本文選題：機構(gòu)投資者 + 股票市場波動性��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：自九十年代中國證券市場成立以來,我國證券市場股價波動幅度較大,大量散戶的投機行為以及非理性操作一直被認(rèn)為是我國股市劇烈波動的主要原因。近年來我國政府大力扶持證券投資基金等機構(gòu)投資者的發(fā)展,其出發(fā)點就是希望機構(gòu)投資者能夠成為股票市場的穩(wěn)定器。因此自1998年以來,我國的機構(gòu)投資者得到了迅猛的發(fā)展,其對于股票市場的影響力日益顯現(xiàn)。但是,在機構(gòu)投資者的實際發(fā)展過程中,到底能否對股市起到穩(wěn)定作用一直是輿論爭論的焦點。如何正確認(rèn)識機構(gòu)投資者與股票市場波動性的關(guān)系,對促進機構(gòu)投資者和證券市場的完善發(fā)展是非常必要的,具有重要的理論研究和實際應(yīng)用價值。 本文以金融學(xué)、計量經(jīng)濟學(xué)以及統(tǒng)計學(xué)等學(xué)科理論為指導(dǎo),采用最新的統(tǒng)計數(shù)據(jù),主要研究機構(gòu)投資者與股票市場波動性的相互關(guān)系,以判斷其是否起到了穩(wěn)定股票市場證券價格波動的作用,尋找造成目前局面的內(nèi)在原因并提出相關(guān)的政策建議。 本文首先回顧了近年來國內(nèi)外關(guān)于機構(gòu)投資者與股票市場波動性相互關(guān)系的研究成果,在此基礎(chǔ)上進行實證研究,實證對象為機構(gòu)投資者與整個A股市場全部股票收益率波動的相互關(guān)系,運用自回歸模型和截面數(shù)據(jù)進行回歸分析。研究發(fā)現(xiàn),機構(gòu)投資者偏好持有波動率小的股票,但并沒有起到穩(wěn)定股票市場的作用,反而在一定程度上加劇了股票價格波動。可見,我國的機構(gòu)投資者雖然經(jīng)過多年的發(fā)展,逐漸向規(guī)范性、有效性及市場性發(fā)展,但沒有起到足夠的穩(wěn)定市場的作用。最后,結(jié)合前面的實證研究以及原因分析提出相關(guān)的政策建議。
[Abstract]:Since the establishment of China's securities market in 1990's, the stock price of China's stock market has fluctuated greatly, and the speculative behavior and irrational operation of a large number of retail investors have been regarded as the main reasons for the sharp fluctuation of China's stock market. In recent years, our government has vigorously supported the development of institutional investors such as securities investment funds, the starting point of which is the hope that institutional investors can become a stabilizer of the stock market. Since 1998, institutional investors in China have developed rapidly, and their influence on the stock market has become increasingly apparent. However, in the actual development of institutional investors, whether the stock market can play a stabilizing role has always been the focus of public opinion. How to correctly understand the relationship between institutional investors and the volatility of stock market is very necessary to promote the perfect development of institutional investors and securities market. It has important theoretical research and practical application value. Guided by the theories of finance, econometrics and statistics, this paper mainly studies the relationship between institutional investors and stock market volatility, using the latest statistical data. In order to determine whether it has played the role of stabilizing the stock market stock price fluctuations, to find out the internal causes of the current situation and to put forward relevant policy recommendations. This paper first reviews the research results of the relationship between institutional investors and stock market volatility at home and abroad in recent years, and then carries out empirical research on this basis. The empirical object is the interrelation between institutional investors and the whole A-share market stock return volatility. The autoregressive model and cross-section data are used for regression analysis. The study found that institutional investors prefer to hold stocks with low volatility, but they do not play a stabilizing role in the stock market, on the contrary, they aggravate the volatility of stock prices to a certain extent. It can be seen that the institutional investors in our country, after years of development, gradually to the normative, effective and market-oriented development, but did not play a sufficient role in stabilizing the market. Finally, combined with the previous empirical research and cause analysis, the relevant policy recommendations are put forward.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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