School of Economics, Xihua University, Chengdu, Sichuan, China.
School of Economics, Xiamen University, Xiamen, Fujian, China.
PLoS One. 2024 Mar 21;19(3):e0300781. doi: 10.1371/journal.pone.0300781. eCollection 2024.
The allocation of assets across different markets is a crucial element of investment strategy. In this regard, stocks and bonds are two significant assets that form the backbone of multi-asset allocation. Among publicly offered funds (The publicly offered funds in China correspond to the mutual funds in the United States, with different names and details in terms of legal form and sales channels), the stock-bond hybrid fund gives investors a return while minimizing the risk through capital flow between the stock and bond markets. Our research on China's financial market data from 2006 to 2022 reveals a cross-asset momentum between the stock and bond markets. We find that the momentum in the stock market negatively influences the bond market's return, while the momentum in the bond market positively influences the stock market's return. Portfolios that exploit cross-asset momentum have excess returns that other asset pricing factors cannot explain. Our analysis reveals that hybrid funds play an intermediary role in the transmission mechanism of cross-asset momentum. We observe that the more flexible the asset allocation ratio of the fund, the more crucial the intermediary role played by the fund. Hence, encouraging the development of hybrid funds and relaxing restrictions on asset allocation ratios could improve liquidity and pricing efficiency. These findings have significant implications for investors seeking to optimize their asset allocation across different markets and for policymakers seeking to enhance the efficiency of China's financial market.
不同市场资产的配置是投资策略的关键要素。在这方面，股票和债券是两种重要的资产，它们构成了多元资产配置的核心。在公开募集基金（中国的公开募集基金对应于美国的共同基金，在法律形式和销售渠道方面有不同的名称和细节）中，股票债券混合基金通过股票和债券市场之间的资金流动，为投资者提供回报，同时将风险最小化。我们对 2006 年至 2022 年中国金融市场数据的研究揭示了股票和债券市场之间的跨资产动量效应。我们发现，股票市场的动量负向影响债券市场的回报，而债券市场的动量正向影响股票市场的回报。利用跨资产动量的投资组合具有其他资产定价因素无法解释的超额回报。我们的分析揭示了混合基金在跨资产动量传递机制中发挥了中介作用。我们观察到，基金的资产配置比例越灵活，基金发挥的中介作用就越关键。因此，鼓励混合基金的发展和放宽对资产配置比例的限制，可以提高流动性和定价效率。这些发现对寻求优化不同市场资产配置的投资者和寻求提高中国金融市场效率的政策制定者都具有重要意义。
