基金持股比例与A股市场收益波动率的实证分析被引量：81

An Empirical Analysis of Mutual Fund Investment and Stock Volatility

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摘要中国的基金自上个世纪末开始发展,近几年发展迅速。基金是否起到了稳定中国证券市场的作用?本文从基金对股票的持股比例与股票收益波动率之间的关系这一角度来分析基金的参与是否减小了我国股市的波动性。本文采用动态面板数据模型对1999年到2004年中国A股市场进行了分析,发现基金偏好收益波动大的股票,而另一方面随着基金提高其持股比例,其对应的股票收益的波动率减小,从而起到了一定的稳定股市的作用。 This paper applies dynamic panel data models to the stocks listed on Shanghai Stock Exchange and Shenzhen Stock Exchange from 1999 to 2004. We find that institutional investor prefer to the stocks with higher volatility, and on the other side, the increase in institutional holdings results in a decrease in subsequent volatility. Therefore, these institutional investments play a stable role in stock market.

作者胡大春金赛男

机构地区深圳尺度市场策略顾问有限公司北京大学光华管理学院

出处《金融研究》 CSSCI 北大核心 2007年第04A期129-142,共14页 Journal of Financial Research

基金本文得到国家自然科学基金(70601001)的资助

关键词机构投资者基金股票收益波动率动态面板数据模型 institutional investor, mutual fund, volatility, dynamic panel data model

分类号 F832.5 [经济管理—金融学] F224 [经济管理—国民经济]

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