本文選題：機構投資者 + 流動性約束��； 參考：《鄭州大學》2012年碩士論文

【摘要】：目前,我國機構投資者的投資行為大多是基于委托—代理關系的集合投資行為,這就決定了機構投資者的資金流動不確定性強,也必然使其自身的投資行為受制于資金層面的流動性約束。為了能更好地應對隨時可能出現(xiàn)的資金支出需求,機構投資者會更加追求短期的投資收益,并主動或被動地改變自己原有的投資計劃和策略。本文研究的重點是流動性約束如何影響機構投資者的投資行為以及在不同的市場狀況下基于流動性約束的機構投資者投資行為的特征。 本文首先總結(jié)歸納了不同層面的流動性的概念,在此基礎上給出了機構投資者流動性約束的定義,進而分析了機構投資者流動性約束的形成機理。隨后,從行為金融學的角度出發(fā),探討了流動性約束對機構投資者投資行為在三個方面的影響,并分別在牛市和熊市兩種不同的市況下,分析了基于流動性約束的機構投資者投資行為的特征,得出了以下結(jié)論：在牛市中,基于流動性約束的機構投資者會實施反轉(zhuǎn)行為打壓股價,使其有能力進行下一輪的動量行為拉升股價而獲利,反復進行波段操作,并在波段操作的過程中實現(xiàn)調(diào)倉換股,并最終形成處置效應。在熊市中,基于流動性約束的機構投資者仍然會通過不斷反復的反轉(zhuǎn)行為和動量行為進行波段操作、調(diào)倉換股,機構投資者之間會相互協(xié)作、抱團取暖,但也會基于同行競爭和業(yè)績排名的壓力進行捕食性交易。此外,文章通過構建數(shù)學模型具體描述了基于流動性約束的機構投資者之間的“捕食”交易行為,并采用實證分析的方法進一步證實了理論部分的結(jié)論。最后,文章提出了一些政策建議,旨在加強對機構投資者的監(jiān)管力度,提高機構投資者的流動性風險管理水平,培育全面、理性的機構投資者,促進我國資本市場的健康發(fā)展。
[Abstract]:At present, most of the investment behavior of institutional investors in our country is based on the aggregate investment behavior based on the principal-agent relationship, which determines that the institutional investors have a strong liquidity uncertainty, and the investment behavior of the institutional investors is bound to be constrained by the liquidity constraints at the capital level. The focus of this paper is how liquidity constraints affect the investment behavior of institutional investors and the characteristics of institutional investors' investment behavior based on liquidity constraints in different market conditions.
This paper first summarizes the concept of liquidity in different levels, and then gives the definition of liquidity constraints for institutional investors, and then analyzes the formation mechanism of liquidity constraints of institutional investors. Then, from the perspective of behavioral finance, this paper discusses the three aspects of liquidity constraints on institutional investors' investment behavior. Under the two different market conditions of the bull market and the bear market, the characteristics of institutional investors' investment behavior based on liquidity constraints are analyzed. The following conclusions are drawn: in the bull market, institutional investors based on liquidity constraints will carry out reverse behavior to press the stock price, so that they have the ability to carry on the next round of momentum behavior to lift the stock price. In a bear market, institutional investors, based on liquidity constraints, will continue to operate through repeated reversals and momentum behavior in a bear market, transfer stocks and swap stocks, and the institutional investors will cooperate with each other to warm up in a bear market. In addition, the article describes the "predatory" trading behavior between institutional investors based on liquidity constraints by building a mathematical model, and further confirms the conclusion of the theoretical part by the method of empirical analysis. Finally, the article puts forward some of the conclusions. The policy suggestion is to strengthen the supervision of institutional investors, improve the level of liquidity risk management of institutional investors, cultivate comprehensive and rational institutional investors, and promote the healthy development of the capital market in China.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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