我国分级基金与股票市场稳定性实证研究  

An Empirical Study on the Relationship Between Structured Fund and Stock Market Stability in China

作　　者：李柳[1] 冯哲[1] 郭树[1] LI Liu FENG Zhe GUO Shu(School of Economics and Management, Changchun University of Technology, Changchun 130012 China)

机构地区：[1]长春工业大学经济管理学院,吉林长春130012

出　　处：《科技创新与生产力》2017年第4期29-33,共5页Sci-tech Innovation and Productivity

摘　　要：本文主要研究分级基金的发行对我国股票市场稳定性的影响。选取了1991年4月3日—2015年4月30日期间深证成指日收益率指数作为样本数据,使用GARCH模型和EGARCH模型对选取的数据进行分析,实证检验分级基金对深圳股票市场稳定性的影响,研究表明分级基金有助于股票市场稳定。在实证研究的基础上,为推进分级基金持续健康发展提出了改进建议。This paper analyzes the impact of structured fired issue on stock market stability by a series of econometric meth- ods. It selects the daily returns of SZSE Component Index from April 3, 1991 to April 30, 2015 as samples, analyses the selected data using GARCH model and EGARCH model, discusses the effect of structured fund on the stability of Shenzhen stock market through empirical tests. The research shows that the structured fund is helpful to stock market stability. On the basis of empirical research, it puts forward some suggestions for the sustainable development of structured fund.

关 键 词：分级基金 GARCH模型 EGARCH模型 股票市场稳定性 

分 类 号：F832.5[经济管理—金融学]