基金投资对股市价格压力效应的量化分析  

A Quantitative Analysis of the Pressures of Funds Investment on Stock Market

作　　者：姚颐[1] 刘志远[1] 相二卫[1,2] 

机构地区：[1]南开大学商学院,天津300071 [2]澳大利亚新南威尔士大学

出　　处：《上海金融》2012年第6期56-62,117,共7页Shanghai Finance

基　　金：国家自然科学基金"不同市场状态下基金投资行为与市场稳定(70872052)"和"制度环境;投资者情绪与企业投资行为(71072099)"的支持

摘　　要：已有诸多文献研究了我国基金的流动性问题,但是基金投资究竟给股市带来多大的价格压力至今尚不清楚。本文量化了基金的价格压力效应,并且将基金的投资行为细分为首次重仓买入、完全退出和增减仓四类分别予以研究,发现基金完全退出时的价格压力最大,其价格压力系数为-1.2121,从幅度上看远高于基金首次重仓买入时的0.4681以及进行增仓调整时的0.2161。这表明基金集中性卖出股票时支付了巨大的压力溢价。这源于机构投资者中以基金一方独大的布局结构,不利于我国证券市场长远发展。The liquidity of China's funds has been referred in numerous literatures, yet it's still unclear how much the price pressure of fund investment has on the stock market. The paper takes an initiated perspective of quantifying the price pressure of funds investment. By subdividing the fund investment into initial positions, liquidating, increasing positions and reducing positions, it's found that the biggest price pressure exists in the liquidating activities with the price pressure coefficient at -1.2121 much higher than the coefficient of the initial positions at 0.4681 and of the adjusting positions at 0.2161, which shows an imbalanced effect caused by intensively selling behaviors. In China's case, it's caused by the biased pattern of the institutional investors which pitch the investment into fund. In the long run, it will does harm to the development of China's securities market.

关 键 词：基金投资 价格压力 股票回报 

分 类 号：G23[文化科学]