本文選題：資本市場(chǎng)周期性　切入點(diǎn)：壽險(xiǎn)業(yè)　出處：《山東大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：保險(xiǎn)公司作為機(jī)構(gòu)投資者之一是資本市場(chǎng)最重要的參與者,同時(shí)與資本市場(chǎng)構(gòu)成金融體系的重要組成部分。壽險(xiǎn)公司是兼具經(jīng)濟(jì)保障功能和金融服務(wù)功能的重要金融機(jī)構(gòu)。伴隨著金融全球一體化發(fā)展趨勢(shì),壽險(xiǎn)業(yè)在產(chǎn)品、服務(wù)與組織結(jié)構(gòu)等方面不斷創(chuàng)新。壽險(xiǎn)產(chǎn)品的創(chuàng)新發(fā)展以及壽險(xiǎn)服務(wù)多樣性的擴(kuò)展,使其作為金融服務(wù)機(jī)構(gòu)的功能不斷增強(qiáng),保險(xiǎn)公司成為資本市場(chǎng)中最大且最有影響力的機(jī)構(gòu)投資者之一,這對(duì)壽險(xiǎn)投資提出了更高的要求,壽險(xiǎn)投資已經(jīng)成為壽險(xiǎn)業(yè)中與承保業(yè)務(wù)并重的一項(xiàng)重要活動(dòng),以至于在保險(xiǎn)業(yè)發(fā)達(dá)的國(guó)家和地區(qū),壽險(xiǎn)投資逐漸成為彌補(bǔ)承保業(yè)務(wù)虧損和創(chuàng)造利潤(rùn)的支柱。 目前中國(guó)上市公司整體效益和給股東的投資回報(bào)持續(xù)下降、給投資者帶來(lái)很大的風(fēng)險(xiǎn)以至于損失。這種不正常的現(xiàn)象長(zhǎng)期存在的原因之一就在于中國(guó)資本市場(chǎng)的投資者結(jié)構(gòu)過(guò)于分散、機(jī)構(gòu)投資者過(guò)少,散戶占絕對(duì)優(yōu)勢(shì),帶來(lái)市場(chǎng)過(guò)度波動(dòng)。因此,為了促進(jìn)資本市場(chǎng)的發(fā)展和成熟,必須大力培育機(jī)構(gòu)投資者,壽險(xiǎn)業(yè)就是其中重要的一員,資本市場(chǎng)的盡快完善也需要壽險(xiǎn)業(yè)的參與和支持。 本文在對(duì)資本市場(chǎng)波動(dòng)周期理論與壽險(xiǎn)投資策略研究成果進(jìn)行了梳理的基礎(chǔ)上；描述了我國(guó)壽險(xiǎn)資金運(yùn)用與投資結(jié)構(gòu)現(xiàn)狀,比較英美日發(fā)達(dá)國(guó)家壽險(xiǎn)投資結(jié)構(gòu)與收益狀況,探析我國(guó)壽險(xiǎn)資金運(yùn)用與投資策略；利用HP濾波分析方法分別選取市盈率和全A股市值月度數(shù)據(jù)探測(cè)中國(guó)資本市場(chǎng)波動(dòng)周期的有無(wú)并量化其大小；對(duì)1999年到2012年中國(guó)壽險(xiǎn)資金(保費(fèi)、賠付、營(yíng)運(yùn)管理費(fèi))與同期中國(guó)全A股資本市場(chǎng)市值波動(dòng)序列進(jìn)行向量自回歸(VAR)分析,實(shí)證檢驗(yàn)了中國(guó)資本市場(chǎng)周期性波動(dòng)與壽險(xiǎn)資金之間的動(dòng)態(tài)因果關(guān)系,根據(jù)實(shí)證分析結(jié)果,討論中國(guó)資本市場(chǎng)周期波動(dòng)規(guī)律對(duì)壽險(xiǎn)資金的影響,最后總結(jié)研究結(jié)論提出可行性的政策建議。 本文可能的創(chuàng)新之處在于,在分析方法上,使用了先進(jìn)的計(jì)量經(jīng)濟(jì)學(xué)方法,選取市盈率和全A股市值兩個(gè)不同指標(biāo),通過(guò)HP濾波分析方法分別探測(cè)中國(guó)資本市場(chǎng)波動(dòng)周期的有無(wú),并量化其大小。建立了向量自回歸(VAR)模型,從定量的角度實(shí)證研究資本市場(chǎng)周期波動(dòng)對(duì)壽險(xiǎn)投資的影響,并通過(guò)脈沖響應(yīng)分析考察各變量對(duì)沖擊響應(yīng)的方向與時(shí)滯效應(yīng)。在指標(biāo)選擇與數(shù)據(jù)來(lái)源方面,樣本跨度期間長(zhǎng),數(shù)據(jù)的時(shí)效性較強(qiáng)。但是由于受壽險(xiǎn)投資相關(guān)數(shù)據(jù)的限制,加之我國(guó)壽險(xiǎn)行業(yè)起步較晚等客觀原因,導(dǎo)致本文在數(shù)據(jù)的運(yùn)用上不夠完善,對(duì)分析結(jié)果造成一定影響。
[Abstract]:As one of the institutional investors, insurance companies are the most important participants in the capital market. At the same time, the capital market constitutes an important part of the financial system. Life insurance companies are important financial institutions with both the function of economic security and the function of financial services. The innovation of life insurance products and the expansion of the diversity of life insurance services make its function as a financial service institution continuously enhanced. Insurance companies have become one of the largest and most influential institutional investors in the capital market, which puts forward higher requirements for life insurance investment, which has become an important activity in the life insurance industry as well as the underwriting business. Even in the developed countries and regions of insurance, life insurance investment has gradually become the mainstay of making up the loss of