基于马氏链的开放式基金业绩持续性分析及预测OA
Analysis and Forecast of Performance Persistence for Open-end Funds Based on Markov Process
选取2005年之前上市的可收集到数据的96只开放式基金为样本,在采用二联表法、Z检验和交叉积比率方法对其短期持续性进行分析的基础上,运用马尔科夫过程,分别对96只基金连续3个交易日和长期稳定情况下的基金收益率进行预测及评价.结果表明,96只基金在整体上存在一个月的业绩持续性；在短期内业绩差的基金具有显著的业绩持续性,业绩好的基金几乎不存在业绩持续性.
96 open-end funds listed before 2005 were chosen as sample. Short-term funds performance persistence for open-end funds was analyzed by using two league table method, Z-test and cross-product ratio. And the funds' return was predicted and evaluated by Markov process in the state of 3 consecutive trading days and long-term stability seperately. Results show that there is one-month performance persistence. In short-term, funds with poor performance showe…查看全部>>
张晓磊;孙显录;杨德平
青岛大学经济学院,山东青岛266071青岛职业技术学院,山东青岛266555青岛大学经济学院,山东青岛266071
管理科学
开放式基金业绩持续性二联表Z检验马尔科夫链
open-end funds funds performance persistences two league table method Z-test Markov process
《青岛大学学报（自然科学版）》 2012 (2)
101-105,5
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