开放式基金与股市波动的多元回归模型

发布时间：2018-05-14 22:22

本文选题：开放式基金 + 股市波动性　；参考：《西安建筑科技大学》2013年硕士论文

【摘要】：随着全球金融市场的发展，开放式基金已经在金融市场中占据了不可替代的主导地位。在我国，，基金业更是属于“朝阳产业”，它有着巨大的发展空间，是二级市场的主力军，它能够有效地引导市场投资方向，对其他投资者起着很重要的示范效应。但是近年来伴随着中国金融体制的改革和资本市场的不断深化，开放式基金出现了诸多问题，加剧了中国股票市场的波动性。因此，怎样才能降低风险，使得投资利益最大化是投资者们最为关心的问题。这就使得分析开放式基金对股市波动性的影响变得尤为重要。本文首先概述了开放式基金产生的背景、开放式基金的定义、开放式基金的发展现状、近年来开放式基金在国内外的一些研究成果以及开放式基金对股票市场所产生的影响等；其次介绍了本文所采用的多元回归模型以及在多元回归模型建立时消除多重共线性问题的多元逐步回归法；最后，本文在以往的单方面因素的基础上将对股票市场产生影响的各个因素结合起来，选取了2004年到2011年期间的上证综指和深证成指为样本数据，应用EViews5.0软件对样本数据进行了多元逐步回归分析，分别得到了影响上海股票市场和深圳股票市场波动性因素的多元回归模型。通过建立模型和实证分析，本文得到对股票市场产生影响的各个因素的显著性为：开放式基金的羊群行为、入市资金流量变化率以及净赎回率都对股票市场的波动性的正向影响最为显著，开放式基金的滞后一期季度波动率对股票市场的影响较为明显，而开放式基金的持股集中度对股票市场的影响是最为不显著的。
[Abstract]:With the development of the global financial market, open-end funds have occupied an irreplaceable dominant position in the financial market. In China, the fund industry belongs to the "sunrise industry", it has a huge space for development, it is the main force of the secondary market, it can effectively guide the direction of market investment, and it plays an important demonstration effect on other investors. However, with the reform of China's financial system and the deepening of the capital market in recent years, there are many problems in open-end funds, which aggravate the volatility of China's stock market. Therefore, how to reduce risk and maximize investment benefits is the most important issue for investors. This makes it particularly important to analyze the impact of open-end funds on stock market volatility. This paper first summarizes the background of the emergence of open-end funds, the definition of open-end funds, the development status of open-end funds, some research results of open-end funds at home and abroad in recent years, and the impact of open-end funds on the stock market. Secondly, the multivariate regression model used in this paper and the multivariate stepwise regression method to eliminate the multiplex collinearity problem in the establishment of the multivariate regression model are introduced. Based on the previous unilateral factors, this paper combines the factors that affect the stock market and selects the Shanghai Composite Index and Shenzhen Composite Index from 2004 to 2011 as sample data. The multivariate regression model of the volatility factors of Shanghai stock market and Shenzhen stock market is obtained by using EViews5.0 software to carry out multivariate stepwise regression analysis of the sample data. Through the establishment of model and empirical analysis, this paper obtains that the factors that affect the stock market are as follows: the herd behavior of open-end funds. Both the change rate of capital flow and the net redemption rate have the most significant positive impact on the volatility of stock market. The impact of open-end fund ownership concentration on the stock market is the least significant.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F224

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