摘要
本文选取2003～2008年间我国开放式基金持有股票的数据,采用多元线性回归方程和动态面板数据模型实证检验了开放式基金持股比例对股价波动的影响。结果表明:开放式基金持股与股价波动成正向关系,其持股比例加剧股价波动;其持股比例的变动是引起股价波动的重要因素。
The authors select the data about the open-end fund shareholding in our country from 2003 to 2008 and make an empirical analysis of the influence of open-end fund shareholding proportion and its change on share price volatility with linear regression equation and dynamic panel data model.The empirical results show that there is a positive correlation between open-end fund shareholding and share price volatility and its shareholding proportion can intensify the share price volatility;the variance in its shar...
出处
《经济经纬》
CSSCI
北大核心
2009年第6期139-143,共5页
Economic Survey
关键词
开放式基金
基金持股
股价波动
动态面板数据模型
open-end fund
fund shareholding
share price volatility
dynamic panel data model
