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采集2004-2015年的季度数据,运用结构向量自回归模型(SVAR)研究基金市场结构、市场利率与股票指数的相互关系。结果发现,偏债型基金的市场份额少,相对稳定;偏股型基金与货币市场基金的占比起伏较大,此消彼长;市场利率是股票指数与偏股型基金的格兰杰原因,后两者互为格兰杰因果关系;偏股型基金占比、当期市场利率均对股票指数水平有十分显著的正向影响,当期股指也显著正向影响到偏股型基金占比;利率提高与偏股型基金占比提高,下一季度股市下跌。我国有必要引导偏股型基金进行价值投资和长线投资,基金公司要注重偏股型基金的差异化发展,强化主题化投资,借力于互联网技术扩大销售。
The quarterly data from 2004 to 2015 were collected. The structure of fund market, the relationship between market interest rate and stock index were studied by using the structure vector autoregressive model (SVAR). The results showed that the market share of partial debt funds is relatively small and relatively stable; the proportion of partial stock funds and money market funds fluctuates greatly; the market interest rate is the Granger reason of stock index and partial stock funds , The latter two each other Granger causality; the proportion of partial stock funds, the current market interest rates have a significant positive impact on the stock index level, the current stock index also significantly positively affect the proportion of partial stock funds; Higher interest rates and partial stock funds increased, the next quarter, the stock market fell. It is necessary for our country to guide the partial stock funds to invest in value and long-term investment. The fund companies should pay attention to the differentiated development of partial stock funds, strengthen the thematic investment and leveraging on the Internet technology to expand sales.