摘要
社保投资管理人在投资国内股票市场时,总体上采用了惯性交易策略,且"追涨"的程度高于"杀跌"的程度,其惯性交易策略及反转交易策略的强度随市场走势的变化而出现波动。通过对社保组合及其管理人旗下封闭式基金的比较研究,发现社保组合的惯性交易程度值总体上大于封闭式基金。
The social security fund generally adopts the momentum strategy,and the degree of 'buying the winner' is higher than that of 'selling the loser'.The strength of momentum strategy differentiates with the change of market situation.By comparing the social security fund's trading strategies with the close-ended funds under its investment managers,we find that social security fund trading strategy takes the forms of momentum strategy for the most time,and the mother fund generally appears stronger momentum than its subsidiary fund.
出处
《中南财经政法大学学报》
CSSCI
北大核心
2009年第1期83-88,共6页
Journal of Zhongnan University of Economics and Law
基金
国家社会科学基金重大研究课题“深化财税、金融、外贸和投资体制综合改革”(06&ZD030)
天津市哲学社会科学研究规划(2007)项目“天津产权市场的建设和管理问题研究”(TJYY07-2084)
