开放式基金持股对股市波动性影响的实证研究  

An Empirical Research on the Effect of the Open-end Fund Shareholding on Stock Market Volatility

作　　者：杨桂云[1] 吴庆田[1] 

机构地区：[1]中南大学商学院,长沙410083

出　　处：《经济经纬》2009年第6期139-143,共5页Economic Survey

摘　　要：本文选取2003～2008年间我国开放式基金持有股票的数据,采用多元线性回归方程和动态面板数据模型实证检验了开放式基金持股比例对股价波动的影响。结果表明:开放式基金持股与股价波动成正向关系,其持股比例加剧股价波动;其持股比例的变动是引起股价波动的重要因素。The authors select the data about the open-end fund shareholding in our country from 2003 to 2008 and make an empirical analysis of the influence of open-end fund shareholding proportion and its change on share price volatility with linear regression equation and dynamic panel data model.The empirical results show that there is a positive correlation between open-end fund shareholding and share price volatility and its shareholding proportion can intensify the share price volatility;the variance in its shar...

关 键 词：开放式基金 基金持股 股价波动 动态面板数据模型 

分 类 号：F83[经济管理—金融学]