CAJ | 학술논문

【摘要】本文从阳光私募成立时机选择的视角，运用数理模型检验阳光私募的择时能力。实证分析结果显示，在10％的显著性水平下，阳光私募具有一定的择时能力，但是沪深300指数对阳光私募成立数量冲击的反应是短暂的；选择门限值为809／6的GARCH（1，1）模型，可以更好地拟合样本数据，并且沪深300指数对阳光私募成立数量冲击的反应是持久的；当阳光私募成立数量波动大于80％时，阳光私募的择时能力更为突出，可以将阳光私募成立数量作为研判股市走势的因子之一。
【적요】본문종양광사모성립시궤선택적시각，운용수리모형검험양광사모적택시능력。실증분석결과현시，재10％적현저성수평하，양광사모구유일정적택시능력，단시호심300지수대양광사모성립수량충격적반응시단잠적；선택문한치위809／6적GARCH（1，1）모형，가이경호지의합양본수거，병차호심300지수대양광사모성립수량충격적반응시지구적；당양광사모성립수량파동대우80％시，양광사모적택시능력경위돌출，가이장양광사모성립수량작위연판고시주세적인자지일。
Using the mathematical model, this paper carries out an empirical a- nalysis to the timing ability of Private Equity Fund from the point of the choice of establishment opportunity. The empirical results show that at the 10% significance level, the private equity fund has the market timing ability in certain level. But it is short that the CSI300＇s response to the impact of the quantity of private equity fund. What＇s more, the GARCH （ 1, 1） model which includes the threshold value of 80% can be better fitted the sample data. When the fluctuation of the private eq- uity fund＇s quantity is greater than 80%, the private equity fund has the more prominent market timing ability. That is to say, we can regard the quantity of pri- vate equity fund as one of the factors that are used to forecast the stock market.