增强指数型基金对股票市场风险溢出效应的实证分析研究  

An Empirical Study on Strengthening the Risk Spillover Effect of Index Fund on Stock Market

作　　者：王旭霞 王珊珊 WANG Xuxia;WANG Shanshan(School of Finance,Xinjiang University of Finance and Economics,Urumqi,Xinjiang 830012,China;School of Economics,Xihua University,Chengdu 610039,China)

机构地区：[1]新疆财经大学,新疆乌鲁木齐830012 [2]西华大学,四川成都610039

出　　处：《西部金融》2021年第10期68-73,共6页West China Finance

摘　　要：为探究我国增强指数型基金与股票市场之间的风险溢出效应,本文引入了三种增强指数型基金作为研究对象,并以2015年9月30日-2020年9月25日股票市场的日度数据作为研究基础,实证分析了我国增强指数型基金与股票市场之间的关系。研究结论显示,要想实现增强指数型基金和股票市场的协调健康发展,需要统筹协调好股票金融市场的内部结构以及拓展基金多样性。同时,通过分位数模型方法进行了稳健性检验,实证结果均验证了研究结论。依据研究结论本文提出了三项建议:一是合理规划股票市场的结构发展;二是多样化发展基金,降低股票市场风险,强化股票市场的稳定性,实现股票市场和增强指数型基金的协调健康发展;三是鼓励和支持机构资金对增强指数型基金的投资,促进股票市场平稳健康发展。In order to explore the Risk Spillover Effect between China's enhanced index funds and the stock market,this paper introduces three kinds of enhanced index funds as the research object,and empirically analyzes the relationship between China's enhanced index funds and the stock market based on the daily data of the stock market from September 30,2015 to September 25,2020.The research conclusion shows that in order to enhance the coordinated and healthy de‐velopment of index funds and stock market,it is necessary to coordinate the internal structure of stock financial market and expand the diversity of funds.At the same time,the robustness test is carried out by Quantile model method,and the empirical results verify the research conclusion.According to the research conclusion,this paper puts forward three suggestions:one is to reasonably plan the structural strategic development of the stock market,the other is to diversify the development fund,which will help reduce the risk of the stock market,strengthen the stability of the stock market,and realize the coordinated and healthy development of the stock market and index fund.Third,the regulatory authorities should encourage and support institutional funds to enhance the investment of index funds,so as to provide a more solid foundation for promoting the stable and healthy development of the stock market.

关 键 词：增强指数型基金 股票市场 风险溢出 分位数模型 稳健性检验 

分 类 号：F830.31[经济管理—金融学]