基金持股比例对我国股市波动的影响

发布时间：2018-01-21 20:20

本文关键词： 基金持股比例股价波动率羊群行为惯性反转交易行为　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：自1998年我国将基金引入证券市场以来，其发展速度和投资规模一直备受关注，随着股市在2005年到2007年的疯狂上涨，基金更是以惊人的速度不断发展壮大。政府寄希望凭借基金专业的管理和理性的投资带动股市健康稳定的发展，但是在引入基金以后，，股市波动反而愈加剧烈，2005年到2008年经历了巨大的波动，这不得不引起人们对基金可以起到稳定股市的作用产生质疑。那么基金到底在股市发展中起着什么样的作用，究竟是稳定了股市的波动，还是加剧了股市的波动？为了深入探讨这一问题，本文首先根据大盘的走势情况，将股市波动分为每日波动、长期波动和短期波动，并总结了前人对这一问题的研究，发现现有文献对后两种波动情况的研究较少，为了填补这一空缺，本文主要分析基金对股市长期波动和短期波动的影响。本文首先对波动的定义进行了界定，然后总结了现有文献对波动率衡量的方法，并提出本文的衡量方法。在此基础上，本文首先对相关变量及数据进行了描述性统计分析，然后通过Eviews6.0对数据进行回归分析。经过深入的分析得出基金在2005至2008年这一股市波动比较剧烈的时期加剧了股市的波动，而在其它三个股市波动较小的时期并没有明显起到稳定股市的作用。
[Abstract]:Since 1998, our country introduced the fund into the securities market, its development speed and investment scale has been paid much attention to, along with the stock market in 2005 to 2007 crazy rise. The government hopes to promote the healthy and stable development of the stock market by the professional management and rational investment of the fund, but after the introduction of the fund, the volatility of the stock market becomes more and more violent. During the period from 2005 to 2008, it has experienced tremendous fluctuations, which has to raise questions about the role that the fund can play in stabilizing the stock market. So what role does the fund play in the development of the stock market? Is it to stabilize the volatility of the stock market, or exacerbated the volatility of the stock market? In order to explore this problem, this paper firstly divides the stock market volatility into daily volatility, long-term volatility and short-term volatility according to the trend of the market, and summarizes the previous research on this issue. In order to fill the gap, this paper mainly analyzes the influence of funds on the long-term and short-term volatility of the stock market. Firstly, the definition of volatility is defined in this paper. Then summarized the existing literature on volatility measurement methods, and put forward the measurement method. On the basis of this, this paper first carries on the descriptive statistical analysis to the correlation variable and the data. Then through Eviews6.0 regression analysis of the data. Through in-depth analysis, the fund in 2005 to 2008, the stock market volatility in the more violent period exacerbated the volatility of the stock market. But in the other three stock markets less volatile period and did not play a significant role in stabilizing the stock market.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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