| 不同基金持股与股票波动性分解组分关系的实证研究 |
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| 引用本文： | 彭继红,张忠永. 不同基金持股与股票波动性分解组分关系的实证研究[J]. 中央财经大学学报, 2007, 0(4): 49-52 |
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| 作者姓名： | 彭继红 张忠永 |
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| 作者单位： | 北京邮电大学 北京100876(彭继红)，对外经贸大学 北京100029(张忠永) |
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| 摘 要： | 本文从2004年到2006年第一季度的重仓股中选取259只典型重仓股,利用从1999年到2006年第一季度的财务及交易数据,采用Panel Data方法中的FE模型对开放基金和封闭基金持股与股票的系统波动及个别波动之间的关系进行了分析,得出开放基金比封闭基金更利于稳定股票的系统波动,而对个别波动,开放和封闭基金都既不会降低,也没有扩大的结论,最后为基金业的发展提出了一些建议。
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| 关 键 词： | 开放基金 封闭基金 系统性波动 个别波动 |
| 文章编号： | 1000-1549(2007)04-0049-04 |
| 收稿时间： | 2006-12-12 |
| 修稿时间： | 2006-12-12 |
Empirical Study on Relation between Different Volatility Components and Different Types of Fund |
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| PENG Ji-hong,ZHANG Zhong-yong. Empirical Study on Relation between Different Volatility Components and Different Types of Fund[J]. Journal of Central University of Finance & Economics, 2007, 0(4): 49-52 |
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| Authors: | PENG Ji-hong ZHANG Zhong-yong |
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| Affiliation: | PENG Ji-hong ZHANG Zhong-yong |
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| Abstract: | The author of this paper selects 259 typical stocks from those stocks heavily held by Security funds from 2004 and the first quarter of 2006.Their trade and finance data are analyzed by FE model of panel data method for the relation between different volatility components and different types of fund.The conclusion is that the open-end fund is more favoring than close-end fund in the stabilization of the market volatility of stock prices,but they make no difference to firm level volatility.Some advices are also given in this paper. |
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| Keywords: | Open-end fund Close-end fund Market volatility Firm level volatility |
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