开放式基金对股票市场波动性的影响分析
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摘要
在证券市场不断发展与开放的环境下,市场潜在的风险不断暴露与深化。波动性成为衡量市场风险的一个重要指标。为了稳定证券市场,促进其健康有序的发展,就需要控制风险,将风险降低在可以接受的水平,从而降低市场波动性的振动幅度。市场投资群体的多元化成为可行方案之一。在此基础上,证券投资基金得到了大力发展,尤其是开放式基金。随着开放式基金的发展,基金的规模占市场份额的比重加速上升,开放式基金对股票市场波动性的影响程度也逐渐加深。围绕开放式基金对市场波动性的影响:是加剧市场的波动性还是稳定市场的论题成为关注的焦点。
本文研究的主题:探讨开放式基金对股票市场波动性的影响。从研究股票市场波动性的特征出发,引入开放式基金,并通过GARCH模型、EGARCH模型的对比分析,揭示出开放式基金对股票市场波动性的影响。
本文研究的内容:文章的第一部分主要论述开放式基金的相关概念、特征以及开放式基金的发展现状。第二部分介绍股票市场波动性的相关理论,其中包括波动性的衡量标准、影响因素和特征等。第三部分从行为金融学的角度,分析开放式基金的羊群行为、操纵行为及正反馈交易行为等对股票市场波动性的影响。第四部分在第三部分的基础上,首先分析了上证指数日收益率的波动特性,之后建立GARCH模型与EGARCH模型具体分析开放式基金对股票市场波动性的影响,并得出相关结论。
本文的研究目的在于:说明开放式基金对市场波动性的具体影响,是加剧还是稳定,并在此基础上,结合中国的实际,具体分析产生这种现象的原因。通过本文的分析得出,开放式基金加剧了市场的波动。在不同的市场环境下,基金对市场的稳定作用表现的非常微弱,相反更多的是表现出对市场的助涨助跌作用。从而得出结论:即开放式基金加剧了股票市场的波动性。之后对此结论分析了具体的原因以及相应的解决对策。希望通过本文的研究,为开放式基金的进一步发展及如何稳定市场提供一些研究思路。
In the environment of a high dedree of stock market development and opening up, the potential market risk was exposed and deepened. The volatility has become an important indicator of the market risk, In order to stabilize the stock market and promote its healthy and orderly development, it's need to control risk to reduce the risk of an acceptable level, thereby reducing the volatility of the market rate of vibration. Market diversification of the investment group to become one of the options. On this basis, securities investment funds have been developing vigorously, especially in open-end funds. With the development of open-end funds, the size of open-end funds account for the market share of the increase in proportion to speed up, Open-end funds impact on the volatility of the stock market gradually deepening. Around the topic of the fund impact on the volatility of the market : indensified or stabilitied has became the focus.
The theme of this paper is to explore open-end funds on the stock market volatility, From the study of the characteristics, the introduction of open-end funds, and through comparative analysis revealed that the open-end funds impact on the stock market volatility.
In this paper: the first part of the article is to focuse on the concept of open-end funds as well as the characteristics of the development of the status quo. The second part is to introduce the relevant theories of the volatility in the stock market, including the volatility of the measure, factors and features,. The third part from the perspective of the behavioral finance to analyse the herd behavior, manipulation and the positive feedback trading, how to impact on the stock market volatility. the fourth part is based on the third part to discuss, the first is to apply the empirical methods to analyse the Shanghai Composite Index yield on the characteristics of volatility, followed by the establishment of GARCH model and the EGARCH model to analyse the open-end funds impact on the volatility of the stock market specifically, at last reach the conclusions.
The purpose of study is, specifically analyse the impaction of open-end funds on the volatility of the stock market, is increased or stable.On the basis of which, combined with China's actual, analyse the reasons of this phenomenon. In this paper, through the analysis that the funds exacerbated the market volatility. In different market conditions, the fund did not demonstrate the stability, on the contrary to show the intensification. Thus conclusions that the open-end funds exacerbated the stock market's volatility. After analysis of the specific reasons of the conclusion. This article hopes to the study, To learn more about the open-end fund impact on the market volatility, to provide some ideas that how to the open-end funds for the further development and stabilize market.
