周伟1,2,谭琳2,丁冰清2.泡沫分析视角下的指数型基金抗风险能力研究[J].审计与经济研究,2017,(5):
泡沫分析视角下的指数型基金抗风险能力研究
  
DOI:
中文关键词:  指数型基金  抗风险能力  LPPL模型  泡沫测度  泡沫破灭  金融市场  金融衍生产品  金融风险  股市泡沫  金融工程  风险管理
英文关键词:index type fund  anti risk ability  LPPL Model  bubble measurement  bubble breaking  financial market  financial derivative products  financial risks  stock market bubbles  financial engineering  risks management
基金项目:
作者单位
周伟1,2,谭琳2,丁冰清2 1. 云南财经大学 金融学院云南 昆明 6502212. 云南财经大学 国际工商学院云南 昆明 650221 
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中文摘要:
      立足泡沫分析视角,研究了金融产品的抗风险能力,选择了能代表某类金融市场的指数型基金,引入了金融物理学中的LPPL模型,进而分别从理论和实证两方面对指数型基金的抗风险能力进行了分析,对金融产品抗风险能力以及金融市场泡沫的相关性与内涵性进行了解释。研究结论表明:我国金融市场的抗风险能力相对较弱,无论是市场指数还是指数基金均存在新一轮泡沫破灭的可能;相比市场指数,指数型基金呈现更加多样的泡沫形式,其抗风险能力相对较强;从泡沫破灭缓冲期对比来看,我国指数型基金抗风险能力优于市场指数。
英文摘要:
      The outbreak of 2007 financial crisis drives more and more economists to pay attention to the anti risk ability of financial products and they are trying to promote the smooth development of finance and economy by strengthening the anti risk ability of financial products.From the perspective of bubble analysis,this paper makes a study of the anti risk ability of financial products by selecting the index type fund typical of a certain financial market and conducts an analysis of the above anti risk ability and then gives an explanation of the relevance and connotation in terms of financial market bubbles theoretically and empirically by introducing the LPPL Model of financial physics.Empirically,on the basis of Shenzhen 100 Fund and Shenzhen 100 Index,we make a measurement of anti risk ability by using LPPL Model under the measurement of bubble classification.The research conclusion shows that Chinas anti risk ability of financial market is relatively weak and there is a possibility of new bubble breaking whether in the market index or in the index fund.Compared with the market index,the index type fund manifests itself in a various bubble forms and its anti risk ability is relatively strong.From the comparison of bubble breaking buffer period,the anti risk ability of Chinas index type fund is better than that of market index.
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