国际分散化投资与本土偏好行为——基于QDII对外投资基金的实证分析

摘要

Based on the weekly market indexes of 29 stock markets in 2009 and the historical return data of 8 Chinese QDII funds in the same period, this paper explores the home bias of Chinese QDII funds in their foreign investments by comparison of the locus of QDII funds＇ returns, standard deviations and the international efficient portfolios. The resuhs indicate that there did exit home bias in Chinese QDII investment behavior, which weakened the benefit of international investment diversification and performance of QDII fund. The reasons for home bias might include capital account control, high transaction cost and asymmetric information. Therefore, further deregulation of capital account, reduction of transaction cost and information cost will be helpful for Chinese QDII investors to fully realize the benefits of international portfolio diversification.%本文运用2009年中国8家QDII基金境外组合的周收益历史数据，与基于全球29个股市指数的收益数据构建的国际投资分散化有效前沿进行比较，探讨QDII基金在境外投资过程中是否存在“本土偏好”。研究发现我国QDII基金与国际投资分散化有效边界都存在着不同程度的偏差，反映出较显著的本土偏好的投资行为。本土偏好减弱了国际分散化效果，降低了QDII基金的绩效。资本管制、交易成本和信息不对称是造成本土偏好的主要原因，因此放松资本管制，降低交易成本，降低信息获取成本，加快资本市场开放和合作能够使投资者更好地享受国际分散化投资带来的利益。