证券投资基金和保险资金对股票市场影响的实证分析

本文利用上海证券交易所于2007年7月30日至2008年12月31日期间公布的Topview数据,对证券投资基金、保险资金的交易行为进行了实证分析,结果发现证券投资基金的交易行为是上证180指数(及指数的自然对数和对数收益率)变化的单向Granger原因,而上证180指数与保险资金交易行为之间不存在Granger因果关系。通过对相关变量的模型分析,我们发现在样本期间证券投资基金的交易行为对上证180指数(取对数)及其对数收益率的均值产生了微弱的正向影响,但没有对上证180指数(取对数)及其对数收益率的波动性(以残差或条件方差衡量)产生统计上显著的影响。

An Empirical Analysis of the Impact of Security Investment Fund and Insurance Fund on SSE 180 Index

This paper analyzes the transaction behavior of security investment fund and insurance fund empirically using daily data from July 30,2007 to December,31,2008 issued by SSE.We find that security investment fund's transaction is Granger cause of SSE 180 Index(also its logarithm and its log return),but insurance fund and SSE 180 index has no Granger casualty relation.The model analysis indicates transaction behavior of security investment funds has positive but slight influence to the mean of SSE 180 index(lo...