文档介绍：华中科技大学
硕士学位论文
证券投资基金对我国股票市场波动性的影响
姓名:佘静
申请学位级别:硕士
专业:世界经济
指导教师:范红忠
2010-05-13
华中科技大学硕士学位论文
摘要
自证券投资基金产生以来,我国证券投资基金的数量和规模不断扩大。作为能
够稳定证券市场的最主要机构投资者,其在我国股票市场的表现引起了众多学者争
议。本文选取2006-2009年证券投资基金持续持有的106只基金重仓股,以证券投资基
金持股比例为解释变量,公司规模、净资产收益率和公司流通市值占A股总市值的比
例为控制变量建立线性模型,通过报告期内的年度数据和熊牛市阶段的阶段数据对
证券投资基金持股行为影响股票市场的波动性进行了分析。得出结论:证券投资基
金对股价波动率的影响在各年度内不同阶段呈现不同的正负效应;但主要以负效应
为主。通过划分熊牛市阶段和采取不同的股价波动率计算方法进行相同问题的分析
得出:在牛市中,证券投资基金持股比例对股票市场的影响具有负面作用;在熊市
中,证券投资基金持股比例行为开始发挥稳定证券市场的功能,但是不显著;在整
个熊牛市周期中,证券投资基金持股比例对股票市场的波动起到了推波助澜的作用。
通过两种途径的分析,结果基本一致。
由于现行的金融市场体制完善与否才是证券投资基金发挥稳定市场作用的先决
条件,本文针对我国证券市场存在的监管体制和上市公司质量问题提出相关建议,
并对我国投资产品的创新,机构投资者市场化投资渠道的拓宽进行了简短的分析和
其对证券市场可能带来的隐患进行了警示。

关键词:证券投资基金股价波动率羊群行为正反馈交易行为
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华中科技大学硕士学位论文
Abstract
The number and size of China's securities investment fund have been expanding ever
since securities investment fund came into being. As the most important institutional
investor ,its effect in stock markets has brought up many scholars’ dispute. In this article,
106 stocks are chosen which had been being held vastly by securities investment fund for
continuous four years from year 2006 to 2009, the ratio of securities investment fund
holdings as the explanatory variable, and pany size, ROE(rate of return on
common stockholders’ equity) , and the proportion pany market capitalization in
A-share market as control establishing a multi-linear model. With the
annual data of the reporting period and the stage date during both the bear and bull phases,
the influence of fund holdings behavior on stock markets’ volatility is :
The stock holdings of securities investment fund shows both positive and negative effects
on price volatility in stock market, which is various during the different phases of the
stock market. However, it plays a mainly negative role in price volatility of stock market.
The bear and bull phases of stock market have been separated and alternative calculation