我国开放式股票型基金业绩评价实证-分析

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1、万方数据AbstractOpen-endedequityfundsarethemaintargetinChina'sfundindustry,therefore，empiricalanalysisresultsCandescribethecurrentmainlysituationofChina’Sfundindustry,ontheotherhandcallroughlypredicttheindustrytrend，whichcallprovidequantitativebasisfordecision—makingforinve

2、stors，servicepersonnelorregulators．Firstlythispaperanalysistherateofreturn，volatility,autocorrelation，symmetryofChina'sopen-endfundindex，drawtheconclusionthatARMA(1，1)一GARCH(1，1)modelcanbeusedtodescribeitscharacteristics．Intheempiricalanalysisprocess，thispapertestingofC

3、hina'sfundindexdatabasedonthetheoryofforeignEACFmodelforempirical，provesthatthetheory啪alsobeappliedinChinesefundindustry．Secondly,Theexistingliteraturesmainlyfocusonincompletesamplesorone—sidedindexes．Thispaperanalysis125open-endequityfundperformancebasedonthetraditiona

4、lCAPM．Intheanalysisofperformancepersistence，non-parametricmethods：performancedichotomyischosentomeettheactualsituationofChina’Sfundindustry．Lastly,thispapersummaryandanalysistheopen—endfundmarketonthebasisoftheanalyticalresults，aimingattheexistingproblemsofthefundindust

5、ryinourcountryandputforwardrelatedopinionsandsuggestions．ThispaperusesRasmodelinganalysissofhIcare，theprogrammingstatementsarelistedintheappendixofthispaper,whichdescribestheproblemsindetailwhichtheauthorencounteredintheempiricalprocess，andsolutionstothecorrespondingsta

6、tement,hopingthefuturescholarsCanusethecourseofthestudyasreferenceinordertoavoidsimilarproblems．Keywords：Open·-endedequityfundsARMA-·GARCHmodelCAPMRIV万方数据23目录序论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．】1．1研究的背景和意义⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯一l1．2国内外相关计量模型的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．

7、41．2．1ARMA．GARCH模型的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯41．2．2CAPM的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯41．3本文的研究思路⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯～71．4本文的结构安排和创新⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯一81．4．1本文的结构安排⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯81．4．2本文的创新⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．9相关理论和方法介绍⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯102．1基金整体拟合模型的方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

8、⋯⋯⋯102．1．1平稳性检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．102．1．2ARMA模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯l02．1．3ARCH模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯11