基金持有人结构、基金投资行为与股票的波动性效应研究

Research on the Stock Volatility Effect and Investor Structure,Fund Manager′s Behavior

不同的证券投资基金在发挥稳定市场这一功能上存在差异。使用2008—2016年A股上市公司数据,从基金持有人结构出发,分析基金持有人对基金经理投资行为的影响路径,探求基金投资行为"异质性"背后的持有人结构因素,并采用固定效应模型进行实证研究。结果表明:持有人结构对基金发挥稳定市场这一功能有显著影响,机构持有基金可降低股票波动性,个人持有基金会增加股票波动,随着机构持有人比例的增加,证券投资基金对市场的稳定作用会逐步显现。适当增加保险、企业年金和社保基金等长期持有人在基金中的持有比例,对基金行业和股票市场的健康发展至关重要。

Different securities investment funds play a different role in stabilizing the market.Based on the data of A-share market from 2008 to 2016,this paper analyzes the impact of fund holders on the fund manager′s behavior and explores the investor structural factors behind the " heterogeneity" of fund manager′s behavior.This paper uses fixed effect model to carry on the empirical research.The results show that institutional-holding funds can reduce market volatility.Adversely,individual-holding funds increase market volatility.With the increasing proportion of institutional holders,the stability of the fund on the market will gradually appear.Increasing long-term investors such as insurance,corporate annuities and social security funds appropriately is important for the healthy development of stock market and fund industry.