量化投资基金和股票市场稳定性

Quantitative Investment Funds and Stock Market Stability

基于2003第4季度至2021年第4季度量化投资基金持股数据,分别从市场和个股层面出发,采用TGARCH(1,1)模型和固定效应回归模型检验量化投资基金对市场指数波动和个股收益的影响。研究结果表明,在市场整体层面,量化基金持股的相对规模可以显著减轻沪深A股指数收益率的波动。在微观个股层面,利用面临赎回压力的量化投资基金抛售个股的行为,构建遭抛售个股的压力指数和基金趋同性交易变量,结果发现量化投资基金的个股抛售并没有造成股票收益率的显著波动和股价下跌,但是多个量化投资基金的趋同性抛售信号对于股票收益则有显著的负面影响。因此,有关部门应重视量化投资基金规模增加对市场稳定的积极作用,也要约束趋同性交易行为可能产生的不利影响。

This study investigates the impact of quantitative investment funds on market index volatility and individual stock returns at both the market and individual stock levels,respectively,using the TGARCH(1,1)and fixed-effect regression models based on the data of quantitative investment fund holdings from the fourth quarter of 2003 to the fourth quarter of 2021.The study found that the relative size of quantitative fund holdings can significantly mitigate the volatility of returns on Shanghai and Shenzhen A-share indices at the overall market level.At the macro individual stock level,this study constructs a selling pressure index for individual stocks and a convergence trading variable for funds based on individual stock sell-offs by quantitative investment funds in the face of redemption pressure.The results revealed that individual stock sell-offs by quantitative investment funds neither cause significant volatility in stock returns nor a significant decline in stock prices;however,convergence selling signals from multiple quantitative investment funds had a significant negative impact on stock returns.Therefore,the relevant departments should not only give attention to the positive effect of the increased size of quantitative investment funds on market stability but also constrain the possible adverse effects of convergence trading.