基金风格漂移、资本市场开放与股价崩盘风险  

Fund Style Drift,Capital Market Opening,and Stock Price Collapse Risk

作　　者：许林[1,2] 陈锦涛[1] 钱淑芳 XU Lin;CHEN Jin-tao;QIAN Shu-fang

机构地区：[1]华南理工大学经济与金融学院 [2]华南理工大学人工智能与数字经济广东省实验室(广州) [3]广州大学经济与统计学院,广州510006

出　　处：《金融论坛》2023年第5期41-51,72,共12页Finance Forum

基　　金：国家社会科学基金一般项目“金融扩大开放下股价崩盘风险的系统性传染机理与防范研究”(21BJL132)的阶段性研究成果。

摘　　要：本文实证探究基金风格漂移对股价崩盘风险的影响,以及资本市场开放在其中发挥的调节效应。研究结果发现:基金风格漂移行为会显著加剧股价崩盘风险,而资本市场开放的调节作用能有效减弱基金风格漂移对股价崩盘风险的影响。异质性分析表明,资本市场开放所发挥的调节效应在非国有企业和牛市行情中更为显著。进一步影响机制检验发现,基金风格漂移行为主要通过延迟负面信息融入股价和影响投资者情绪的机制来加剧股价崩盘风险。This article empirically explores the impact of fund style drift on the risk of stock price collapse and the regu-latory effect of capital market opening.The research finds that fund style drift behavior significantly exacerbates the risk of stock price collapse,while the regulatory effect of capital market opening can effectively weaken this impact.Heterogeneity analysis indicates that the regulatory effect of capital market opening is more significant in non-state-owned enterprises and bull markets.The further mechanism analysis shows that fund style drift behavior mainly exacerbates the risk of stock price collapse by delaying the integration of negative information into stock prices and influencing investor sentiment.

关 键 词：基金风格漂移 资本市场开放 股价崩盘风险 机构投资者 

分 类 号：F832.51[经济管理—金融学] F832.6