作　　者： ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《证券市场导报》 2011年第5期41-46,共6页

摘　　要： 本文旨在把分形市场理论探索性地引入基金投资风格领域,在分析我国股市风格呈分形特征的基础上,提出了基于分形维数的基金投资风格识别方法——SR法和基金投资风格漂移程度测量方法——CIS法,并以我国72只开放式基金为研究样本进行实证,结果表明:我国证券市场呈现分形特征,SR法对基金投资风格具有准确性识别效果,能够观察到在股指上升和下跌以及回调过程中存在某种主导性投资风格,即存在羊群效应,从而导致大部分基金发生一定程度的风格漂移现象,其漂移程度可由风格一致性指标(CIS)来测量,结果发现76.4%的基金发生了风格漂移现象。 This paper intended to introduce fractal market theory into the fund investment style area to analyze the fractal characteristics of the capital market,proposed investment style recognition model based on fractal dimension——SR method and fund investment style drift quality index——CIS.We then made an empirical research on the 72 open-end funds samples in China,the results show that： the SR method can recognize the fund investment styles,which can observe the existence of a dominant investment style during the rise,fall and callback in the stock index,indicating a herding effect,also leading to the style drift to a certain extent of most funds.The drift degree can be described and measured by the style consistency index（CIS）,and we found that 76.4% funds were in a certain degree of style drift.

关 键 词： 投资风格识别 风格漂移 基金投资风格 开放式基金

领　　域： [经济管理]