摘要
本文以2003-2008年间所有证券投资基金的季度十大重仓持股数据为研究对象,结合市场交易、实体经济和行业三个层面的影响因素,对在市场波动周期下基金交易行为与股价稳定之间的关系进行研究。研究结果表明:证券投资基金在不同的行情下其交易行为不同,在市场下跌尤其是大幅下跌时更能发挥稳定股价的作用,而在市场上涨时期,基金交易行为则可能加剧股价波动。
This paper studies the relationship between trading behaviors of securities investment funds and stock price stabilization under specific market cycle. By examining the quarterly data of top 10 stocks held by all securities investment funds from 2003 to 2008 and by taking factors such as market trading, the real economy and industries into consideration, this paper reveals that securities investment funds behave differently under different market cycle. In a bearish market, especially during the period when stock price declines sharply, securities investment funds can be a market stabilizer. In a bullish market, however, the funds' behavior can make the market even more volatile.
出处
《南方金融》
北大核心
2010年第5期46-51,共6页
South China Finance
基金
国家社会科学基金项目<机构投资者对中国股市波动的作用与机制研究>(项目编号:07CJL01)
暨南大学人文社科引进人才项目<指令驱动市场中信息非对称程度和隐性交易成本的估计理论及经验研究>(项目编号:2009JSYJ002)的阶段性研究成果
关键词
机构投资者
波动率
异常收益
买卖力度
市场周期
Institutional Investors
Volatility
Abnormal Return
Transaction Intensity
Market Cycle