本文選題：機(jī)構(gòu)投資者　切入點(diǎn)：持股比例　出處：《中國(guó)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(biāo)志著我國(guó)規(guī)范股票市場(chǎng)的正式形成。股票市場(chǎng)發(fā)展初期,市場(chǎng)的參與者以個(gè)人投資者為主。由于個(gè)人投資者在經(jīng)驗(yàn)、專業(yè)知識(shí)等方面的不足,他們的投資行為具有明顯的投機(jī)特征,致使市場(chǎng)上充斥著投機(jī)氛圍,為了追求高收益賭博式的交易屢見(jiàn)不鮮。個(gè)人投資者的這些行為導(dǎo)致了股票市場(chǎng)的無(wú)序波動(dòng),使股票市場(chǎng)發(fā)展的初期表現(xiàn)為投機(jī)風(fēng)氣盛行,市場(chǎng)波動(dòng)劇烈。這種環(huán)境下,股票市場(chǎng)并沒(méi)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(gè)人投資者而言,機(jī)構(gòu)投資者一般被認(rèn)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(chǎng)的作用�；谶@種理念,中國(guó)證監(jiān)會(huì)學(xué)習(xí)并借鑒了發(fā)達(dá)國(guó)家資本市場(chǎng)的一些經(jīng)驗(yàn)的基礎(chǔ)上,在2000年提出了“超常規(guī)發(fā)展機(jī)構(gòu)投資者”的戰(zhàn)略,主要為了改善我國(guó)資本市場(chǎng)的投資者結(jié)構(gòu),穩(wěn)定和規(guī)范我國(guó)資本市場(chǎng)。發(fā)展的重要舉措。但在大力發(fā)展機(jī)構(gòu)投資者的初期,由于我國(guó)相關(guān)的法律法規(guī)不完善,監(jiān)管體制不健全,使得機(jī)構(gòu)投資者的違規(guī)操作行為盛行,基金黑幕事件、主力機(jī)構(gòu)坐莊操作行為普遍存在。這種情形下,機(jī)構(gòu)投資者非但沒(méi)有穩(wěn)定股票市場(chǎng),反之加大了我國(guó)股票市場(chǎng)的波動(dòng)性。在經(jīng)過(guò)了多年探索性的發(fā)展與規(guī)范后,如今機(jī)構(gòu)投資者已經(jīng)成為了我國(guó)資本市場(chǎng)上重要的參與者之一,并對(duì)我國(guó)股票市場(chǎng)起到了舉足輕重的作用。在這種背景下,正確認(rèn)識(shí)機(jī)構(gòu)投資者對(duì)于市場(chǎng)的作用對(duì)我國(guó)規(guī)范和穩(wěn)定股票市場(chǎng),促進(jìn)資本市場(chǎng)發(fā)展具有重大意義。雖然國(guó)內(nèi)外關(guān)于機(jī)構(gòu)投資者是否能夠穩(wěn)定股票市場(chǎng)的研究層出不窮,但不論是理論分析還是實(shí)證檢驗(yàn),都沒(méi)有得出一致的結(jié)論。近年來(lái),關(guān)于機(jī)構(gòu)投資者對(duì)于股票市場(chǎng)波動(dòng)性的影響的研究也一直是學(xué)術(shù)界關(guān)注的焦點(diǎn)之一。 由于機(jī)構(gòu)投資者對(duì)于股價(jià)的影響主要通過(guò)其投資行為體現(xiàn),而其投資行為最終的落腳點(diǎn)為其持股行為的變化,所以本文通過(guò)參閱大量國(guó)內(nèi)外相關(guān)文獻(xiàn),學(xué)習(xí)相關(guān)理論及方法,并運(yùn)用這些理論與方法對(duì)我國(guó)股市的波動(dòng)性與機(jī)構(gòu)投資者行為之間的關(guān)系進(jìn)行了分析,以期確定機(jī)構(gòu)投資者行為對(duì)于我國(guó)股票市場(chǎng)股價(jià)波動(dòng)的影響。在理論分析的基礎(chǔ)上,本文廣泛搜集我國(guó)資本市場(chǎng)的相關(guān)數(shù)據(jù),從上證50指數(shù)成分股里選取研究標(biāo)的股票,并選取2006年至2012年的標(biāo)的股票的機(jī)構(gòu)持股比例、市場(chǎng)波動(dòng)率、每股收益、流通A股市值這幾項(xiàng)指標(biāo)對(duì)機(jī)構(gòu)投資者持股比例以及股價(jià)波動(dòng)性之間的關(guān)系進(jìn)行實(shí)證分析。在實(shí)證分析的過(guò)程中,本文考慮到機(jī)構(gòu)持股比例與股價(jià)波動(dòng)之間可能存在內(nèi)生關(guān)系,對(duì)其進(jìn)行了檢驗(yàn),并利用二階段最小二乘法解決內(nèi)生性的問(wèn)題,以求的到更客觀準(zhǔn)確的結(jié)論。此外,為了研究機(jī)構(gòu)投資者在不同的行情下其持股行為對(duì)股價(jià)波動(dòng)的影響是否相同,本文在實(shí)證的最后還分階段分別對(duì)牛市和熊市下二者的關(guān)系進(jìn)行了實(shí)證檢驗(yàn)。最后,根據(jù)實(shí)證分析結(jié)果,本文進(jìn)一步分析了我國(guó)機(jī)構(gòu)投資者存在的問(wèn)題,并對(duì)其未來(lái)發(fā)展提出相應(yīng)的對(duì)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(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 周學(xué)農(nóng);彭丹;;機(jī)構(gòu)投資者對(duì)中國(guó)股市波動(dòng)性影響的實(shí)證研究[J];系統(tǒng)工程;2007年12期

