作　　者： ; ;

机构地区： 暨南大学经济学院金融学系

出　　处： 《产经评论》 2010年第5期144-152,共9页

摘　　要： 基于修正的GARCH事件模型,本文选取五个关键时间点作为事件窗口,通过事件研究考察机构投资者对我国股市波动的影响。研究发现,机构投资者进入与股权分置改革试点加剧了我国股市的波动性。在上海证券市场上,股权分置改革对股市波动性的影响最大;在深圳证券市场上,开放式基金的进入对股市波动性的影响最大。保险公司的进入对沪深两市波动性的影响最小,发挥着积极的作用。 Based on modified GARCH event model, this paper selects five key time points as event windows and makes an event study about institutional investors＇ influence on the return variability of China＇s Stock Markets. The study shows the entrance of institutional investors and experimentation of split share structure re- form increase return volatility of China＇s Stock Markets. The experimentation of split share structure reform makes a greatest influence on retum volatility in Shenzhen Stock Market. The entrance of open-end fund makes a biggest influence on return volatility in Shanghai Stock Market. The entrance of insurance company makes a smallest influence on return volatility and plays a positive role.

关 键 词： 机构投资者 波动性 事件模型

领　　域： [经济管理]