基金市场结构、利率与股票指数

Fund Market Structure,Interest Rate and Stock Index

采集2004-2015年的季度数据,运用结构向量自回归模型(SVAR)研究基金市场结构、市场利率与股票指数的相互关系。结果发现,偏债型基金的市场份额少,相对稳定;偏股型基金与货币市场基金的占比起伏较大,此消彼长;市场利率是股票指数与偏股型基金的格兰杰原因,后两者互为格兰杰因果关系;偏股型基金占比、当期市场利率均对股票指数水平有十分显著的正向影响,当期股指也显著正向影响到偏股型基金占比;利率提高与偏股型基金占比提高,下一季度股市下跌。我国有必要引导偏股型基金进行价值投资和长线投资,基金公司要注重偏股型基金的差异化发展,强化主题化投资,借力于互联网技术扩大销售。

To collect quarterly data from 2004 to 2015, this paper used structured vector autore- gressive model （SVAR） to research the relationship between fund market structure, market interest rates and stock index. The results show that market share of partial bond funds is less, relatively stable; The proportions of partial stocks fund and monetary market fund is volatile, and they are related; Market interest rates is the granger reason of stock index and partial stocks fund, with the latter two influencing each other closely; Current market interest rates and partial stocks fund ratio have significant positive influences on stock index level, and the current stock index has significant positive influence to the partial stocks fund proportion~ If interest rates increase and partial stocks fund proportion increases, next quarter stocks fell. It is necessary to guide the partial stocks fund for long term investment. Fund companies should pay attention to the difference of the partial stocks fund development, reinforce the theme investment, and expand sales via the Internet.