投资主体结构改变对股市的影响——兼论多空均衡与股市泡沫的预防  

The Impact of Changing Structure of Investment Entities on Stock Market:Discussions on Purchase and Sale Balance on Stock Market and Prevention of Stock-market Bubbles

作　　者：骆惠南 李作为[2] 梁健昌 

机构地区：[1]香港工商东亚证券有限公司 [2]香港中文大学公共卫生学院生物统计系 [3]香港凯基金融亚洲有限公司

出　　处：《财经研究》2008年第10期110-121,共12页Journal of Finance and Economics

摘　　要：文章将香港地区股市按投资主体结构变化划分为三个阶段,发现投资主体结构的改变影响了股市的形态。在市场的波动方面,引入对冲基金的第三阶段虽然最短,但其波动却对全时段形态起着决定作用,而以个人投资者为主的第一阶段的形态却与全时段差距最大。另外,因为多空势力不均衡,以传统基金主导的市场更易形成泡沫;而在股市中引入对冲基金与衍生产品后,股市的走势发生变化并减少了对经济与社会带来的负面影响。This paper analyzes the three different stages of Hong Kong stock market which are divided by structure of investment entities and finds that the changes of structure of investment entities have an impact on the status of stock market. From the aspect of fluctuations in the market, the third stage that brings in hedge funds is the shortest one, but its fluctuation plays the dominant role on the status of stock market in the full-time period, while the status at the first stage featured by individual investors has the largest difference compared to full-time period status. Moreover, because of the imbalance on stock market with long forces, it is more apt to form bubbles on traditional fund-led market. Instead, after bringing hedge funds and derivative products into stock market, the trend of stock market has changed and the negative effects on economy and the society existing in the past have been reduced.

关 键 词：势力均衡 系统性风险 投资主体结构 

分 类 号：F830.91[经济管理—金融学]