基金投资行为对股票市场稳定性影响实证研究

发布时间：2018-01-04 17:19

本文关键词：基金投资行为对股票市场稳定性影响实证研究　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：在过去的几年时间里，中国股票市场出现了一波惊心动魄、史无前例的暴涨暴跌行情：上证综指在不到一年内，从1800多点上升到最高6000多点，，然后又用一年时间，下降到1700多点。本文着力解决的问题是，在这场过山车般的股市行情中，抛开其它诸多因素的影响，曾被寄以稳定股市厚望的证券投资基金采取了什么样的投资行为？他们的投资行为对这一轮股市行情究竟起到了什么样的作用？这是当前中国证券市场迫切需要解决的、具有重大现实意义的课题。本文首先对基金及股票市场的稳定性进行描述性分析，以便增强对基金发展历程及基金与股票市场间关系的直接认识，同时了解股票市场的波动性与稳定性的概念及我国股票市场波动性的发展趋势特点。在对国内外相关研究进行了详尽分析的基础上，着重研究了我国证券市场投资基金的羊群行为及正反馈行为的程度、特点，最后以实证检验的方式，得出我国股票市场的稳定性与基金投资行为之间关系的结论。本文主要利用计量检验分析方法进行实证研究。着力突出数据的全面性与可行性，方法的客观性与准确性，结论的创新性与可靠性。研究对象以2005年第1季度至2008年第3季度期间我国证券市场上除货币市场基金外的全部基金为样本，主要得到了以下结论：对于2006年第3季度至2008年第3季度的股市暴涨暴跌行情，基金的投资行为客观上提高了股市上涨期间的上涨幅度，加大了上涨及下降期间的股指波动率，不过在一定程度上也减小了股市在后期下跌的幅度。造成这种现象的根本原因在于基金的羊群行为及正反馈行为过于显著，同时做空机制的缺乏也使得基金有明显的助涨倾向。
[Abstract]:In the past few years, there has been a wave of stock market Chinese thrilling, There was no parallel in history. skyrocketing prices plummeted: Shanghai in less than a year, up from more than 1800 points to the highest more than 6000 points, then a year, fell to more than 1700 points. This problem is solved in this field, the roller coaster like the stock market, regardless of other reasons, had to be sent to the securities investment fund to stabilize the stock market hopes to take investment behavior what? Their investment behavior in this round of the stock market will play what role? This is an urgent need to address Chinese with securities market. Subject of great significance.
Firstly, the stability of the fund and the stock market were analyzed, so as to enhance the direct understanding of fund development and the relationship between the fund and the stock market, and understand the concept of volatility and stock market stability and development of China's stock market volatility trend. The basis of the detailed analysis of the related Research on at home and abroad, focusing on the herding behavior of investment fund in China stock market and the positive feedback behavior, characteristics, finally to test the way that stability of China's stock market and fund investment behavior between the conclusion.
This paper mainly uses econometric analysis methods of empirical research. The feasibility and comprehensive efforts to highlight the objectivity and accuracy of data, method, innovation and reliability of conclusion. During the study in the first quarter of 2005 to the third quarter of 2008 the fund money market fund in the securities market of our country as samples, mainly by the conclusion: for the third quarter of 2006 to the third quarter of 2008 the stock market soaring prices plummeted, the fund's investment behavior objectively increased the stock market rose during the rise, increase the volatility of stock index during a period of rising and falling rate, but also reduce the stock market in the late decline to a certain extent. The root cause of this phenomenon is the herding behavior and positive feedback behavior is significant, while the lack of short mechanism also makes the fund significantly fueled the trend.

【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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