对冲基金对美国股市的影响及对中国的借鉴

发布时间：2018-03-25 15:20

本文选题：对冲基金　切入点：标普指数　出处：《山西财经大学学报》2014年05期

【摘要】：从学术界长期以来对对冲基金的研究中可以发现,对冲基金与股票市场的相关性最大,对冲基金的收益、风险与监管三大因素对股市有较大的作用。利用最小二乘法、极大似然估计法与广义矩估计法分别建模,研究了三大因素对美国股市的影响,结果发现,三大因素与美国股市收益均呈现负相关性。同时,这些研究对我国当前股市的发展具有一定的借鉴意义。
[Abstract]:From the academic research on hedge funds for a long time, we can find that hedge funds have the greatest correlation with the stock market, and the three major factors of hedge fund income, risk and regulation have a great effect on the stock market. The maximum likelihood estimation method and the generalized moment estimation method are modeled, and the influence of the three factors on the American stock market is studied. The results show that the three major factors have a negative correlation with the stock market returns in the United States. These studies have certain reference significance to the development of our country's current stock market.
【作者单位】：中国社会科学院数量经济与技术经济研究所;
【分类号】：F837.12;F224

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