对冲基金对美国股市的影响及对中国的借鉴被引量：2

The Influence of U.S.Hedge Fund on Stock Market and Guidance for Chinese Stock Market

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摘要从学术界长期以来对对冲基金的研究中可以发现,对冲基金与股票市场的相关性最大,对冲基金的收益、风险与监管三大因素对股市有较大的作用。利用最小二乘法、极大似然估计法与广义矩估计法分别建模,研究了三大因素对美国股市的影响,结果发现,三大因素与美国股市收益均呈现负相关性。同时,这些研究对我国当前股市的发展具有一定的借鉴意义。 Based on academic studies, hedge fund has significant influences on stock market. There are three factors including return, risk and regulation of U.S. hedge funds have smoothing effect on stock index. This paper analyzes the influence of these three factors on stock market by regression model of OLS, ML and GMM. We come to the conclusion that there is negative correlation between three factors and U.S stock market. This research also gives references to Chinese regulators and participants.

作者李锦成

机构地区中国社会科学院数量经济与技术经济研究所

出处《山西财经大学学报》 CSSCI 北大核心 2014年第5期31-42,共12页 Journal of Shanxi University of Finance and Economics

关键词对冲基金标普500指数票市场 hedge fund S＆P 500 index stock market

分类号 F831.5 [经济管理—金融学]

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