证券投资基金持股与股价同步性研究  

Study on securities investment fund holdings and share price synchronicity

作　　者：杨竹清[1] 

机构地区：[1]暨南大学金融系,广东广州510632

出　　处：《贵州财经学院学报》2012年第6期49-56,共8页Journal of Guizhou College of Finance and Economics

基　　金：国家社科基金重点项目(批准号:11AJY013);国家社科基金重大项目(批准号:11&ZD156)的阶段性成果;广东省教育厅人文社科重大攻关项目(批准号:11ZGXM79004)

摘　　要：选择机构投资者中的典型代表——证券投资基金为切入点,用合资基金持股比例、证券投资基金持股比例和只数三个维度衡量其对上市公司的持股,选取2006至2010年中国股市所有上市公司为样本,研究证券投资基金持股与股价同步性之间的关系。研究发现证券投资基金持股与股价同步性显著负相关,而且相较中资的证券投资基金,合资基金持有更能降低股价同步性,这从侧面反映了大力发展机构投资者的确稳定了中国股市,而且基金管理公司引进外资参股也发挥了积极作用。This paper chooses the typical representative of institutional investors securities investment fund as the breakthrough point, and in order to measure it we use three indexes, Respectively is the joint venture fund holding ratio, the securities investment fund equity percentage and number, and researchs the all listed companies of China stock market over the period 2006--2010 years, and then inspects the relationship between stock price synchrony and the securities investment fund holdings. The study found that has a negative correlation between the securities investment fund holdings and synchronicity, and compared with all securities investment funds, the joint venture fund has a higher effect on synchronicity,. This also reflects that the institutional investors really stabled the Chinese stock market, and fund management companies with foreign equity has played a positive role.

关 键 词：证券投资基金 股价同步性 合资基金 

分 类 号：F831[经济管理—金融学]