【摘要】：隨著人口老齡化的加速推進和養(yǎng)老保險基金的不斷積累，養(yǎng)老保險基金的保值增值問題日益引起國民的重視。養(yǎng)老金投資于資本市場是保值增值的一個重要渠道，但也充滿著風險。在金融危機和歐債危機的雙重影響下，我國的養(yǎng)老金在資本市場的投資面臨著前所未有的挑戰(zhàn)。如何既實現(xiàn)養(yǎng)老金的保值增值，又保持養(yǎng)老金的基本安全，降低投資風險，是我們必須正視并亟待解決的問題。本文研究的主要問題也在于此，即我國養(yǎng)老金投資資本市場研究。 文章首先闡述了養(yǎng)老金投資資產(chǎn)配置決策理論和養(yǎng)老金投資績效理論，接著對我國養(yǎng)老金在資本市場上的投資現(xiàn)狀進行了深刻的分析，同時深刻剖析了我國養(yǎng)老金投資資本市場所面臨的主要問題。從總體上來說，我國的養(yǎng)老金投資對資本市場，特別是股票市場的參與程度和影響深度都還比較有限，這主要表現(xiàn)在三個方面：第一，養(yǎng)老金的投資規(guī)模小，總體收益率低；第二，養(yǎng)老金的持股期限短，交易較為頻繁；第三，養(yