开放式基金的业绩波动与资金流动的因果关系研究

    A Study of the Flow-Volatility Causality Relationship of the Open-end Funds

    • 摘要: 应用Panel-Data 的Granger 因果检验方法对开放式基金的资金流动与基金业绩波动的因果关系进行检验。通过对我国18 只股票型开放式基金进行了实证研究表明,基金业绩波动是资金流动的Granger 因果原因。因此,为了减小基金的流出,基金经理在注重提高基金业绩的同时,也应该同时加强基金的风险管理,减小基金业绩的波动。

       

      Abstract: This paper introduces "Granger Causality Tests in Panel-Data"to study the causal relationship between volatility of fund performances and cash flows of the open end funds. The empirical results show that the volatility is the Granger causality of the cash flow. So the fund manager should pay attention to risk managements while chasing high returns in order to reduce the cash out-flow.

       

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