基金一定能够稳定股市吗?——来自金融实验的证据  

Can Funds Stabilize the Stock Market?——Evidence From Financial Experiments

作　　者：王立民[1] 朱晓慧[1] 薛雅嘉[1] 汪然[1] 

机构地区：[1]北京科技大学东凌经济管理学院,北京100083

出　　处：《管理评论》2013年第5期42-50,共9页Management Review

摘　　要：根据行为金融实验获得的证据构建了基金发行对市场波动的数学模型,通过模拟计算我们发现:基金发行初期,基金的发行会使股价波动加大;当基金发行总量达到一定量时,发行基金具有稳定股市的作用。发行超大规模的基金会给股市带来大的波动,建议采取发行多个小规模基金,这样既可以使市场避免较大的冲击,又可以加快进入基金稳定市场的阶段。最后本文用中国股市投资者的数据做了实证分析。Based on the positive relationship between traders＇ asset allocation and the stock price volatility found in the behavioral financial experiments, the paper builts a mathematical model of traders＇ assets with funds taken into our consideration. As a consequence, funds have double effects on the stock market. At the beginning of issuing funds, funds will lead to market volatility; when the funds assets reach a certain quantity, funds will play the role of stabilizing the market. In addition, huge scale funds should be stopped because it may bring large volatility to the stock market.

关 键 词：基金发行 股价波动 金融实验 资产分布 

分 类 号：F832.51[经济管理—金融学]