震荡市场、基金持股与证券市场稳定

Volatile Market,Fund Holding and Security Market Stability

利用基金重仓股季度持股和日持仓变动数据,从超额收益率、股价波动率和正反馈交易三个模型出发,对中国股指期货上市以来震荡市场下基金持股与市场稳定的关系进行分析,结果表明基金季度持股的高低并不能反映其在震荡市场下采取何种交易策略。进一步研究发现,基金在不同的市场环境中对市场的稳定作用不同,大跌时降低了市场当日的震荡,大涨时却加剧了股市的波动;平均而言,基金在整体上采取了正反馈交易策略。综合起来分析,基金并未起到稳定市场的作用。因此,不能简单地以基金对波动率的影响来衡量其与市场的稳定关系,需结合股价波浪运动的波动率和趋势影响两个维度进行新的解释。

By using the data of quarterly holding of bulk-holding stocks and daily changes of fund holdings, this paper conducts an analysis of the relationship between fund holding and market stability in volatile markets since the listing of Stock Index Futures of China with the three models of excess return, stock price volatility and positive feedback trading. The result shows that the level of quarterly fund holding cannot reflect the trading strategy taken in the volatile markets. Further study finds that funds can play different stabilizing roles in different markets, reducing the market shock of the day when decreasing sharply and intensifying the market fluctuation when increasing sharply. On average, the positive feedback strategy is adopted for funds on the whole. Generally speaking, funds cannot play a role in stabilizing market. Therefore, the impact of fund on price volatility cannot be simply used to measure the stable relationship between it and the market; a new interpretation should be made from the two dimensions of the volatility and trend influence of the wave motion of stock prices.