發(fā)布時(shí)間：2018-03-25 15:20

  本文選題：對(duì)沖基金　切入點(diǎn)：標(biāo)普指數(shù)　出處：《山西財(cái)經(jīng)大學(xué)學(xué)報(bào)》2014年05期

【摘要】：從學(xué)術(shù)界長(zhǎng)期以來(lái)對(duì)對(duì)沖基金的研究中可以發(fā)現(xiàn),對(duì)沖基金與股票市場(chǎng)的相關(guān)性最大,對(duì)沖基金的收益、風(fēng)險(xiǎn)與監(jiān)管三大因素對(duì)股市有較大的作用。利用最小二乘法、極大似然估計(jì)法與廣義矩估計(jì)法分別建模,研究了三大因素對(duì)美國(guó)股市的影響,結(jié)果發(fā)現(xiàn),三大因素與美國(guó)股市收益均呈現(xiàn)負(fù)相關(guān)性。同時(shí),這些研究對(duì)我國(guó)當(dāng)前股市的發(fā)展具有一定的借鑒意義。
[Abstract]:From the academic research on hedge funds for a long time, we can find that hedge funds have the greatest correlation with the stock market, and the three major factors of hedge fund income, risk and regulation have a great effect on the stock market. The maximum likelihood estimation method and the generalized moment estimation method are modeled, and the influence of the three factors on the American stock market is studied. The results show that the three major factors have a negative correlation with the stock market returns in the United States. These studies have certain reference significance to the development of our country's current stock market.
【作者單位】： 中國(guó)社會(huì)科學(xué)院數(shù)量經(jīng)濟(jì)與技術(shù)經(jīng)濟(jì)研究所;
【分類號(hào)】：F837.12;F224

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1 黃e，

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