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本文采用中国证券市场2004年至2010年所有开放式基金的数据,运用面板数据Logit模型对影响其交易策略(动量或反转)选择的因素进行了分析。研究发现,在2004年至2010年期间,中国证券市场的开放式基金大部分采取了动量交易策略,并且基金经理的从业经历、基金上期业绩排名对开放式基金是否选择动量交易策略存在显著影响。
This paper uses the data of all open-end funds in China’s securities market from 2004 to 2010 and analyzes the factors influencing the choice of trading strategies (momentum or reversal) using panel data Logit model. The study found that most of the open-end funds in the Chinese securities market adopted the momentum trading strategy between 2004 and 2010, and the employment experience of the fund managers and the performance ranking of the fund last issue have a significant impact on whether the open-end funds choose the momentum trading strategy.