开放式基金净值增长率被拉升了吗?——中国证券市场日历效应检验

本文旨在研究基金净值增长率在月末、季末、年末最后1个交易日是否被显著地拉升而表现出一定的日历效应.首先引入虚拟变量进行回归分析,然后讨论不同业绩组的日历末表现以及前后10个交易日的净值增长率走势.结果表明,实证支持基金日历末净值增长率异常增大的原假设.此外还发现,净值增长率在月末、季末前后10个交易日明显呈现一个由低点逐渐增大,然后回落的趋势.

Are Returns of Opened End Funds Inflated?——An Analysis of Calendar Effect in the Chinese Stock Markets

In this paper,we intend to find evidence if opened-fund returns are abnormally inflated in the last trading day.Firstly,dummy variables are introduced in the regression to analyze the calendar effect of specific trading days.We also discuss the returns change among groups of the different historic performance and among the 10 trading days around the calendar end.We find that returns of trading days at month-end are higher than those of common days.Furthermore,we prove that the returns show a changing trend in the 10 trading days around month-end and quarter-end,enlarged from a rather low level and decreased from a summit.Some possible explanations are given out for the empirical findings.