基金家族的竞争对股票市场流动性与波动性的影响

Fund Families Competition Affecting Stock Market Liquidity and Volatility

本文以54只基金重仓股和193只开放式基金为研究对象,构造基金家族的竞争特征变量因子,运用截面时间序列回归法实证检验了基金家族的竞争对股票市场流动性与波动性所产生的影响。结果表明,在绝对差别与标准差别两种情况下,基金规模、投资者的风险容忍度不能充分解释股票市场的流动性,与股票市场波动性的关系不显著;基金所在家族的基金数量、投资者需求、基金获得的信息、基金经理的风险容忍度与股票市场流动性关系显著。从总体上来看,基金的特征变量在某种程度上推动股票市场"共同运动",股票市场的流动性与波动性对基金的特征变量因子的反应不具有明显的持续性。

Taking 54 stocks which funds heavily invest and 193 open funds as the research object, constructing fund family＇ s competition characteristic variable factors, and then using cross- section data regression method, the authors study how fund families＇ competition affects the stock market liquidity and it＇ s volatility. Results show that in two situations both absolute and standard difference, the size of fund, risk tolerance of investor cannot explain stock liquidity market well, and the relation with stock market volatility is not striking. Numbers of funds, demand of investor, information of fund and risk tolerance of fund manager show a statistical significance. As a whole, the authors find that characteristics of the fund variable factors drive stock market to move in the same way. However, there is no lasting effect in the reaction of such variables to the common fund- based factor.