我国股票市场是否存在资产被迫拍卖——基于开放式股票型基金的研究

Is There Asset Fire Sells in China's Stock Market?——On the Basis of Open-end Equity Funds

对于资产被迫拍卖行为的研究具有重要意义,因为它为我们提供了一个新的视角探讨流动性约束对股票价格变动的影响。本文基于Coval和Stafford(2007)的研究方法对我国股票市场中资产被迫拍卖行为的存在性进行了研究,结果表明在我国股票市场中存在着资产被迫拍卖行为,但其具体表现特征与Coval和Stafford(2007)的研究结论存在着一定的差异,而导致该差异出现的原因与我国开放式基金市场中存在着赎回困惑现象有关。

There has great significance of the research of asset fire sale behavior,because it provides a new perspective in exploring liquidity constraints on the variability of stock prices.This paper studies the existence of asset fire sale in China＇s stock market based on Coval Stafford（2007）＇s research method.The result shows that there exists asset fire sale in China＇s stock market.However,the performance characteristics are different from those of Coval Stafford（2007）.This difference results from the redemption puzzle phenomenon in China＇s open-end funds market.