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本文考察了机构投资者持股对市场指数收益和波动的影响,采用TGARCH(1,1)模型,考虑滞后一期收益的影响,股票型和混合型基金的总资产净值的对数增长率与上证综指和万得全A指数月波动率正相关,即以基金为代表的机构投资者持股加剧了市场指数的波动。本文进一步分析认为机构投资者的外部投资环境和机构投资者的制度缺陷是导致其未能成为股票市场稳定力量的主要原因。
This paper examines the impact of institutional investors’ shareholding on market index returns and volatility. Using the TGARCH (1,1) model, considering the effect of lagged one-period returns, the logarithmic growth rate of the total net asset value of the equity and hybrid funds and The positive correlation between the Shanghai Composite Index and the monthly Volatility Index was that the holding of institutional investors represented by the fund exacerbated the volatility of the market index. This article further analyzes that institutional investors ’external investment environment and institutional investors’ institutional defects are the main reasons leading to their failure to become the stable forces in the stock market.