证券投资基金与A股市场波动性关系研究——基于分位数回归的经验证据被引量：7

Mutual Fund and Volatility of the A-Stock Market——On Evidence of Quantile Regression

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摘要文章以证券投资基金作为机构投资者代表,以2004—2012年沪深A股市场数据作为研究对象,采用分位数分析的方法对我国证券投资基金与A股市场波动性的关系进行实证研究,得出结论:基金投资者整体来讲没有起到稳定资本市场的作用,反而加大的资本市场波动,尤其是在大盘收益为负时更为明显;而在股票特质性波动高分位数处且大盘收益为正时,基金投资者起到了稳定股市的作用。 We look for the relationship of institution investors and volatility of stock market taking Mutual Fund as exam- ples ,using Quantile regression. The data is from 2004 to 2010. We find conclusions that Mutual Fund does not play role of sta- bilizing stock market but fluctuating it especially when profit of the market is negative. However, Mutual Fund does take the role of stability when market profit is positive and quantile of the market volatility is high.

作者毕玉国亓彬

机构地区山东大学

出处《中国经济问题》 CSSCI 北大核心 2013年第5期70-77,共8页 China Economic Studies

关键词动态面板证券投资基金虚拟变量分位数回归 mutual fund dynamic panel data dummy variable guantile regression

分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]

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