本文研究的主题:探讨开放式基金对股票市场波动性的影响。从研究股票市场波动性的特征出发,引入开放式基金,并通过GARCH模型、EGARCH模型的对比分析,揭示出开放式基金对股票市场波动性的影响。
本文研究的内容:文章的第一部分主要论述开放式基金的相关概念、特征以及开放式基金的发展现状。第二部分介绍股票市场波动性的相关理论,其中包括波动性的衡量标准、影响因素和特征等。第三部分从行为金融学的角度,分析开放式基金的羊群行为、操纵行为及正反馈交易行为等对股票市场波动性的影响。第四部分在第三部分的基础上,首先分析了上证指数日收益率的波动特性,之后建立GARCH模型与EGARCH模型具体分析开放式基金对股票市场波动性的影响,并得出相关结论。
本文的研究目的在于:说明开放式基金对市场波动性的具体影响,是加剧还是稳定,并在此基础上,结合中国的实际,具体分析产生这种现象的原因。通过本文的分析得出,开放式基金加剧了市场的波动。在不同的市场环境下,基金对市场的稳定作用表现的非常微弱,相反更多的是表现出对市场的助涨助跌作用。从而得出结论:即开放式基金加剧了股票市场的波动性。之后对此结论分析了具体的原因以及相应的解决对策。希望通过本文的研究,为开放式基金的进一步发展及如何稳定市场提供一些研究思路。
In the environment of a high dedree of stock market development and opening up, the potential market risk was exposed and deepened. The volatility has become an important indicator of the market risk, In order to stabilize the stock market and promote its healthy and orderly development, it's need to control risk to reduce the risk of an acceptable level, thereby reducing the volatility of the market rate of vibration. Market diversification of the investment group to become one of the options. On this basis, securities investment funds have been developing vigorously, especially in open-end funds. With the development of open-end funds, the size of open-end funds account for the market share of the increase in proportion to speed up, Open-end funds impact on the volatility of the stock market gradually deepening. Around the topic of the fund impact on the volatility of the market : indensified or stabilitied has became the focus.
The theme of this paper is to explore open-end funds on the stock market volatility, From the study of the characteristics, the introduction of open-end funds, and through comparative analysis revealed that the open-end funds impact on the stock market volatility.
In this paper: the first part of the article is to focuse on the concept of open-end funds as well as the characteristics of the development of the status quo. The second part is to introduce the relevant theories of the volatility in the stock market, including the volatility of the measure, factors and features,. The third part from the perspective of the behavioral finance to analyse the herd behavior, manipulation and the positive feedback trading, how to impact on the stock market volatility. the fourth part is based on the third part to discuss, the first is to apply the empirical methods to analyse the Shanghai Composite Index yield on the characteristics of volatility, followed by the establishment of GARCH model and the EGARCH model to analyse the open-end funds impact on the volatility of the stock market specifically, at last reach the conclusions.
The purpose of study is, specifically analyse the impaction of open-end funds on the volatility of the stock market, is increased or stable.On the basis of which, combined with China's actual, analyse the reasons of this phenomenon. In this paper, through the analysis that the funds exacerbated the market volatility. In different market conditions, the fund did not demonstrate the stability, on the contrary to show the intensification. Thus conclusions that the open-end funds exacerbated the stock market's volatility. After analysis of the specific reasons of the conclusion. This article hopes to the study, To learn more about the open-end fund impact on the market volatility, to provide some ideas that how to the open-end funds for the further development and stabilize market.
引文
[1]证券之星www.stockstar.com.2008年基金二季报综述
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[1]数据资料来源于《证券投资基金》中国财政经济出版社 2007年
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[1]Wang,Eric C.,Ying Wang,(2002),"A Study of Mutual Fund Flow and Market Return Volatility",Journal of Finance,May 17.
[2]Chan,L.,and Lakonishok,J.,(1995) "The behavior of stock prices around institutional trades",Journal of Finance,50,p1147-1174.
[3]Jain,P.C.1988.Response of hourly stock prices and trading volume to economic news,Journal of Business.61,219-231.
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[1]姚姬,刘志远.基金投资行为的市场检验-基于中国股市最大机构投资者的实证研究.南开大学国际商学院工作报告,2005.
[2]宋冬林.毕子男.机构投资者与市场波动性关系的研究-基于中国A股市场的实证分析.经济科学.2007(3)
[3]李国正.杜贺亮.基金尚未起到稳定市场的作用.民生证券研究所研究报告,2003
[4]何基报,王霞.机构投资者一定能稳定股市吗?-理论和实证研究[R].深圳,深圳证券交易所综合研究所.2005.12.16
[1]数据资料来源于《证券投资基金》中国财政经济出版社 2007年
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