搜索
上海交通大学硕士学位论文QFII与中国证券投资基金投资行为比较姓名：侯沛沛申请学位级别：硕士专业：金融学指导教师：吴冲锋20090114上海交通大学硕士学位论文QFII与中国证券投资基金投资行为比较摘要随着在国内证券市场上的投资额度的放宽和投资力度的扩大，QFII在国内证券市场上的影响也越来越大。一直在国内处于领头羊地位的机构投资者——中国证券投资基金，也正快速稳定的发展着。两者的发展历史、投资理念、制度现状都有很大不同，这些因素是否决定了QFII与国内证券投资基金的投资行为的差异呢？本文的目的就是比较QFII与国内证券投资基金的投资行为的差异并挖掘决定差异的原因，并昀终提出相关建议，这对他们的持续发展以及国内金融市场的发展都意义重大。本文主要内容包括以下几个部分：第一部分文献综述，是对本论文的研究内容的已有研究成果进行概括说明。包括行为金融学的发展背景、过程、现状和模型以及国内外机构投资者的研究成果。第二部分对QFII和中国基金的制度做深入分析。在QFII的发展研究上以昀早的台湾QFII的发展研究为基础将台湾QFII发展与国内QFII现状做比较；中国基金的发展研究部分详细分析中国的基金业发展的三个阶段：老基金时代、封闭式基金发展阶段，开放式基金发展阶段。第三部分QFII与中国基金的投资组合分析主要分析比较两者的1上海交通大学硕士学位论文资产配置，包括各自的A股投资分析、可转债投资分析、国债投资分析以及QFII的基金投资分析。比较研究发现QFII对大势的判断和把握要优于国内证券投资基金；QFII对可转债和国债的投资力度大于国内证券投资基金；另外QFII也注重利用国内的研究团队，持有相当数量的国内证券投资基金，但是对着对中国股市的了解越来越多，对国内证券投资基金的投资减少。第四部分QFII与中国基金投资特征分析主要从行业策略、选股偏好、交易策略以及投资独立性四个方面进行分析。比较研究发现QFII对国内具有传统优势的行业投资较多，行业集中度更高；而国内证券投资基金对金融保险业的投资力度昀高，同时也很注重中国传统优势行业。在选股偏好方面，国际经验上以大盘蓝筹为主要投资对象的QFII在中国的投资更多的集中在中盘股、中低价股，国内证券投资基金的前20名重仓股反而主要集中在大盘股和中低价股。QFII与国内证券投资基金都采用动量交易策略。另外羊群行为检测结果QFII并没有表现出比国内证券投资基金更高的独立性。第五部分对QFII与国内证券投资基金的投资行为比较做出总结分析，并且找出两者存在差异的具体原因。第六部分根据以上比较分析针对国内金融市场、QFII和国内证券投资基金分别提出建议。关键字：行为金融学，动量交易策略，反转交易策略，羊群行为2上海交通大学硕士学位论文ComparisonofinvestmentbehaviorbetweenQFIIandChina'ssecurityinvestmentfunds ABSTRACT Nowadays， QFII play a more important role in domestic security market than ever before with wider investment amounts and stronger investment strength. But in the meanwhile， China’s security investment funds， institutional investors as bellwethers， also experience a period of prosperity. Whether differences in development history、investment strategy and state of system lead to the diversity of investment style between QFII and China’s security investment funds or not， the paper aims at finding out the differences in investment style and the real reasons causing these differences， and then introduces pertinent suggestions， which matters for the development of not only two of them but also domestic financial market. Because of reasons above， the paper makes a thorough analysis in investment portfolio and investment style between QFII and China’s security investment funds， and then comes up with sound advices for domestic financial market、QFII and China’s security investment funds with the consideration of development history and state of system of QFII and China’s security investment funds. Main contents are listed as follows: The first part is literature reviews， which summarize the existing research results of the field on which the paper focuses. Development background、process、status in quo and models of behavioral finance as well as research results found by institutional investors at home and abroad are involved in the first part. The second part contains thorough analysis of system between QFII and China’s security investment funds. The section of development of QFII compares QFII in mainland with QFII in Taiwan， in which QFII’s system has been put in practice for many years. In the other section， three phases of development of China’s funds， old funds’ era、closed‐end funds’ era and open‐end funds’ era are respectively analyzed. In the third part， the analysis of their respective asset allocation is presented， which contains their respective analysis of investment in A share market、convertible bonds and national debts， and analysis of QFII’s funds investment is also involved. In the recent years， QFII do a better job in judging macro‐economy situation in comparison with China’s security investment funds， and QFII hold more convertible bonds and national debts in their asset allocations. In addition， QFII show great interests in China’s security investment funds in initial entrance to mainland market. However， with gaining more knowledge of mainland stock market， QFII cut sharply china’s fund from 3上海交通大学硕士学位论文their asset allocation. The content of the fourth part is analysis of investment style between QFII and China’s security investment funds. The analysis starts with three aspect: industry strategy、preference of stock‐selection and independence of investment. In the section of independence of investment， LSV method， which is widely applied in analysis of herding effect， is introduced in order to check out the underlying phenomena. Based on research results， the paper finds that QFII hold greater proportion of stocks of industries owing traditional advantages in their asset allocations. Different from QFII， China’s security investment funds prefer the companies of finance and insurance. In the aspect of preference of stock‐selection， QFII switch their investment priorities， which initially is mega‐issues in international financial market， to middle disk stocks and low‐medium price stocks. By contrary， the first twenty bulk‐holding stocks of China’s security investment funds mainly contain mega‐issues and low‐medium price stocks. Besides， loading results by LSV method with references， QFII show no higher independence than China’s funds. In the fifth part， the paper summarily items the differenc