本文選題：機(jī)構(gòu)投資者 + 股票市場效率��； 參考：《長沙理工大學(xué)》2012年碩士論文

【摘要】：本文首先回顧了機(jī)構(gòu)投資者在我國的發(fā)展歷程和股票市場效率及其測度方法的相關(guān)理論。從威斯特和惕尼克關(guān)于股票市場效率的研究理論角度出發(fā)，將股票市場效率分為外部效率和內(nèi)部效率，，即運(yùn)營效率和信息效率，全面系統(tǒng)地對(duì)機(jī)構(gòu)投資者對(duì)我國股票市場效率的關(guān)系做了理論分析，發(fā)現(xiàn)機(jī)構(gòu)投資者的參與有利于促進(jìn)我國股票市場運(yùn)營效率的提高。同時(shí)，本文用上市公司市值，股票的季度收益率，股票的日收益率標(biāo)準(zhǔn)差和所持股票的市值占上市公司流通總市值的比重建立了兩個(gè)面板數(shù)據(jù)模型，運(yùn)用Matlab7.3和Eviews6.0對(duì)2001年-2010年基金持股前100位的100只股票的季度數(shù)據(jù)實(shí)證分析了基金持股比重情況和基金持股比重的變動(dòng)對(duì)上市公司股價(jià)定價(jià)效率的影響，并發(fā)現(xiàn)其市值的系數(shù)均為負(fù)數(shù)。這說明市值越大的公司，其股票的定價(jià)效率越低。在控制了上市公司規(guī)模、流動(dòng)性狀況和個(gè)股波動(dòng)率的影響后，國內(nèi)基金仍然扮演著降低市場定價(jià)效率的負(fù)面角色。機(jī)構(gòu)投資者自身的專業(yè)化程度，規(guī)模信息優(yōu)勢(shì)，本應(yīng)該對(duì)股票市場效率的促進(jìn)發(fā)揮積極作用，但實(shí)證結(jié)果卻與我們的預(yù)期背道而馳。究其原因我們發(fā)現(xiàn)機(jī)構(gòu)投資者一個(gè)重大的問題在于其代理投資制度。作為一種代理投資制度，投資者和基金經(jīng)理之間的激勵(lì)不相容和信息不對(duì)稱容易引發(fā)后者的道德風(fēng)險(xiǎn)行為。作為代理人的基金經(jīng)理在投資決策中往往更多地是追求自身的效用最大化，而偏離委托人的財(cái)富最大化目標(biāo)。文章最后基于機(jī)構(gòu)投資者與股票市場的關(guān)系，提出了提升股票市場效率的相關(guān)政策建議。
[Abstract]:This paper first reviews the development history of institutional investors in China and the relevant theories of stock market efficiency and its measurement methods.From the point of view of Wester and Timnick's research on stock market efficiency, the stock market efficiency is divided into external efficiency and internal efficiency, that is, operational efficiency and information efficiency.This paper makes a comprehensive and systematic analysis of the relationship between institutional investors and the efficiency of China's stock market, and finds that the participation of institutional investors is conducive to the improvement of the operational efficiency of China's stock market.At the same time, this paper sets up two panel data models using market value, the quarterly return rate of stock, the standard deviation of daily yield of stock and the proportion of the stock in the circulation of listed company.Based on the quarterly data of the top 100 stocks held by the fund from 2001 to 2010, Matlab7.3 and Eviews6.0 are used to analyze the effect of the fund holding ratio and the change of the fund holding proportion on the pricing efficiency of the listed companies.It is also found that the coefficients of market value are all negative.This shows market value the bigger the company, its stock pricing efficiency is lower.After controlling the size of listed companies, liquidity and volatility of individual stocks, domestic funds still play a negative role in reducing market pricing efficiency.The degree of specialization and the advantage of scale information of institutional investors should play an active role in promoting the efficiency of the stock market, but the empirical results run counter to our expectations.The reason why we find institutional investors a major problem is its agency investment system.As a kind of agency investment system, the incentive incompatibility and information asymmetry between investors and fund managers can easily lead to the moral hazard behavior of the latter.Fund managers as agents tend to pursue their own utility maximization and deviate from the clients' wealth maximization goals in investment decisions.Finally, based on the relationship between institutional investors and stock market, the paper puts forward some policy suggestions to improve the efficiency of stock market.
【學(xué)位授予單位】：長沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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