我国开放式证券投资基金与QFII行为比较研究——基于交易策略视角的实证研究
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财经研究 2008 年 第 34 卷第 03 期, 页码：74 - 81
摘要
参考文献
摘要
文章通过修改GTW模型,从惯性和反转交易策略的角度对我国证券市场上开放式基金与合格境外机构投资者的交易策略选择进行了实证检验,并对实证结果作了动态比较分析。研究发现,这两类机构投资者总体上都采取了惯性交易策略,只是境外投资者的惯性交易策略的程度低于境内投资者。境外机构投资者对稳定市场虽然起到了积极作用,但作用有限。
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[3]林丽,孙立.QFII投资中国内地证券市场的实证分析[J].金融研究,2006,(7):123-133.
[4]吴世农,吴育辉.我国证券投资基金重仓持有股票的市场行为研究[J].经济研究,2003,(10):50-58.
[5]谢赤,禹湘,周晖.证券投资基金惯性反转投资行为实证研究[J].财经研究,2006,(10):26-34.
[6]Choe Hyuk Kho,Bong Chan,Stulz RenéM.Do foreign investors destabilize stock mar-kets?[R].The Korean Experience in 1997,1998.
[7]Grinblatt Mark,Titman Sheridan,Wermers Russ.Momentum investment strategies,portfolio performance and herding:A study of mutual fund behavior[J].American Eco-nomic Review,1995,85(5):1088-1105.
[8]Grinblatt Mark,Keloharju Matti.The investment behavior and performance of variousinvestor types:A study of finland’s unique data set[J].Journal of Financial Economics,2000,55(1):43-67.
[9]Lakonishok J,Shleifer A,Vishny Robert W.The impact of institutional trading on stockprice[J].Journal of Financial Economics,1992,82:23-43.
[10]Nofsinger John R,Sias Richard W.Herding and feedback trading by institutional andindividual investors[J].The Journal of Finance,1999,54(6):2263-2295.
[11]Pinnuck Matt.Stock preferences and derivative activities of australian fund managers[J].Accounting and Finance,2004,44:97-120.
[12]Sunstein Cass R,Kahneman Daniel,Schkade David.Assessing punitive damages(Withnotes on cognition and valuation in law)[J].The Yale Law Journal,1998,107(7):2071-2153.
[13]Tversky Amos,Slovic Paul,Kahneman Daniel.The causes of preference reversal[J].The American Economic Review,1990,80(1):204-217.
[14]Wermers R.Mutual fund herding and the impact on stock price[R].Working Paper ofColorado University,1998.
引用本文
李学峰, 张舰, 茅勇峰. 我国开放式证券投资基金与QFII行为比较研究——基于交易策略视角的实证研究[J]. 财经研究, 2008, 34(3): 74–81.
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