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| 基于面板分位数回归的开放式基金赎回行为研究 |
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陈海燕1
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重庆工商大学 经济贸易学院
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| 摘要: |
| 采用面板分位数回归方法对我国开放式偏股型基金的赎回行为进行研究，结果表明：基金的净赎回率与当期分红和基金规模负相关，与上期分红和基金市场净申购率正相关，而与基金收益率、波动率和股票市场的关系在不同分位点处的表现不一；我国投资者在基金赎回行为过程中考虑了资金成本因素，“反向选择”现象并不明显。 |
| 关键词: 开放式基金 面板数据 分位数回归 开放式偏股型基金 基金赎回率 基金申购率 赎回困惑 反向选择 |
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| Research on Open Funds Redeeming Behaviors Based on Panel Quantile Regression |
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CHEN Hai-yan
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| Abstract: |
| Panel quantile regression method is used to study redeeming behavior of China’s open partial-stock funds, the results show that net redeeming rate of the funds is negatively related to current dividend and funds scale, is positively related to last dividend and market net purchase rate of the funds but has different behaviors at different quantiles with the relation to funds earnings, volatility rate and stock market. China’s investors consider capital cost factor in the process of funds redeeming behaviors, as a result, “inverse selection” phenomenon is not significant. |
| Key words: open funds panel data quantile regression open partial stock funds funds redeeming rate funds purchase rate redeeming perplexity inverse selection |
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