投资主体结构改变对股市的影响——兼论多空均衡与股市泡沫的预防
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财经研究 2008 年 第 34 卷第 10 期, 页码：111 - 122
摘要
参考文献
摘要
文章将香港地区股市按投资主体结构变化划分为三个阶段,发现投资主体结构的改变影响了股市的形态。在市场的波动方面,引入对冲基金的第三阶段虽然最短,但其波动却对全时段形态起着决定作用,而以个人投资者为主的第一阶段的形态却与全时段差距最大。另外,因为多空势力不均衡,以传统基金主导的市场更易形成泡沫;而在股市中引入对冲基金与衍生产品后,股市的走势发生变化并减少了对经济与社会带来的负面影响。
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①2006年,当时的政务司长在一次公开演讲中提到对冲基金占有香港股市成交额的4成。
[2]Brown S,Goetzmann W,Park J.Hedge funds and the Asian currency crisis of 1997[J].Journal of Portfolio Management,2000,26(4):95-101.
[3]Chiang T C,Dong S C.Empirical analysis of stock returns and volatility:Evidencefrom seven Asian stock markets based on TAR-GARCH Model[J].Reviews of Quan-titative Finance and Accounting,2001,(17):301-318.
[4]Financial Services Authority(FSA).Hedge funds:A discussion of risk and regulatoryengagement[R].Discussion Paper,2005-4.
[5]Nicholas C,Mila G,Shane M H,Andrew W L.Systemic risk and hedge funds[R].Working Paper,No.11200,2005.
[6]Tomas G,Frank D.Hedge funds and their implications for financial stability[R].Eu-ropean Central Bank,Occasional Paper Series,No.34,August 2005.
[7]Troy A P.On the decision to regulate hedge funds:The SEC’s regulatory philosophy,style,and mission[R].Washington University,Faculty Working Papers Series,March 2006.
[8]William F,David A H.Measuring the market impact of hedge funds[J].Journal ofEmpirical Finance,2001,(7):1-36.
[9]骆惠南,李作为.论衍生产品使香港地区股市走上健康之路——兼论对冲基金对股市的作用[J].国际金融研究,2008,(1):52-61.
[10]陈儒.对冲基金与共同基金主要特征的比较[J].特区经济,2001,(11):23-25.
①2006年,当时的政务司长在一次公开演讲中提到对冲基金占有香港股市成交额的4成。
引用本文
骆惠南, 李作为, 梁健昌. 投资主体结构改变对股市的影响——兼论多空均衡与股市泡沫的预防[J]. 财经研究, 2008, 34(10): 111–122.
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