基金“拥挤交易”对A股股价泡沫的影响研究  

Study on the Influence of the Crowding Trade of Securities Investment Funds on Stock Bubble

作　　者：贾丽娜[1] 扈文秀[1] 章伟果[1] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054

出　　处：《运筹与管理》2015年第5期237-244,共8页Operations Research and Management Science

基　　金：国家自然科学基金(71373204)不同标的资产价格泡沫生成演化的共性机理研究;陕西省教育厅哲学社会科学重点研究基地科学研究计划项目(13JZ036);陕西省普通高校重点学科专项资金建设项目(107-5X1302)

摘　　要：随着基金数量的不断增加,多家基金重仓一只股票所呈现的"拥挤交易"现象日渐明显。本文运用面板数据模型,对基金"拥挤交易"与A股股价泡沫之间的关系进行考察。结果表明,当公司超过6只基金重仓持股时,基金拥挤交易会对股价泡沫形成促进作用;当小于6只基金重仓持股时,这一关系则不显著。即:基金拥挤交易需要在"拥挤"到一定程度后才会促进股价泡沫膨胀。因此,管理层应高度重视6家以上基金重仓持股的股票,这类股票往往会形成较大的泡沫,同时也存在较大的崩溃风险。另外,管理层还应审慎研究政策出台时可能带来的预期,最大限度的避免基金经理产生一致的信念和一致行动,降低基金拥挤交易现象的发生。With the number of Securities Investment Funds increasing, the phenomenon of crowding trade that many funds heavily hold the same stocks at the same time is obvious. This paper collects the panel data to ana- lyse the relationship between the crowding trade of funds and stock bubble. The result shows that when more than six funds hold the stock, the crowding trade will promote bubble formation. On the contrary, when the stock hold by less than six funds, the relationships between the above mentioned is not obvious. This means that the rela- tionship needs to meet the certain conditions. Therefore, management should pay great attention to the stock held by more than six funds, for such stocks tend to form larger bubbles, and at the same time there is a greater risk of collapse. In addition, management should also be careful about the market expectations by the policy before it is approved so as to prevent fund managers from having the same belief and actions whenever possible, in order to reduce the fund crowded trade phenomenon.

关 键 词：证券投资基金 拥挤交易 股价泡沫 

分 类 号：F830.591[经济管理—金融学]