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从反应不足的角度研究我国开放式股票型基金业绩持续性,可以发现基金业绩持续性的来源是股市信息反应不足、投资者追涨行为和基金反转操作,其中最主要来源是A股业绩反转。同时,基金业绩在7个工作日内仍对新信息反应不足,且在上一期业绩持续性较差时对下一期的影响大于在上一期业绩持续性较好时。而基于Bootstrap法的GARCH类模型提高了原模型的有效性。此外,市场环境也会对投资者情绪产生影响,令投资者对不同信息的敏感度产生偏差。
From the perspective of the lack of response to study the continuity of the performance of China’s open-end equity funds, we can find that the sources of fund performance persistence is the lack of response to the stock market information, investors chase behavior and fund reversal operation, the most important source is A-share performance turn. In the meantime, the fund’s performance still does not respond to new information within 7 working days, and the impact on the next issue when the performance of the previous period is relatively poor is greater than that when the performance of the previous period is relatively good. The GARCH class model based on Bootstrap method improves the validity of the original model. In addition, the market environment will also have an impact on investor sentiment, leaving investors with a bias toward the sensitivity of different information.