反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究  

Reversal Effect,Negative Feedback Trading and Stock Price Fluctuation——A Study of Open-ended Funds' Investment Strategy Based on Panel Data

作　　者：赵萌[1] 王海军[1] 

机构地区：[1]暨南大学金融系

出　　处：《产经评论》2010年第5期153-160,共8页Industrial Economic Review

基　　金：暨南大学创新团队项目(编号:04SK2D03)的阶段性成果之一;项目负责人为田存志

摘　　要：本文利用2002年至2007年基金交易数据,从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明:我国开放式基金所投资的股票在中期内并不存在动量效应,相反存在显著的反转效应,基金的投资行为也表现出明显的负反馈交易策略;与前期股票的买入比率相比,股票的收益率以及收益率的波动对基金投资策略的影响更为明显;开放式基金前期的股票交易会加剧当期的股价波动。This paper deeply analyzes the trading strategy of China＇s open-ended funds, the factors influencing funds trading strategy and the effects of trading strategy on stock market fluctuation from the levels of market condition, scale of the traded companies, fund quantity and industry feature using the data from 2002 to 2007. The results show that： the stocks China＇s open-ended funds invested exist significant reversal effect instead of momentum effect and investment behaviors indicate obvious negative feedback trading; the effects of stock yield and fluctuation on investment strategy are more obvious compared with buying rate of the early stock; early trading of open-ended funds will aggravate the present stock price fluctuation.

关 键 词：开放式基金 股票需求 反馈交易 价格波动 

分 类 号：F830.9[经济管理—金融学]