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oaioai:dspace.xmu.edu.cn:2288/14473

套利者的一致售卖与股市崩溃

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Publication date
1 February 2012
Publisher
广东金融学院学报编辑部

Abstract

在现有研究基础上,将套利者的售卖压力内生化,探讨套利者一致售卖和股市崩溃的关系。结果显示,反馈交易者影响套利者骑乘泡沫的时间,但并不影响崩溃的时间。对topview投资者日持股数据进行的分析表明,机构投资者不仅骑在泡沫上,而且其提前售卖与2007年上海股市崩溃密切相关。这对正确认识机构投资者作用和市场监管具有重要启示。国家自然科学基金(71071132);南京审计学院人才引进项目(NSRC11014

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Xiamen University Institutional Repository

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This paper was published in Xiamen University Institutional Repository.

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