中国基金的股票投资偏好演变及其市场影响

发布时间：2018-01-04 01:16

本文关键词：中国基金的股票投资偏好演变及其市场影响　出处：《山西财经大学学报》2010年04期 　论文类型：期刊论文

【摘要】：利用我国证券投资基金1998～2008年41个季度的股票持仓数据,实证分析了我国基金持股偏好的演变路径及偏好变化对股票市场的结构影响。研究发现:我国基金的持股偏好在样本期内存在清晰的演变路径,且在2003年中期前后发生了显著变化,基金由前期偏好流通比率低、beta值高的个股转向后期偏好流通比率高、beta值低的个股,同时基金对高价格、大市值、低换手率个股的偏好在样本后期得到了显著加强;基金在样本期内持股偏好的转变对市场中大、小公司组合在估值和交易等方面的差异造成了一定影响。结论认为,我国股票基金持股偏好的演进趋势符合基金投资的审慎原则,对我国股市的平稳运行逐渐发挥出积极作用。
[Abstract]:The use of China's securities investment fund stock positions data from 1998 to the 41 quarter of 2008, an empirical analysis of the influence of the structure on the stock market evolution path and preference of Chinese fund stock preference changes. The study found that: the stock holding preferences of Chinese funds in the sample period there is a clear evolutionary path, and in the middle of 2003 before and after the event a significant change from the previous fund preference circulation rate is low, the beta value of stocks with high preference to the latter period of circulation rate is high, the beta value of low stocks, while the funds to the high prices, large capitalization, low turnover rate of stock preference in the sample after period has been significantly strengthened; changes in the sample period stock fund preferences for market, small differences in terms of company valuation and other trading caused some impact. The conclusion is that the principle of prudence evolution trend of China's stock fund stock preference with investment funds, to our country The steady operation of the stock market has been playing a positive role.

【作者单位】：厦门大学经济学院;
【基金】：教育部人文社会科学规划基金项目“证券投资基金运行与资本市场稳定研究”(07JA790032)
【分类号】：F832.51
【正文快照】： 一、前言关于基金能否起到稳定股市作用的争论一直伴随着我国证券投资基金业的成长,至今仍没有定论。既有学者研究认为我国基金能够发挥稳定股市的功能(步国旬等,2005;胡大春、金赛男,2007),但也有研究发现我国基金非但不能稳定股市,反而助长了股市波动(班耀波、齐春宇,2003;

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