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文章摘要

郭国峰,郑召锋.阳光私募择时能力的实证检验[J].数量经济技术经济研究,2013,30(6):106-118

阳光私募择时能力的实证检验

An Empirical Test on the Market Timing Ability of Private Equity Fund

DOI：

英文关键词: Private Equity Fund Forecasting of Stock Market Market Timing Ability

基金项目:

作者	单位
郭国峰	郑州大学商学院
郑召锋	中原证券股份有限公司

中文摘要:

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80%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。

英文摘要:

Using the mathematical model, this paper carries out an empirical analysis 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. And when the fluctuation of the private equity 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 private equity fund as one of the factors that are used to forecast the stock market.

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