基金投资行为的市场检验

证券投资基金是中国股市中最为重要的机构投资者之一,作为中国股市理性投资者的代表,它的投资行为在一定程度上能够主导市场。文章对我国基金的收益性、波动性和流动性进行了研究,发现无论基金的投资风格如何,持股都高度相似,从而加大了基金的流动性风险,并且基金的这种流动性风险已经初现。另外,短期内基金持股比例和所投资股票的收益性正相关,和波动性负相关,从而得出基金作为市场主力确实在短期内表现出良好的收益性和稳定股市的作用。

A Market Examination of the Fund''''s Investment Behavior

Investment funds have become one of important investor in China stock market.As the rational investors of China stock market,their investment behaviors dominant the market.The research finds that whatever the style of funds belongs,they all have the similar holdings.The funds investment concentrates on 50 stocks.By empirical study finds that the liquidity risk of stocks has appeared.If the market is shocked by the external information,the liquidity risk will burst out.By empirical study also finds that the percentage of institutional ownership is positively related to the return ratio and is negatively related to the return variance.So the fund really played active function.