基金投资交易的股价效应研究

发布时间：2018-07-12 14:13

本文选题：基金投资交易 + 股价效应　；参考：《财贸经济》2010年02期

【摘要】：基金投资交易活动会对股价产生什么样的影响是关系到我国证券投资基金能否起到稳定市场作用的前提性问题。本文运用协方差分解估计方法弥补公开数据不足的缺陷,对基金投资交易与其所投资股票价格变动关系进行实证研究发现:我国基金投资交易与同期股价变动显著相关;基金交易在过程中对股价形成了流动性压力;基金管理人较其他投资者具有一定信息优势,股价变动包含了基金信息交易因素。研究未发现基金系统地进行正反馈交易的证据。
[Abstract]:The influence of fund investment and trading on stock price is a prerequisite question whether the securities investment fund in China can stabilize the market. In this paper, the covariance decomposition method is used to compensate for the shortage of public data, and the empirical study on the relationship between fund investment trading and the stock price changes in the same period is carried out. It is found that there is a significant correlation between fund investment trading and stock price changes in the same period in China; Fund trading forms liquidity pressure on stock price in the process, fund manager has certain information advantage over other investors, and stock price change includes fund information trading factor. The study found no evidence that funds systematically engage in positive feedback transactions.
【作者单位】：西南财经大学金融学院;西南财经大学中国金融研究中心;
【基金】：教育部人文社科重点研究基地重大项目(2006JDXM198) 西南财经大学“211工程”三期建设项目资助
【分类号】：F830.91;F224

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