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基金投资行为与股票市场稳定性研究——基于VAR模型和MGARCH模型的实证分析
引用本文:左正强,吴斌,张翮翔.基金投资行为与股票市场稳定性研究——基于VAR模型和MGARCH模型的实证分析[J].经济经纬,2012(4):151-155.
作者姓名:左正强  吴斌  张翮翔
作者单位:1. 重庆三峡学院经济与管理学院,重庆万州,404100
2. 西南财经大学金融学院,四川成都,610074
3. 郑州航空工业管理学院会计学院,河南郑州,450015
摘    要:笔者基于VAR模型和MGARCH模型,利用总量数据,对基金投资活动与我国股票市场波动性及其溢出效应进行实证研究。研究结果发现:基金的投资活动与股票市场波动之间存在双向影响机制,基金投资活动已开始对股票市场的波动形成影响,但基金没能起到稳定市场的作用;从波动溢出效应看,基金投资活动与股票市场波动存在双向的波动溢出效应,但溢出效应较小。

关 键 词:基金投资行为  股票市场  波动

A Study of Investment Behavior of Funds and Stock Market Volatility——An Empirical Analysis Based on VAR and MGARCH Model
ZUO Zheng-qiang , WU Bin , ZHANG He-xiang.A Study of Investment Behavior of Funds and Stock Market Volatility——An Empirical Analysis Based on VAR and MGARCH Model[J].Economic Survey,2012(4):151-155.
Authors:ZUO Zheng-qiang  WU Bin  ZHANG He-xiang
Institution:1.School of Economics and Management,Three Gorges University,Chongqing 404100,China;2.School of Finance,Southwestern University of Finance and Economics,Chengdu 610074,China;3.School of Accounting,Institute of Aeronautica Industry Management,zhengzhou 450015,China)
Abstract:Based on VAR Model and MGARCH Model,the paper empirically studies effects of the fund investment activities and stock market volatility and its spillover by using aggregate data.It is found that the Funds’ investment activities and the stock market fluctuations affected each other.The funds’ investment activities have impact on the volatility of the stock market.From the volatility spillover effect,there is bidirectional volatility spillover effect between the fund investment and stock market volatility,but the spillover effect is small.
Keywords:Investment Behavior of Funds  Stock Market  Volatility
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