基于內(nèi)生性視角的機構(gòu)持股對股價波動影響的實證研究
本文選題:機構(gòu)投資者 切入點:持股比例 出處:《中國海洋大學(xué)》2013年碩士論文
【摘要】:1990年12月19日上海證券交易所的成立和1991年7月10日深圳證券交易所的成立,標志著我國規(guī)范股票市場的正式形成。股票市場發(fā)展初期,市場的參與者以個人投資者為主。由于個人投資者在經(jīng)驗、專業(yè)知識等方面的不足,他們的投資行為具有明顯的投機特征,致使市場上充斥著投機氛圍,為了追求高收益賭博式的交易屢見不鮮。個人投資者的這些行為導(dǎo)致了股票市場的無序波動,使股票市場發(fā)展的初期表現(xiàn)為投機風(fēng)氣盛行,市場波動劇烈。這種環(huán)境下,股票市場并沒有起到應(yīng)有的提供融資渠道、優(yōu)化資源配置的作用。 相比個人投資者而言,機構(gòu)投資者一般被認為具有更高效的信息渠道以及更專業(yè)的分析能力,因而在投資行為上更為理性,一定程度上可以起到穩(wěn)定股票市場的作用;谶@種理念,中國證監(jiān)會學(xué)習(xí)并借鑒了發(fā)達國家資本市場的一些經(jīng)驗的基礎(chǔ)上,在2000年提出了“超常規(guī)發(fā)展機構(gòu)投資者”的戰(zhàn)略,主要為了改善我國資本市場的投資者結(jié)構(gòu),穩(wěn)定和規(guī)范我國資本市場。發(fā)展的重要舉措。但在大力發(fā)展機構(gòu)投資者的初期,由于我國相關(guān)的法律法規(guī)不完善,監(jiān)管體制不健全,使得機構(gòu)投資者的違規(guī)操作行為盛行,基金黑幕事件、主力機構(gòu)坐莊操作行為普遍存在。這種情形下,機構(gòu)投資者非但沒有穩(wěn)定股票市場,反之加大了我國股票市場的波動性。在經(jīng)過了多年探索性的發(fā)展與規(guī)范后,如今機構(gòu)投資者已經(jīng)成為了我國資本市場上重要的參與者之一,并對我國股票市場起到了舉足輕重的作用。在這種背景下,正確認識機構(gòu)投資者對于市場的作用對我國規(guī)范和穩(wěn)定股票市場,促進資本市場發(fā)展具有重大意義。雖然國內(nèi)外關(guān)于機構(gòu)投資者是否能夠穩(wěn)定股票市場的研究層出不窮,但不論是理論分析還是實證檢驗,都沒有得出一致的結(jié)論。近年來,關(guān)于機構(gòu)投資者對于股票市場波動性的影響的研究也一直是學(xué)術(shù)界關(guān)注的焦點之一。 由于機構(gòu)投資者對于股價的影響主要通過其投資行為體現(xiàn),而其投資行為最終的落腳點為其持股行為的變化,所以本文通過參閱大量國內(nèi)外相關(guān)文獻,學(xué)習(xí)相關(guān)理論及方法,并運用這些理論與方法對我國股市的波動性與機構(gòu)投資者行為之間的關(guān)系進行了分析,以期確定機構(gòu)投資者行為對于我國股票市場股價波動的影響。在理論分析的基礎(chǔ)上,本文廣泛搜集我國資本市場的相關(guān)數(shù)據(jù),從上證50指數(shù)成分股里選取研究標的股票,并選取2006年至2012年的標的股票的機構(gòu)持股比例、市場波動率、每股收益、流通A股市值這幾項指標對機構(gòu)投資者持股比例以及股價波動性之間的關(guān)系進行實證分析。在實證分析的過程中,本文考慮到機構(gòu)持股比例與股價波動之間可能存在內(nèi)生關(guān)系,對其進行了檢驗,并利用二階段最小二乘法解決內(nèi)生性的問題,以求的到更客觀準確的結(jié)論。此外,為了研究機構(gòu)投資者在不同的行情下其持股行為對股價波動的影響是否相同,本文在實證的最后還分階段分別對牛市和熊市下二者的關(guān)系進行了實證檢驗。最后,根據(jù)實證分析結(jié)果,本文進一步分析了我國機構(gòu)投資者存在的問題,并對其未來發(fā)展提出相應(yīng)的對策建議。
[Abstract]:In December 19, 1990 the establishment of the Shanghai stock exchange and Shenzhen stock exchange in July 10, 1991 was established, marking the official formation of China's stock market norms. The early development of the stock market, the market participants are dominated by individual investors. Because individual investors in the experience, lack of professional knowledge and other aspects of their investment behavior has the obvious characteristics of the resulting market speculation. Full of speculative atmosphere, in the pursuit of high profit gambling transactions. It is often seen. individual investors of these behaviors lead to disorderly fluctuations in the stock market, the stock market development for the initial presentation of speculation is rampant and the market volatility. This kind of environment, the stock market is not due to provide financing channels, optimize resources the configuration of the role.
Compared with individual investors, institutional investors are generally believed to have more efficient channels of information and analysis of more professional ability, thus in the investment behavior is more rational, to a certain extent, can play a role in stabilizing the stock market. Based on this concept, China SFC based learning and some experience in capital market in developed countries. In 2000, proposed the "extraordinary development of institutional investors" strategy, mainly in order to improve the structure of China's capital market