中国证券投资基金运行效率的一个实证分析

运用DEA方法对基金业绩进行评价,对24只开放式基金和54只封闭式基金在2004年和2005年的相对业绩进行了比较分析.研究发现,多数基金处于无效状态,基金业绩不存在明显的业绩持续性和规模效应,但投资风格和业绩之间具有一定的相关性.封闭式基金的运营效率低于开放式基金,规模中等的基金大部分时间平均效率最高.债券型基金的效率值高于股票型和混合型,平均效率值都接近1.研究还发现,投资基金的相对业绩与证券市场的走势密切相关.通过对规模报酬状态的分析发现,一多半开放式基金都处于规模报酬递减阶段,而封闭式基金绝大多数都处在规模报酬递增阶段.这些结论对我国基金业的发展和投资者选择基金有良好的启示.

An Empirical Study on the Chinese Equity Investment Funds' Efficiency

This paper examines 24 mutual funds' and 54 closed-end funds' comparative efficiency in the year 2004 and 2005.The results indicate that,most funds were inefficient.There didn't exist extinct performance persistence and scale effect in funds' operation.Whereas,some relationship between investment style and performance was observed.Closed-end funds' efficiency is lower than mutual funds' as well as medium funds' efficiency is the higher the other two groups.In most time,bond-oriented funds are more efficient than stock-oriented funds and mixed funds.It's indicated that the comparative efficiency has a close relationship with equity market.Besides,most mutual funds are return decreasing to scale,and most closed-end funds are return increasing to scale.