证券投资基金持股与股价波动性关系的实证研究  

The Empircal Study on Relation Between Investment Funds Holding and Stock Volatility

作　　者：杨德群[1] 杨朝军[1] 倪旸[2] 

机构地区：[1]上海交通大学管理学院,上海200052 [2]中国建设银行总行资金部,上海200000

出　　处：《科技进步与对策》2004年第8期74-76,共3页Science & Technology Progress and Policy

基　　金：国家自然科学基金项目"中国证券投资基金绩效评估与风险控制"(70073017)资助

摘　　要：对基金持投和股价波动性的关系进行了实证检验,结果表明,在市场看好的情况下,基金为了战胜市场偏好持有波动性较大的股票,并且基金增持股票会对股价波动性产生较大影响,而对减持股的影响较小;在市场看淡的情况下,基金为了规避风险选择持有波动性较小的股票,并且基金减持股票会对股价波动性产生较大影响,而对增持股票的影响较小。这些结论与基金的投资策略与羊群行为有关。This paper tests the relation between investmet funds holding and stock volatility empirically,The results show that,In the bull maket,Investment Funds prefer stocks with high volatility bo defeat market,and the increase of investment funds ownership has great impact on stock volatility,while the decrease of investment funds ownership has little impact on stock volatility;In the bear marketjnvestment Funds prefer stocks with low volatility to avoid risk and the decrease of investment funds ownership has great impact on stkck volatility, while the increase of investment funds ownership has little impact on stock volatility .These results are related with investment stragegy and herd behavior of investment funds.

关 键 词：证券投资基金 持股 波动性关系 股票价格 风险防范 中国 

分 类 号：F832.5[经济管理—金融学] F832.48