管理评论

›› 2012, Vol. 24 ›› Issue (2): 53-58.

• 风险管理与系统工程专题 • 上一篇    下一篇

基金规模与市场波动的模拟实验研究

王立民1 ,曹诗男2 ,黄文超1   

  1. 1.北京科技大学东凌经济管理学院，北京 100083；2. 中国人民大学财政金融学院，北京100872
  • 收稿日期:2012-06-19 修回日期:2012-06-19 出版日期:2012-02-25 发布日期:2012-06-20

Simulation Experiment Research on Fund Size and Market Volatility

  1. 1.Dongling School of Economics and Management, University of Science and Technology Beijing, Beijing 10083; 2.The School of Finance of Renmin University of China, Beijing 100872
  • Received:2012-06-19 Revised:2012-06-19 Online:2012-02-25 Published:2012-06-20

摘要： 本文采用真人被试的金融实验方法，研究了模拟基金的规模与股价波动的关系。我们进行了四次对比实验，发现由资产规模不同的模拟基金构成的市场波动性较大，而由资产规模相同的基金构成的市场波动性较小，其价格方差相差362倍。还模拟了市场如有超大规模基金存在的情况，发现它很容易给市场带来更大的波动。根据研究结论，建议可通过调节基金规模结构改善市场的稳定性，如有超大规模基金存在，应该防止其操纵市场行为。

关键词: 基金规模, 市场波动, 金融实验

Abstract: This paper adopts behavioral simulation experiments with the real people to study the relationship between fund size and stock price volatility. The results of four contrasted experiments show that the volatility of market which consists of funds with different capital sizes is much larger than the market which consists of funds with same capital size, and the difference of price variance between the two markets reaches 362 times. We also simulate the circumstance in which the market has a superfund, and the results show that the superfund leads to greater volatility. Based on the conclusion, we advise that the stability of the market can be adjusted by controlling the distribution of fund size. Once the superfund exists, we should take measures to prevent it from manipulating the market.

Key words: fund size, market volatility, financial experiment