本文選題：開放式基金市場 + 波動溢出效應　； 參考：《廣東商學院》2012年碩士論文

【摘要】：隨著我國經(jīng)濟的高速發(fā)展，我國金融市場在經(jīng)濟發(fā)展中扮演的角色越來越重要，金融市場的波動風險會影響到國家經(jīng)濟發(fā)展環(huán)境的穩(wěn)定�；鹗袌鲎鳛槲覈鹑谑袌龅闹饕獦�(gòu)成部分之一，其建立的時間不長但一直發(fā)展很迅速，特別是開放式基金的出現(xiàn)和其規(guī)模的迅速擴大導致了我國基金業(yè)的在金融市場中的地位的不斷上升�；鹗袌鲇绕涫情_放式基金市場的蓬勃發(fā)展與我國的經(jīng)濟形勢關(guān)系密切，，作為資本市場的主要投資者，開放式基金的發(fā)展與投資越發(fā)影響我國金融市場和整體經(jīng)濟的穩(wěn)定。因此，研究我國開放式基金市場的波動溢出效應，有著重要的理論和現(xiàn)實意義。 本文研究了我國開放式基金市場對國內(nèi)其他相關(guān)金融市場的波動溢出效應，主要包括兩個方面即波動溢出效應的形成機理和波動溢出的路徑。在研究過程中，本文先介紹了國內(nèi)外學者的研究成果和結(jié)論，然后對我國的開放式基金市場的概況以及波動溢出效應的界定進行了介紹，最后在借鑒前人的研究成果基礎(chǔ)上分析了開放式基金市場的波動溢出效應的形成機理并根據(jù)波動溢出機理對開放式基金市場波動溢出效應進行了實證分析。 通過研究表明：波動溢出效應的形成機理主要是在龐大的金融系統(tǒng)中開放式基金市場波動存在資產(chǎn)負債表效應、財富效應、羊群效應、投資效應和國際資本流動效應；根據(jù)實證分析結(jié)果可知，構(gòu)成我國開放式基金市場的股票型、債券型基金市場分別對我國股票市場和債券市場產(chǎn)生波動溢出效應，貨幣型開放式基金市場對貨幣市場不存在波動溢出效應，同時股票型、債券型、混合型和貨幣型開放式基金市場又對我國股票市場產(chǎn)生協(xié)同波動溢出效應，開放式基金市場對其他金融市場的波動溢出效應的存在主要在于開放式基金規(guī)模的大小以及對相關(guān)金融市場的參與程度。
[Abstract]:With the rapid development of our economy, the financial market plays an increasingly important role in the economic development. The fluctuation risk of the financial market will affect the stability of the national economic development environment. As one of the main components of China's financial market, the fund market has not been established for a long time but has been developing rapidly. In particular, the emergence of open-end funds and the rapid expansion of their size have led to the rising status of the fund industry in the financial market. The vigorous development of the fund market, especially the open-end fund market, is closely related to the economic situation of our country. As the main investor of the capital market, the development and investment of the open-end fund increasingly affect the stability of the financial market and the overall economy of our country. Therefore, it is of great theoretical and practical significance to study the volatility spillover effect of open-end fund market in China. This paper studies the volatility spillover effects of open-end fund market on other related financial markets in China, including the formation mechanism of volatility spillover effect and the path of volatility spillover. In the course of the research, this paper first introduces the research results and conclusions of domestic and foreign scholars, then introduces the general situation of open-end fund market and the definition of volatility spillover effect in China. Finally, based on the previous research results, this paper analyzes the formation mechanism of volatility spillover effect in open-end fund market and empirically analyzes the volatility spillover effect of open-end fund market according to the volatility spillover mechanism. The research shows that the formation mechanism of volatility spillover effect is the balance sheet effect, wealth effect, herd effect, investment effect and international capital flow effect in the large financial system. According to the results of empirical analysis, the stock market of China's open-end fund market and the bond fund market have volatility spillover effects on China's stock market and bond market, respectively. There is no volatility spillover effect on the money market in the money open-end fund market. At the same time, the stock market, bond type, mixed type and currency type open-end fund market have synergistic volatility spillover effect on the stock market of our country. The volatility spillover effect of open-end fund market on other financial markets mainly lies in the size of open-end funds and their participation in related financial markets.
【學位授予單位】：廣東商學院
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.5

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