证券投资基金与股市波动性的关系研究  

Empirical Research on the Relationship between Securities Investment Fund and Volatility

作　　者：蔡敬梅[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《西安交通大学学报（社会科学版）》2013年第3期35-39,共5页Journal of Xi'an Jiaotong University：Social Sciences

摘　　要：基于中国上海证券交易所的基金指数与综合指数数据,利用协整理论、因果关系与脉冲响应检验、GARCH模型分析了中国证券投资基金与股票市场之间的波动影响关系。结果显示,中国股市与基金市场之间存在着同涨同跌的长期均衡关系;股票市场的波动会对基金市场产生影响,而基金市场的波动对股票市场的影响并不明显,表现出非对称性;股票市场的波动性较基金市场更为强烈,而基金市场受到较大波动影响持续的时间较长。The relation of the impact of volatility between the securities investment fund and the stock market in China is analyzed based on the fund index of the Shanghai Stock Exchange （SSE） and using the co - integration theory, granger test and GARCH Model. The research result shows that there is a long balanced relationship of moving together between China＇s stock market and funds market; stock market volatility has an impact on the funds market, but the volatility of the funds market exhibits no obvious impact on the stock market, demonstrating an asymmetric nature. Additionally, the volatility of the stock market is more intensive than the funds market while the greater volatility impact on the funds mar- ket lasts for a longer time.

关 键 词：证券市场波动 证券投资基金 股票市场 GARCH模型 

分 类 号：F830.91[经济管理—金融学]