基金持仓比例对股市波动性影响的实证研究

An Empirical Study on the Volatility of ChineseStock Market affected by the Proportion of Funds holdings

随着中国证券投资基金规模的不断扩大,其投资行为对股票市场的影响也越来越明显。如果基金在大盘上涨时增加其持仓比例,则被基金买入的股价将上涨,从而推动大盘进一步上涨;如果大盘下跌时基金减少其持仓比例,则被基金卖出的股价也将下跌,从而造成大盘进一步下跌。本文选取沪、深两市A股2001年到2007年的数据,包含熊市、牛市的两个交替过程和基金规模从起步阶段进入快速扩张阶段过程,通过实证来分析两者之间的相关度及检验基金持仓比例变动对股市波动性的影响是否显著,并针对得出的结论提出相关建议。

As China＇s securities investment funds continue to expand, the impact on Chinese stock market of the investment behavior of funds has become increasingly apparent. If the funds increase the proportion of holdings, the price of the stock which has been buying will rise, so as to promote the market rising. If the funds reduce the proportion of holdings, the price of the stock which has been buying will drop, so as to promote the market falling. This paper, using the data of A shares of Shanghai and Shenzhen Market from 2001 to 2007, including the two alternating process of the bear market and the bull market, and the process of funds from initial stage to rapid expansion stage, study empirically on the correlation between the proportion of funds holdings and the volatility of Chinese stock market, and testing empirically Whether the impact is significant or not. Finally give relevant suggestions for the conclusions.