我国开放式基金市场波动溢出效应研究

发布时间：2018-05-09 00:38

本文选题：开放式基金市场 + 波动溢出效应　；参考：《广东商学院》2012年硕士论文

【摘要】：随着我国经济的高速发展，我国金融市场在经济发展中扮演的角色越来越重要，金融市场的波动风险会影响到国家经济发展环境的稳定。基金市场作为我国金融市场的主要构成部分之一，其建立的时间不长但一直发展很迅速，特别是开放式基金的出现和其规模的迅速扩大导致了我国基金业的在金融市场中的地位的不断上升。基金市场尤其是开放式基金市场的蓬勃发展与我国的经济形势关系密切，，作为资本市场的主要投资者，开放式基金的发展与投资越发影响我国金融市场和整体经济的稳定。因此，研究我国开放式基金市场的波动溢出效应，有着重要的理论和现实意义。本文研究了我国开放式基金市场对国内其他相关金融市场的波动溢出效应，主要包括两个方面即波动溢出效应的形成机理和波动溢出的路径。在研究过程中，本文先介绍了国内外学者的研究成果和结论，然后对我国的开放式基金市场的概况以及波动溢出效应的界定进行了介绍，最后在借鉴前人的研究成果基础上分析了开放式基金市场的波动溢出效应的形成机理并根据波动溢出机理对开放式基金市场波动溢出效应进行了实证分析。通过研究表明：波动溢出效应的形成机理主要是在庞大的金融系统中开放式基金市场波动存在资产负债表效应、财富效应、羊群效应、投资效应和国际资本流动效应；根据实证分析结果可知，构成我国开放式基金市场的股票型、债券型基金市场分别对我国股票市场和债券市场产生波动溢出效应，货币型开放式基金市场对货币市场不存在波动溢出效应，同时股票型、债券型、混合型和货币型开放式基金市场又对我国股票市场产生协同波动溢出效应，开放式基金市场对其他金融市场的波动溢出效应的存在主要在于开放式基金规模的大小以及对相关金融市场的参与程度。
[Abstract]:With the rapid development of our economy, the financial market plays an increasingly important role in the economic development. The fluctuation risk of the financial market will affect the stability of the national economic development environment. As one of the main components of China's financial market, the fund market has not been established for a long time but has been developing rapidly. In particular, the emergence of open-end funds and the rapid expansion of their size have led to the rising status of the fund industry in the financial market. The vigorous development of the fund market, especially the open-end fund market, is closely related to the economic situation of our country. As the main investor of the capital market, the development and investment of the open-end fund increasingly affect the stability of the financial market and the overall economy of our country. Therefore, it is of great theoretical and practical significance to study the volatility spillover effect of open-end fund market in China. This paper studies the volatility spillover effects of open-end fund market on other related financial markets in China, including the formation mechanism of volatility spillover effect and the path of volatility spillover. In the course of the research, this paper first introduces the research results and conclusions of domestic and foreign scholars, then introduces the general situation of open-end fund market and the definition of volatility spillover effect in China. Finally, based on the previous research results, this paper analyzes the formation mechanism of volatility spillover effect in open-end fund market and empirically analyzes the volatility spillover effect of open-end fund market according to the volatility spillover mechanism. The research shows that the formation mechanism of volatility spillover effect is the balance sheet effect, wealth effect, herd effect, investment effect and international capital flow effect in the large financial system. According to the results of empirical analysis, the stock market of China's open-end fund market and the bond fund market have volatility spillover effects on China's stock market and bond market, respectively. There is no volatility spillover effect on the money market in the money open-end fund market. At the same time, the stock market, bond type, mixed type and currency type open-end fund market have synergistic volatility spillover effect on the stock market of our country. The volatility spillover effect of open-end fund market on other financial markets mainly lies in the size of open-end funds and their participation in related financial markets.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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