underwriting business and creating profits. At present, the overall efficiency of Chinese listed companies and the return on investment to shareholders continue to decline. One of the reasons for this anomaly is that the investor structure in China's capital markets is too fragmented, that there are too few institutional investors, and that retail investors have an absolute advantage. Therefore, in order to promote the development and maturity of the capital market, institutional investors must be cultivated and the life insurance industry is one of the important members, and the perfection of the capital market also needs the participation and support of the life insurance industry. On the basis of combing the theory of fluctuation cycle of capital market and the research results of life insurance investment strategy, this paper describes the present situation of life insurance fund utilization and investment structure in China, and compares the investment structure and income situation of life insurance in Anglo-American and Japanese developed countries. This paper probes into the utilization and investment strategy of life insurance funds in China, selects the monthly data of price / earnings ratio and market value of all A shares by HP filter analysis method to detect whether there is a merger or not in the fluctuation cycle of China's capital market. From 1999 to 2012, Chinese life insurance fund (insurance premium, indemnity, operating management fee) and market value volatility series of Chinese A-share capital market in the same period were analyzed by vector autoregressive regression (VAR). This paper examines the dynamic causality between the cyclical fluctuations of Chinese capital market and life insurance funds. According to the empirical analysis results, this paper discusses the influence of the law of periodic fluctuation of Chinese capital market on life insurance funds. Finally, the conclusion of the study put forward feasible policy recommendations. The possible innovation of this paper lies in the use of advanced econometric methods to select two different indexes, namely, price-earnings ratio and market value, in the analysis method. HP filter analysis method is used to detect and quantify the volatility cycle of Chinese capital market. A vector autoregressive (VAR) model is established to empirically study the impact of capital market cycle fluctuation on life insurance investment from a quantitative point of view. Through impulse response analysis, the direction and time delay effect of each variable to impact response are investigated. In the aspect of index selection and data source, the sample span is long and the time effect of data is strong. However, due to the limitation of life insurance investment related data, In addition, due to the late start of life insurance industry in our country, the application of the data in this paper is not perfect enough, which has a certain impact on the results of the analysis.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F842.62;F832.51

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