Dissertation > Excellent graduate degree dissertation topics show

The Study on Volatility of Returns of Chinese Open-end Securities in Investment Fund

Author: TaoYong
Tutor: MaiJianGuo
School: East China Normal University
Course: Finance
Keywords: Open-end fund Revenue volatility CARCH model Behavioral Finance Influencing factors
CLC: F832.5
Type: Master's thesis
Year: 2010
Downloads: 95
Quote: 0
Read: Download Dissertation

Abstract


Since the release of the first branch of open-end funds in 2001, China's open-end securities investment funds in just a few years, with rapid development, has become the mainstream of China's securities investment funds market varieties. Open-end fund market has become an important part of China's securities market system, the proportion of institutional investors are growing wider. Attention to the open-end fund returns, the people turned to concern about the risk of open-end funds. The risk of the stock market is always accompanied with receipts. Therefore, the volatility of the stock market is inevitable. Fluctuations in the securities market and its influencing factors have become the focus of attention. Currently, scholars widely earnings volatility to characterize the risk of financial products. However, access to many documents, can be found, the scholars of earnings volatility research has focused on the stock market, while the open-end fund market attention is not enough. Accompanied by the development of open-end funds, open the volatility of the income of the Fund and its influencing factors is imperative. This article by selecting the most representative in permit open-ended equity Fund Index is analyzed, and establish GARCH (1,1) model of the open-end fund market earnings volatility. The same time, learn from other scholars in research futures and other financial products market event study method, discussed some of the factors for the revenue impact of the open-end fund market volatility. Firstly, the use of behavioral finance herding theory theoretical analysis of the reasons for the fluctuations of the open-end fund. Second, the paper selects the adjustment of the stamp duty on securities transactions, for example, the event study method, by theoretical analysis and empirical study, examined changes in income volatility before and after the change in fiscal policy and monetary policy, open-end fund market. In addition, the article also selected a number of fund companies managed several funds as a sample, the same event study methodology, analysis of the impact of the fund managers or the replacement of the Chief Investment Officer for the corresponding Fund revenue volatility. Through a series of theoretical analysis and empirical test, we come to the following conclusions: China's open-end fund market yields showed a non-normal distribution and conditions heteroscedasticity characteristics, there are fluctuations in the aggregation and transmission of information there is a certain lag characteristics; empirical results show that the GARCH (1,1) model has a good fit of the open-end fund's income volatility effect. Behavioral finance the herding hypothesis can theoretically explain the volatility of open-end fund's income, and in line with the realities of China's open-end fund market. Through empirical testing found that fiscal policy and monetary policy is an important factor income volatility caused by the open-end fund. In general, the fund manager changes conducive to narrowing the open-end fund's earnings volatility; replacement of the Chief Investment Officer of the open-end fund revenue volatility remains unclear. For the above conclusions, we propose a strengthening market supervision to strengthen the self-regulation of the open-end fund; to reduce policy interventions; accelerate the innovation of financial products, improve the construction of a market-based system; sound incentive and restraint mechanisms for fund managers, to further improve the governance of the open-end fund The structure and operation mechanism of many reasonable proposals targeted.

Related Dissertations

  1. Analysis on Floating Population’s Hukou Transfer Intention and Its Influencing Factors,C924.2
  2. State cigarette sales forecast Influencing Factors,F224
  3. An Analysis on Consumers’ Cognition and Attitudes of Genetically Modified Edible Oil,F426.82
  4. Study on the Variation of Soil Clay Minerals and Influence Factors in Karst Regions under Different Rocky Desertification, Southwest China,X171
  5. Concentration and Impact Factors of Typical VOCs in Indoor Air in Hangzhou,X51
  6. The Blood Glucose Control and Influencing Factors in Type 2 Diabetic Patients with Oral Hypoglycemic Agents,R587.1
  7. College Students’ Subjective Well-being and Influential Factors of the Training Path,B844.2
  8. The Study on Choice of Policy Tools of China,D630
  9. Anhui Sports Industry Structure Research,G812.7
  10. Medical Costs of Mental Disorder Patients and Its Influencing Factors in Dalian,R749
  11. A Study on the Factors Affecting the Cultivation of Voluntary Physical Exercise in Graduate,G807.4
  12. Empirical Research on Momentum Effect and Reversal Effect in China Stock Market,F224
  13. A Survey for the Factors That Affect Teaching English Reading in High Schools,G633.41
  14. A Study on How Managerial Overconfidence Impact Capital Structure in the Medium and Small Listing Companies,F276.6;F224
  15. A Case Study on the Emergent Activity in Theme Activity of the Kindergarten,G612
  16. Analysis of Influencing Factors of Vehicle Insurance Operational Efficiency,F842.6
  17. A Study of the Obstacles and Countermeasure in Village Committee Election,D422.6
  18. A Study on the Factors of Performance of Mergers and Acquisitions in Chinese Listed Companies,F271
  19. Influencing Factors of Customer Satisfaction on the Medical Training Meeting,R-2
  20. The Early Features and the Influence Factor of the Discovery Time of Abnormalities Among Children with Autism,R749.94
  21. College English Teachers’ Teaching Motivation and Its Influencing Factors,H319

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile