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  本文關(guān)鍵詞：基于序貫交易模型的股價波動分析　出處：《昆明理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股價波動 跟隨同類交易策略 跟隨異類交易策略 隱性交易策略 跟隨交易策略

【摘要】：學(xué)術(shù)界對證券投資基金投資行為的研究始終保持高度的重視,本文將從跟隨同類交易策略和跟隨異類交易策略這一較新視角來研究證券投資基金的投資行為。已有文獻的研究大多采用塞亞斯(2004)的序貫交易模型進行研究,把基金投資股票的跨期需求相關(guān)系數(shù)分解為隱性交易策略(自我策略)和羊群行為策略(跟隨交易策略)這兩部分。在本文中我們進一步把盲目跟風(fēng)策略分解為跟隨同類交易的策略和跟隨異類交易的策略這兩種交易策略,并分析這三個基金策略性交易行為的分解因素與股市波動的關(guān)系,用以探討證券投資基金交易策略是否真正起到了穩(wěn)定市場的作用。 實證結(jié)果表明：(1)在序貫交易模型的截面估計結(jié)果及其系數(shù)分解中,我國開放式證券投資基金投資均有明顯的跟隨交易策略和隱性交易策略表現(xiàn)。證券投資基金投資有明顯的策略性序貫交易或者是跟隨交易行為。(2)在股票樣本各種分類下需求跨期相關(guān)系數(shù)的分解中,羊群行為在投資較小和較大規(guī)模的上市公司股票以及在投資金融類和房地產(chǎn)類股票時才表現(xiàn)的更為顯著。(3)在我國前九大基金管理公司中,投資者更傾向于跟隨交易策略。基金公司以跟隨交易策略為主;跟隨同類交易策略和跟隨異類交易策略都比較明顯,其中,相對于其他策略而言,跟隨異類交易策略占據(jù)絕對主導(dǎo)地位。(4)在股價波動與證券投資基金策略性交易相關(guān)系數(shù)的分解中,隱性交易策略在幾個重要的季度里均能抑制股價的波動；而在其他季度里證券投資基金在策略性交易中跟隨同類交易策略部分和跟隨異類交易策略部分均對股價的波動起正向作用。(5)對模型進行全樣本回歸時,我們發(fā)現(xiàn)基金策略性交易行為的三個分解因素對規(guī)模最小、金融類和商業(yè)類的樣本股票和牛市狀態(tài)下的價格波動均具有顯著的相關(guān)性。
[Abstract]:Study on the investment behavior of securities investment funds in academic circles has always maintained a high degree of attention, this article will follow the same investment behavior from trading strategies and follow a new perspective to study heterogeneous trading strategy of securities investment fund. The study of the existing literature mostly by Cejas (2004) studied the sequential trading model, the intertemporal demand the coefficient of fund investment stock is divided into implicit trading strategies (self strategy) and herding strategy (follow trading strategy) of the two part. In this paper we further to blindly follow the trend to follow the decomposition strategy similar transactions strategy and follow the trading strategies of the two kinds of different trading strategies, the relationship between factors and stock market volatility and analysis the three strategy fund transaction behavior, in order to explore the securities investment fund trading strategies really played a role in stabilizing the market.
The empirical results show that: (1) in the section of the sequential trading model estimation results and factor decomposition, obviously following trading strategies and investment strategies of implicit transaction are open securities investment fund in China. The securities investment fund investment has obvious strategy is to follow the sequential trading or trading behavior. (2) cross phase decomposition the correlation coefficient in the stock demand samples under various classification of herd behavior is reflected in the smaller and larger scale of investment shares of listed companies and real estate investment in financial and real stocks is more significant. (3) in our country before nine fund management companies, investors tend to follow the trading strategy fund. The company to follow the trading strategy; follow similar trading strategies and follow different trading strategies are obvious, which, compared with other strategies, follow different trading strategies occupy absolute dominance . (4) in the decomposition of stock price volatility associated with the securities investment fund strategic trading coefficient, implicit trading strategy can inhibit the stock in several important quarter fluctuations; while in the other quarter in the securities investment fund in the strategic trading trading strategy and follow similar trading strategies are to follow different price volatility has a positive effect. (5) the model of full sample regression, we found that the fund strategic trading behavior of the three factors on the decomposition of the minimum size and price fluctuations in the financial and business sample stocks and bull market conditions have a significant correlation.

【學(xué)位授予單位】：昆明理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1372328