Classification criteria of fund indexes.

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.

跨市场资产配置乃是投资策略的核心组成部分。就此而言，股票与债券是构成多资产配置框架的两大核心资产。在公募基金（publicly offered funds）范畴内，中国的公募基金对应美国的共同基金，二者在法律形式与销售渠道等方面存在名称与细节差异。股债混合型基金（stock-bond hybrid fund）通过在股票与债券市场间调配资金，在为投资者获取收益的同时有效降低投资风险。本研究基于2006至2022年中国金融市场数据，发现股票与债券市场间存在跨资产动量效应（cross-asset momentum）。研究结果显示，股票市场的动量效应会对债券市场收益产生负向影响，而债券市场的动量效应则会正向作用于股票市场收益。利用跨资产动量效应构建的投资组合，其超额收益无法由其他资产定价因子（asset pricing factors）所解释。进一步分析表明，混合型基金在跨资产动量效应的传导机制中扮演了中介角色。研究发现，基金的资产配置比例灵活性越强，其发挥的中介作用就越关键。因此，鼓励混合型基金发展并放宽资产配置比例限制，有助于提升市场流动性与定价效率。上述研究结论对于旨在优化跨市场资产配置的投资者，以及旨在提升中国金融市场效率的政策制定者均具有重要参考价值。