我国股票脆弱性及股价波动关系实证研究——基于A股市场基金投资现金流视角
The Empirical Study of the Relationship between Stock Fragility and Stock Price Volatility ——Based on Fund Cash Flow in Chinese A Share Market
Abstract
股票价格除了受到基本面因素,例如宏观经济因素、公司层面的微观经济因素的影响外,还受到非基本面因素的影响。我们将股票受到与基本面无关的交易需求的波动称为股票脆弱性,如果一只股票易于遭受与基本面无关的需求波动,则该股票就具有较高的脆弱性。证券投资基金作为我国股票市场上占据着重要地位的投资主体,其交易行为会对股票价格产生显著的影响。基金的羊群行为、正反馈交易行为以及由投资现金流驱动的交易都会导致股票脆弱性,进而影响股票价格的波动。现有的研究主要从羊群行为和正反馈交易行为的角度研究基金的交易行为对股票价格波动的影响,本文则从基金的投资现金流驱动的交易需求对股票价格波动影响的角度展开了研究。 利用G... Besides the fundamental factors such as macroeconomic factor and the microeconomic factor of the companies, stock price is also affected by non-fundamental factors. We define stock fragility as the extent to which an asset’s price will be affected by trading demand unrelated to non-fundamental risks. If a stock is susceptible to no-fundamental shifts in demand, then it has a high fragility. Invest...