我国股票型QDII基金的选股择时能力分析
An Analysis of Ability of Security Selection and Market Timing for QDII Equity Funds in China
DOI: 10.12677/BGlo.2017.52002, PDF, HTML, XML, 下载: 1,658  浏览: 4,306 
作者: 李伊婷, 金 辉：杭州电子科技大学经济学院，浙江 杭州；曹艳卡：道富信息科技(浙江)有限公司，浙江 杭州
关键词: QDII基金；选股能力；择时能力；面板数据模型；QDII Equity Funds； Security Selection Ability； Market Timing Ability； Panel Data Models
摘要: 根据QDII基金的特征，考虑汇率波动因素对反映选股择时能力的T-M、H-M和C-L模型进行修正并将其扩展为面板数据模型。选取具有5年以上存续期的共18只股票型QDII基金为研究样本，以2011年到2015年的月度数据对QDII基金的选股择时能力进行实证分析。实证结果表明，我国QDII基金基本没有选股能力，但具备一定的择时能力，汇率波动对基金业绩影响显著为负。
Abstract: Considering the features of QDII Equity funds, the TM and HM and CL models are modified by joining the currency factor and extended to Panel data models. To analysis managers’ stock selection ability and timing ability of QDII Equity funds, a total number of 18 QDII Equity funds are selected from 2011 to 2015 which has more than five years duration as the research samples. The empirical results show that Chinese QDII fund managers have no ability on stock selection, but a certain ability of market timing. Furthermore, changes of exchange rates significantly impact on performance.
文章引用：李伊婷, 金辉, 曹艳卡. 我国股票型QDII基金的选股择时能力分析[J]. 商业全球化, 2017, 5(2): 5-13. https://doi.org/10.12677/BGlo.2017.52002

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