文档介绍：首都经济贸易大学
硕士学位论文
开放型偏股投资基金行为对A股市场质量影响的研究
姓名:徐明柳
申请学位级别:硕士
专业:会计学
指导教师:张淑焕
20100317
摘要
机构投资者作为证券市场的主要参与者,其对股票市场影响一直是一个重要课
题。本文从机构投资者与市场流动性关系,基金行为对市场效率的影响,机构投资者
的羊群行为、正反馈策略等视角回顾了国内外的相关研究。从金融市场微观结构的视
角对中国的开放型偏股投资基金行为进行研究,分析偏股型投资基金行为对 A 股市场
质量的冲击,剖析偏股型投机基金行为与 A 股市场质量之间的作用机制,深度挖掘影
响我国 A 股市场质量的特定结构,从而为我国企业的投融资行为及规范证券投资基金
行为与提升 A 股市场质量提供金融学证据。以证券投资基金为代表的机构投资者对股
价波动的影响随着市场结构和环境的变化而变化,在 2007-2009 年各年的情况均有所
不同,在同一年份,即使价格向同一方向变化,基金的行为也会影响市场的流动性,或
者在稳定市场方面会增加股价波动或者减少股价波动,因此没有一致性结论。政策制
定者应通过市场基础和制度建设,建立相应的机制和提高监管能力来维护市场稳定,
而不是指望机构投资者来维护市场稳定。最后,我们认为,结合中国特殊的市场环境
研究机构投资者行为及其对股市的影响是未来研究的方向。

关键词:机构投资者市场质量流动性波动性
I
ABSTRACT
Institutional investors as major players in the securities markets and its impact on the
stock market has always been an important issue. In this paper, institutional investor
relations and market liquidity, fund the impact of behavior on the market efficiency,
institutional investors herding behavior, the positive feedback strategies perspective
reviews the relevant research at home and abroad. From the financial market
microstructure perspective on China's open-type stock investment fund partial behavior
research, analysis acts partial stock-based investment funds, the quality of the A-share
market impact of stock-based speculative fund partial analysis of behavior and the quality
of A-share market between the mechanisms of action, the depth of excavation affecting the
quality of China's A share market, the particular structure thus the investment and
financing for Chinese enterprises to conduct and regulate behavior and securities
investment funds to upgrade the quality of A-share market to provide evidence of finance.
The securities investment fund on behalf of institutional investors to fluctuations in stock
prices as the market environment changes the structure and changes in the situation in the
years 2007-2009 are different, in the same year, even