作　　者： ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《商业经济与管理》 2011年第4期63-71,共9页

摘　　要： 有效市场假说已受到越来越多的现实挑战,文章在分析我国股市风格呈分形特征的基础上,把分形市场理论探索性地引入到基金投资风格领域,提出了基于分形维数的投资风格识别方法,并以我国79只开放式股票型基金为样本进行实证研究。结果表明:该方法能较好对基金投资风格进行准确性识别,大部分基金具有风格错配现象,比现有的两种主流风格识别方法更符合目前分形市场的现实背景,为基金经理与投资者提供了一种更加贴近现实市场的投资风格识别方法,使识别效果更加准确客观;并借鉴基尼系数的思想构建了风格一致性指标(CIS)来量化投资风格漂移程度,结果发现78.5%的基金发生了一定程度的风格漂移现象,风格一致性与风格漂移较严重的基金较少,这与证券市场非完全有效呈分形特征有关。 The Efficient Market Hypothesis has faced a growing number of practical challenges.This paper analyzes the fractal characteristics of the capital market,introduces fractal market theory into the area of fund investment style for the first time,proposes Recognition model of the investment style based on fractal dimension,and makes an empirical research on the 79 open-end funds samples in China.Results show that： the method can better recognize the fund investment styles than the existing two main styles recognition methods,providing a more realistic market recognition method of investment style;based on Gini coefficient ideas,we build the investment style index（CIS） to describe the degree of investment style drift,and it is found that certain degree of style drift has occurred in 78.5% funds,but less funds have style consistency and serious style drift,which is relevant to the currently imperfect security market.

关 键 词： 投资风格 分形维 风格一致性 开放式基金

领　　域： [经济管理]