本文關(guān)鍵詞： 指數(shù)型基金 抗風(fēng)險(xiǎn)能力 LPPL模型 泡沫測(cè)度 泡沫破滅 金融市場(chǎng) 金融衍生產(chǎn)品 金融風(fēng)險(xiǎn) 股市泡沫 金融工程 風(fēng)險(xiǎn)管理　出處：《審計(jì)與經(jīng)濟(jì)研究》2017年05期 　論文類型：期刊論文

【摘要】：立足泡沫分析視角,研究了金融產(chǎn)品的抗風(fēng)險(xiǎn)能力,選擇了能代表某類金融市場(chǎng)的指數(shù)型基金,引入了金融物理學(xué)中的LPPL模型,進(jìn)而分別從理論和實(shí)證兩方面對(duì)指數(shù)型基金的抗風(fēng)險(xiǎn)能力進(jìn)行了分析,對(duì)金融產(chǎn)品抗風(fēng)險(xiǎn)能力以及金融市場(chǎng)泡沫的相關(guān)性與內(nèi)涵性進(jìn)行了解釋。研究結(jié)論表明:我國金融市場(chǎng)的抗風(fēng)險(xiǎn)能力相對(duì)較弱,無論是市場(chǎng)指數(shù)還是指數(shù)基金均存在新一輪泡沫破滅的可能;相比市場(chǎng)指數(shù),指數(shù)型基金呈現(xiàn)更加多樣的泡沫形式,其抗風(fēng)險(xiǎn)能力相對(duì)較強(qiáng);從泡沫破滅緩沖期對(duì)比來看,我國指數(shù)型基金抗風(fēng)險(xiǎn)能力優(yōu)于市場(chǎng)指數(shù)。
[Abstract]:Based on the bubble analysis, this paper studies the ability of financial products to resist risks, selects the index fund which can represent a certain kind of financial market, and introduces the LPPL model in financial physics. Furthermore, the paper analyzes the risk resistance of index funds from both theoretical and empirical aspects. This paper explains the ability of financial products to resist risks and the relevance and connotation of financial market bubbles. The research results show that the ability of financial markets to resist risks is relatively weak. Whether it is market index or index fund, there is a possibility of a new round of bubble burst. Compared with market index, index fund presents more diversified bubble forms, and its ability to resist risk is relatively strong. Our country index fund anti-risk ability is superior to the market index.
【作者單位】： 云南財(cái)經(jīng)大學(xué)金融學(xué)院;云南財(cái)經(jīng)大學(xué)國際工商學(xué)院;
【基金】：國家自然科學(xué)基金(71301141,71561026) 云南省科技廳科學(xué)計(jì)劃項(xiàng)目(2013FD029) 云南省哲學(xué)社會(huì)科學(xué)規(guī)劃項(xiàng)目(YB2015087) 云南省教育廳科學(xué)研究基金重點(diǎn)項(xiàng)目(2014Z100)
【分類號(hào)】：F832.51
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本文編號(hào)：1521234