我国股票型基金的市场波动择时能力分析

Abstract

市场波动择时能力分析弥补了传统的收益择时能力分析中对风险因素的考虑欠缺。通过引入时变贝塔因子和收益择时因子，对Busse模型进行修正，从波动时变性的角度对我国股票基金的择时能力进行实证分析。实证结果表明，我国股票型基金的市场波动择时能力比收益择时能力显著；多因素模型中基金的波动择时行为比单因素模型更显著。 Market volatility timing ability offsets the drawback of controlling the risk of normal market timing ability. Introducing time-varying Beta and market timing ability to modify the Busse model, an empirical study is made about the timing ability of Chinese stock funds from volatility timing ability angle. The result shows that it is more significant of volatility timing ability than market timing ability in sample; and it is more significant of volatility in multi-factor model than one factor model.