investors, stabilize and regulate the capital market in China. An important measure of development. But in the early development of institutional investors, due to China's relevant laws and regulations are not perfect, the regulatory system is not perfect. The illegal behavior of institutional investors in funds, shady events, widespread Zuozhuang operation behavior main body. In this case, institutional investors not only Without the stability of the stock market, and increase the volatility of the stock market of our country. After years of exploration and development of normative, institutional investors now has become one of the important participants in the capital market, and the stock market in China has played an important role. In this context, the correct understanding of institutional investors for the role of the market in our country regulate and stabilize the stock market, is of great significance to promote the development of capital market. Although the domestic and foreign research on whether institutional investors can stabilize the stock market, but whether the theoretical analysis emerge in an endless stream, or the empirical test, did not reach a unanimous conclusion. In recent years, the research on institutional investors for the stock market the volatility of the influence has also been the focus of the academic community.
Due to institutional investors for shares mainly by the influence of the investment behavior and investment behavior reflects the foothold for the ultimate holding behavior changes, so this paper through a large number of domestic and foreign literature, learning theory and methods, and the relationship between these theories and methods of China's stock market volatility and the behavior of institutional investors are analyzed, in order to determine the effect of institutional investors behavior in Chinese stock market price fluctuation. On the basis of theoretical analysis, the extensive collection of relevant data of China's capital market, selection of underlying stocks from the Shanghai 50 index from 2006 to 2012, and the underlying stock proportion of institutional ownership, market volatility, earnings per share, the indicators of A shares in circulation market value of empirical study on the relationship between the proportion of institutional investors and stock price volatility Analysis. In the process of empirical analysis, this paper according to the proportion of institutional ownership and stock price volatility may be endogenous, tested, and solve the endogeneity problem using two stage least squares method, in order to more objective and accurate conclusions. In addition, in order to investigate the influence of institutional investors in different market the holding behavior on the volatility of stock price is the same, in the last stages of the empirical relationship of bull and bear two empirically. Finally, according to the results of empirical analysis, this paper further analyzes the existing problems of China's institutional investors, and the future development put forward the corresponding countermeasures.
【學(xué)位授予單位】:中國海洋大學(xué)
【學(xué)位級別】:碩士
【學(xué)位授予年份】:2013
【分類號】:F832.51;F224
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