CAJ | 학술논문

本文主要研究经济政策不确定性是否会对A股市场投资基金的资产配置策略产生影响,使用斯坦福大学和芝加哥大学联合披露的中国经济政策不确定指数衡量我国政府经济政策的不确定性,发现A股市场投资基金在经济政策不确定性上升时会降低持股比例并增持现金等流动性资产。有别于国外已有研究,本文还着重分析了投资基金在面临经济政策不确定性时的资产配置动机,通过比较经济政策不确定性对不同类型基金现金持有比例的影响以及对基金未来资金流的预测能力,发现预防性动机和市场择时动机能够共同解释A股市场投资基金在面临经济政策不确定性时的资产配置策略。本文不仅从研究内容上对目前有关经济政策不确定性引发的经济后果的研究进行了补充,而且也为学术界和实务界深入理解A股市场的＂政策市＂特征提供了一个全新的思路。
본문주요연구경제정책불학정성시부회대A고시장투자기금적자산배치책략산생영향,사용사탄복대학화지가가대학연합피로적중국경제정책불학정지수형량아국정부경제정책적불학정성,발현A고시장투자기금재경제정책불학정성상승시회강저지고비례병증지현금등류동성자산。유별우국외이유연구,본문환착중분석료투자기금재면림경제정책불학정성시적자산배치동궤,통과비교경제정책불학정성대불동류형기금현금지유비례적영향이급대기금미래자금류적예측능력,발현예방성동궤화시장택시동궤능구공동해석A고시장투자기금재면림경제정책불학정성시적자산배치책략。본문불부종연구내용상대목전유관경제정책불학정성인발적경제후과적연구진행료보충,이차야위학술계화실무계심입리해A고시장적＂정책시＂특정제공료일개전신적사로。
This thesis focuses on the impact of economic policy uncertainty on the mutual funds＇ asset allocation strategies in A-share stock market. By measuring economic policy uncertainty with China Economic policy Uncertainty Index which is jointly published by Stanford University and Chicago University, this thesis finds that mutual funds in A-share stock market intend to cut down the proportion of shareholding and raise the proportion of cash holding with economic policy uncertainty increasing. Distinct from existing research, this thesis also analyzes the motivations of mutual funds＇ asset allocation facing economic policy uncertainty by comparing the impacts of economic policy uncertainty on different types of mutual funds＇ cash holding decisions and future fund flows to prove that both precautionary motive and market timing motive can explain the impact of economic policy uncertainty on asset allocation strategies of mutual funds in A-share stock market. This thesis not only supplements the existing research on the economic consequences of economic policy uncertainty, but also provides a brand-new thought for both academician and practitioner to deeply understand the ＂policy market＂ characteristics of A-share stock market.