發(fā)布時間：2018-07-12 14:13

  本文選題：基金投資交易 + 股價效應(yīng)　； 參考：《財貿(mào)經(jīng)濟》2010年02期

【摘要】：基金投資交易活動會對股價產(chǎn)生什么樣的影響是關(guān)系到我國證券投資基金能否起到穩(wěn)定市場作用的前提性問題。本文運用協(xié)方差分解估計方法彌補公開數(shù)據(jù)不足的缺陷,對基金投資交易與其所投資股票價格變動關(guān)系進行實證研究發(fā)現(xiàn):我國基金投資交易與同期股價變動顯著相關(guān);基金交易在過程中對股價形成了流動性壓力;基金管理人較其他投資者具有一定信息優(yōu)勢,股價變動包含了基金信息交易因素。研究未發(fā)現(xiàn)基金系統(tǒng)地進行正反饋交易的證據(jù)。
[Abstract]:The influence of fund investment and trading on stock price is a prerequisite question whether the securities investment fund in China can stabilize the market. In this paper, the covariance decomposition method is used to compensate for the shortage of public data, and the empirical study on the relationship between fund investment trading and the stock price changes in the same period is carried out. It is found that there is a significant correlation between fund investment trading and stock price changes in the same period in China; Fund trading forms liquidity pressure on stock price in the process, fund manager has certain information advantage over other investors, and stock price change includes fund information trading factor. The study found no evidence that funds systematically engage in positive feedback transactions.
【作者單位】： 西南財經(jīng)大學(xué)金融學(xué)院;西南財經(jīng)大學(xué)中國金融研究中心;
【基金】：教育部人文社科重點研究基地重大項目(2006JDXM198) 西南財經(jīng)大學(xué)“211工程”三期建設(shè)項目資助
【分類號】：F830.91;F224

【參考文獻】

相關(guān)期刊論文 前1條

1 楊德群,楊朝軍,倪e，

本文編號：2117419