A Market Test of the Funds Investment Behavior:Empirical Study Based on the Biggest Institutional Investor of China Stock Market
In the unique institution background of China stock market, the fund holdings are high similarity. The authors make the empirical study of the fund top 10 heavily holdings in China from 2001 to 2003. Then find the fund as the biggest institutional investor of China stock market really increases the liquidity and return of stock holdings and decreases the volatility of stock holdings. But because the high concentration of funds top 10 heavily holdings, the liquidity risk of stocks has appeared. On the other hand the authors find in the big rising days the funds sold their stocks, in the big falling days the funds sustained their stock prices. Then we can see in the big trading days China funds performed inversely compared with United State mutual funds. China funds used negative feedback trading strategy but really decreased the volatility of the stock market. Based on institution structure of China stock market, the authors think the funds had no choice but to invest like this.
fund investment behavior institution investor empirical study
姚颐 刘志远
南开大学国际商学院,天津,300071
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）