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基金投资交易活动会对股价产生什么样的影响是关系到我国证券投资基金能否起到稳定市场作用的前提性问题。本文运用协方差分解估计方法弥补公开数据不足的缺陷,对基金投资交易与其所投资股票价格变动关系进行实证研究发现:我国基金投资交易与同期股价变动显著相关;基金交易在过程中对股价形成了流动性压力;基金管理人较其他投资者具有一定信息优势,股价变动包含了基金信息交易因素。研究未发现基金系统地进行正反馈交易的证据。
What kind of impact the fund investment transaction will have on the stock price is a prerequisite problem that relates to whether the securities investment fund plays a stabilizing role in the market. This paper uses the covariance decomposition method to make up for the lack of open data deficiencies, the empirical analysis of the relationship between the fund investment transactions and the changes in the stock price of its investment found that: China’s fund investment transactions and stock price movements was significantly correlated; fund transactions in the process of stock prices formed Liquidity pressure; fund managers have some information advantages over other investors, stock price changes include the fund information transaction factors. The study found no evidence of systematic positive feedback transactions.