人气指标与封闭式基金绩效相关性研究

Performance-Related Research of Sentiment Indicator and the Closed-End Fund

摘要: 选取2008年3月~2011年12月25只封闭式股票型基金收益率和成交量、上证国债的收益率和成交量、3种人气指标(投资者信心指数，AR指标，心理线PSY指标)的周数据和月数据，建立基于周数据和月数据的计量回归模型，通过研究表明：1) 无论是在长期中还是在短期中市场的人气指标与基金相应期间的收益率成正相关性；2) 在短期中，基金的交易量与基金的收益率成正的相关性，但在长期中，基金的交易量已经不能对基金的收益率起解释作；3) 股票型基金的收益率与国债的收益率，成交量成负相关；4) 本期人气指标对本期的收益率起到正相关性，但对下一期的收益率解释力很弱。

Abstract: Through the measurement regression model depending on weekly and monthly data of the returns and volume of 25 closed-end fund and the Shanghai bonds from March 2008 to December 2011 and three kinds of popular indicators (Investor Confidence Index, AR targets, indicators of psychological line PSY during the same period, we can find four important conclusions: 1) Whether long-term or the short-term, the market sentiment indicator and the Fund show a positive correlation; 2) In the short term, the fund’s transac-tion and the returns of the fund show a positive correlation, but in the long term, the fund’s transaction can’t explain the retunes of the Fund; 3) The returns of the fund and the returns of the bonds show a negative cor-relation; 4) Current sentiment indicator explain the returns of the funds for the same period, but the power of the explanation is weak for the next period.