Research On The Yields And Their Correlation Of "One Belt And One Road" And "Free Trade Areas" Thematic Funds

Since the "one belt and one road" initiative was proposed,China has established 12 free trade areas,including the free trade areas of Shanghai,Guangdong and Fujian.The impact of the development of free trade areas on the "one belt and one road" initiative is a new issue.The development of "one belt and one road" will play a great role in the development of the free trade areas in turn.Whether existing a coordinated development relationship between them is a matter to be further studied,which is of great significance to deepen development of the "one belt and one road".However,the biggest problem in analyzing such a problem is that there are few macro data sources and it is difficult to carry out quantitative analysis.In this paper,the thematic fund is used as the research object,through the correlation analysis of the yield of thematic funds,the relationship between "one belt and one road" and the free trade areas has a coordinated development relationship.This thesis is based on the panel data that includes a total of 10 quarters,which is from the third quarter in 2015 to the fourth quarter in 2017 of "one belt and one road" thematic funds and "free trade areas" thematic funds.Market variables,industry and fund yield analysis individual characteristic variables are added to the Fama-French three-factor model and use the fund's scale as a threshold variable in this research,which is in order to research the correlation between "one belt and one road" and "free trade areas" thematic funds.In terms of model setting,this thesis adopts Fama-French three-factor model as the theoretical basis.It is one of the arbitrage pricing models,with more relaxed assumptions and stronger explanatory ability.In terms of empirical analysis,the stability test,robustness test and threshold regression were carried out,and it is found that the fund's scale has a significant threshold effect.In addition,dynamic panel regression is taken into account because of the endogenous problems that may exist in lag terms,and differential GMM regression is carried out to analyze whether endogenous problems exist.The results show that the model is robust and strong in explanation.After the analysis above,the following conclusions are drawn: Firstly,because the historical rate of return has a significant impact on the current rate of return,the Fama-French three-factor model that is based on APT model is reasonable.Secondly,the "one belt and one road" initiative and the construction of the free trade areas are still in the initial stage,and there is a coordinated development relationship between the two.Based on this point,we should strengthen the construction of related enterprises of the "one belt and one road" initiative and the free trade areas to promote the construction of "one belt and one road" initiative.Thirdly,relevant funds should not be too large.The large scale of fund causes the decline of management level and other problems,which leads to the decline of yield.Therefore,it is in line with the market demand to broaden the financing channels for "one belt and one road" initiative and the free trade areas.