基金激励机制的变化对股市波动的影响研究
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引用本文:彭耿,刘芳.基金激励机制的变化对股市波动的影响研究[J].财经理论与实践,2012,(4):53-56
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作者单位
彭耿,刘芳 (吉首大学 商学院湖南 吉首416000) 
中文摘要:依据中国基金激励机制经历的四个阶段,将1998年4月7日~2011年6月30日分成四个时间段。采用EGARCH-M模型并引入虚拟变量对不同时间段的激励机制进行比较研究,发现在中国基金市场中,固定比率的管理费激励机制对股市波动的影响最小。因此,从股市稳定的角度来说,中国基金市场应采取固定比率的管理费激励机制。
中文关键词:基金  激励机制  股市波动  EGARCH-M模型
 
Impact of the Changes of Fund Incentives on Stock Market Volatility
Abstract:The period from April 7, 1998 to June 30, 2011 is divided into four stages according to the changes of the fund incentives. EGARCH model and dummy variables are introduced to compare the differences of the fund incentives. It is found that the fixed ratio of mutual fund fee is the incentives with the smallest effects on the stock market volatility. So, this kind of incentive should be used in the fund market to keep the stableness of the stock market.
keywords:Fund  Incentive mechanism  Stock market volatility  EGARCH M model
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