CAJ | 학술논문

基于中国上海证券交易所的基金指数与综合指数数据，利用协整理论、因果关系与脉冲响应检验、GARCH模型分析了中国证券投资基金与股票市场之间的波动影响关系。结果显示，中国股市与基金市场之间存在着同涨同跌的长期均衡关系；股票市场的波动会对基金市场产生影响，而基金市场的波动对股票市场的影响并不明显，表现出非对称性；股票市场的波动性较基金市场更为强烈，而基金市场受到较大波动影响持续的时间较长。
기우중국상해증권교역소적기금지수여종합지수수거，이용협정이론、인과관계여맥충향응검험、GARCH모형분석료중국증권투자기금여고표시장지간적파동영향관계。결과현시，중국고시여기금시장지간존재착동창동질적장기균형관계；고표시장적파동회대기금시장산생영향，이기금시장적파동대고표시장적영향병불명현，표현출비대칭성；고표시장적파동성교기금시장경위강렬，이기금시장수도교대파동영향지속적시간교장。
The relation of the impact of volatility between the securities investment fund and the stock market in China is analyzed based on the fund index of the Shanghai Stock Exchange （SSE） and using the co - integration theory, granger test and GARCH Model. The research result shows that there is a long balanced relationship of moving together between China＇s stock market and funds market; stock market volatility has an impact on the funds market, but the volatility of the funds market exhibits no obvious impact on the stock market, demonstrating an asymmetric nature. Additionally, the volatility of the stock market is more intensive than the funds market while the greater volatility impact on the funds mar- ket lasts for a longer time.