2 宋冬林;畢子男;沈正陽(yáng);;機(jī)構(gòu)投資者與市場(chǎng)波動(dòng)性關(guān)系的研究——基于中國(guó)A股市場(chǎng)的實(shí)證分析[J];經(jīng)濟(jì)科學(xué);2007年03期

3 班耀波,齊春宇;機(jī)構(gòu)投資者:穩(wěn)定市場(chǎng)還是加劇波動(dòng)[J];經(jīng)濟(jì)評(píng)論;2003年06期

4 華民,陸寒寅;經(jīng)理激勵(lì)、信息制造與股市效率[J];經(jīng)濟(jì)研究;2001年05期

5 蔡慶豐;宋友勇;;超常規(guī)發(fā)展的機(jī)構(gòu)投資者能穩(wěn)定市場(chǎng)嗎?——對(duì)我國(guó)基金業(yè)跨越式發(fā)展的反思[J];經(jīng)濟(jì)研究;2010年01期

6 李勝利;;機(jī)構(gòu)投資者股票投資行為與證券市場(chǎng)波動(dòng)實(shí)證研究[J];經(jīng)濟(jì)縱橫;2007年03期

7 李勇;王滿倉(cāng);;信息不對(duì)稱、機(jī)構(gòu)投資者與股價(jià)波動(dòng)率——基于擴(kuò)展CAPM的理論與實(shí)證分析[J];金融評(píng)論;2011年02期

8 祁斌;黃明;陳卓思;;機(jī)構(gòu)投資者與股市波動(dòng)性[J];金融研究;2006年09期

9 盛軍鋒;鄧勇;湯大杰;;中國(guó)機(jī)構(gòu)投資者的市場(chǎng)穩(wěn)定性影響研究[J];金融研究;2008年09期

10 陳國(guó)進(jìn);張貽軍;劉淳;;機(jī)構(gòu)投資者是股市暴漲暴跌的助推器嗎?——來(lái)自上海A股市場(chǎng)的經(jīng)驗(yàn)證據(jù)[J];金融研究;2010年11期

，

本文編號(hào)：1701299