CAJ | 학술논문

文章通过修改GTW模型，从惯性和反转交易策略的角度对我国证券市场上开放式基金与合格境外机构投资者的交易策略选择进行了实证检验，并对实证结果作了动态比较分析。研究发现，这两类机构投资者总体上都采取了惯性交易策略，只是境外投资者的惯性交易策略的程度低于境内投资者。境外机构投资者对稳定市场虽然起到了积极作用，但作用有限。
문장통과수개GTW모형，종관성화반전교역책략적각도대아국증권시장상개방식기금여합격경외궤구투자자적교역책략선택진행료실증검험，병대실증결과작료동태비교분석。연구발현，저량류궤구투자자총체상도채취료관성교역책략，지시경외투자자적관성교역책략적정도저우경내투자자。경외궤구투자자대은정시장수연기도료적겁작용，단작용유한。
Applying the modified GTW model, this paper makes an empirical study on the trading strategy choices of domestic open-end funds and qualified foreign institutional investors （QFII） from the perspective of momentum and contrarian strategy and further analyzes the results from a dynamic comparative view. We find that the institutional investors in our security market generally adopt momentum strategy,while the foreign investors＇ momentum strategy is less obvious than that of domestic investors. Although foreign institutional investors do play a positive role in the stabilization of the market, the positive effect they make is limited.