摘要
本文选取2006—2016年沪深股市数据,对全样本下基金投资风格漂移对股市波动风险的整体影响进行了实证分析,在此基础上,通过全样本的区间划分,进一步对分样本下基金投资风格漂移对股市波动的局部影响进行了实证分析,并以此为依据,给出了相关政策建议。研究结果表明,出于基金业绩排名动机,基金投资风格漂移的趋同性已成为常态。在"羊群效应"作用下,基金投资风格漂移的趋同性会显著加剧股市波动。在上涨或下跌的单边环境下,基金投资风格漂移对股市波动的影响力度远大于震荡环境下的影响力度。相对于上涨环境而言,基金投资风格漂移在下跌环境下对股市波动的影响力度更大,股市下跌引发的"多米诺骨牌效应"会进一步助推股市波动。在上涨环境下,引入场外配资等利好举措会放大基金投资风格漂移对股市波动的影响力度;在下跌环境下,引入政府救市等利好举措会有效对冲基金投资风格漂移对股市波动风险的影响。
This paper empirically studies the impacts of the investment style drift of funds on the stock market volatility using the 2006-2016 data from Shanghai and Shenzhen stock markets with the whole sample, and studies the partial impacts of the investment style drift of funds on the stock market volatility by dividing the sample into several sub-samples. We find that the synchronization of the investment style drift of funds has become a normal due to performance ranking competitions of funds. The synchronization of the investment style drift of funds increases the stock market volatility due to the herd effects. The impacts of the investment style drift on the stock market volatility is larger when the market is trending up or down than when the market is vacillating, and the impacts is larger when the market is trending down than trending up, indicating that the domino effects further increases the market volatility. When the market is trending up, good news like the introduction of OTC funding enlarge the impacts, and when the market is trending down, goods news like government bailouts offset the impacts.
出处
《金融监管研究》
北大核心
2018年第1期20-37,共18页
Financial Regulation Research
基金
国家社会科学基金一般项目(13BGL041)
国家自然科学基金重点项目(71631008)
