行为对证券市场的影响。本文主要就基金对证券市场流动性和波动性的影响分别进行了实证研究。实证研究的结论验证了理论模型的分析。此外,我们对目前市场上较为普遍的一种博弈行为——基金虚增业绩行为——进行了实证研究。研究结果表明,开放式股票型基金在季度末或年度末会在短时间内,大量、快速买入所持股票以拉升其价格,达到一个较高的收盘价,以虚增基金业绩。
Based on behavior finance, we study the impact of mutual fund on the capital market and its micro mechanism from the game perspective.
This article can be divided into three parts. The first part is research on the flow performance relationship. We find that, in china fund market, there is no positive relationship between the funds flow of mutual fund and fund performance, however, from the view of fund company, there is positive relationship between the fund performance and total funds flow of fund company. This relationship provide incentive for fund family to game with each other, if fund family achieve better performance, the assets under management and the profit of fund company will grow up correspondently.
The second part consists of research on the game behavior of fund with market microstructure theory and game theory. We establish a model to illustrate micro mechanism of fund game behavior dynamically. In this model, information cost is a core conception. The existence of information cost introduces the asymmetry of information and incomplete rationality of investor. In the game process, equilibrium price of security is decided by game behavior of game participant and adjusted to the game process dynamically. This model not only demonstrates the micro mechanism of game behavior, but also can be used to illustrate the origination, evolution and ruin of market bubble.
Based on the model, we study the impact of fund game behavior on the volatility, efficiency and liquidity of capital market. The model suggests that fund game behavior enhance the spread of information, so, improve the market efficiency and reduce the market volatility. However, it will introduce negative impact on market liquidity.
The third part is empirical study. We make study on the impact of fund game behavior on the volatility and liquidity of capital market respectively. The results of empirical study are consistent with theoretical model.
论文主要分为三个部分:第一部分是开放式基金业绩与规模的关系研究。研究表明,虽然我国的基金业绩与规模间不存在正相关关系,但是,在基金管理公司层面上,基金业绩与基金公司的整体规模间存在正相关,这种正相关关系的存在为基金间的相互博弈提供了动因。基金需要通过博弈来争取较好的业绩以及业绩排名,从而实现基金管理公司的利润最大化。
论文的第二部分是博弈行为分析,这一部分主要是运用证券市场微观结构理论和博弈论,研究基金间的博弈行为。为此,我们建立了一个基金博弈模型,从动态的角度阐述了基金博弈的微观机制。在模型中,我们引入了信息成本的概念,正是由于信息成本的存在,才导致了信息的不对称以及投资者的不完全理性。在博弈过程中,证券的均衡价格由各市场参与者的博弈行为决定,随着博弈过程的不断进行而动态调整。这个动态的模型不仅说明了基金博弈的微观机制,而且从一个新的角度说明了市场泡沫的形成、发展和破灭的过程。
基于上述模型,本文进一步讨论了基金博弈行为对证券市场波动性、有效性和流动性的影响。从理论模型的结果来看,基金的博弈行为将促进市场信息的传递,提高市场的有效性,降低市场的波动;另一方面,由于基金投资行为与个人投资者有着根本的区别,基金将降低市场的流动性。
论文的第三部分是实证研究,从实证的角度分析基金博弈行为对证券市场的影响。本文主要就基金对证券市场流动性和波动性的影响分别进行了实证研究。实证研究的结论验证了理论模型的分析。此外,我们对目前市场上较为普遍的一种博弈行为——基金虚增业绩行为——进行了实证研究。研究结果表明,开放式股票型基金在季度末或年度末会在短时间内,大量、快速买入所持股票以拉升其价格,达到一个较高的收盘价,以虚增基金业绩。
Based on behavior finance, we study the impact of mutual fund on the capital market and its micro mechanism from the game perspective.
This article can be divided into three parts. The first part is research on the flow performance relationship. We find that, in china fund market, there is no positive relationship between the funds flow of mutual fund and fund performance, however, from the view of fund company, there is positive relationship between the fund performance and total funds flow of fund company. This relationship provide incentive for fund family to game with each other, if fund family achieve better performance, the assets under management and the profit of fund company will grow up correspondently.
The second part consists of research on the game behavior of fund with market microstructure theory and game theory. We establish a model to illustrate micro mechanism of fund game behavior dynamically. In this model, information cost is a core conception. The existence of information cost introduces the asymmetry of information and incomplete rationality of investor. In the game process, equilibrium price of security is decided by game behavior of game participant and adjusted to the game process dynamically. This model not only demonstrates the micro mechanism of game behavior, but also can be used to illustrate the origination, evolution and ruin of market bubble.
Based on the model, we study the impact of fund game behavior on the volatility, efficiency and liquidity of capital market. The model suggests that fund game behavior enhance the spread of information, so, improve the market efficiency and reduce the market volatility. However, it will introduce negative impact on market liquidity.
The third part is empirical study. We make study on the impact of fund game behavior on the volatility and liquidity of capital market respectively. The results of empirical study are consistent with theoretical model.
引文
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[1]郭磊,吴冲锋.《基于混合资产定价模型的中国股票市场羊群行为实证研究》.《系统工程理论与实践》,2005(8):32-37.
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[ 1 ] Carhart, Mark M., Ron Kaniel, David K. Musto and Adam V. Reed. Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds . Journal of Finance. 2002. 57: 661-693.
[ 2 ] Chevalier, Judith and Glenn Ellison. Risk taking by mutual funds as a response to incentives. Journal of Political Economy. 1997. 105: 1167-1200.
[ 3 ] Del Guercio, Diane, and Paula A. Tkac. The determinants of the flow of funds of managed portfolios: Mutual funds vs. pension funds. Journal of Financial and Quantitative Analysis. 2002. 37(4): 523-557.
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[ 7 ] Roston, Marc N. . Mutual fund managers and lifecycle risk: An empirical investigation. 1996. Ph.D. thesis, University of Chicago.
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[2]Chevalier,Judith and Glenn Ellison,1997,Risk taking by mutual funds as a response to incentives,Journal of Political Economy 105,1167-1200.
[3]Roston,Marc N.Mutual Fund Managers and Lifecycle Risk:an Empirical Investigation,[R],University of Chicago,1996.
[4]Sirri,Erik R.,Peter Tufano.Costly search and mutual fund f lows.Journal of Finance,1998(53):1589-1622.
[1]郭磊,吴冲锋.《基于混合资产定价模型的中国股票市场羊群行为实证研究》.《系统工程理论与实践》,2005(8):32-37.
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[3]孟卫东,唐德祥.《证券投资基金模仿投资行为的实证分析》.《合肥工业大学学报(社会科学版)》,2004(2):1-4.
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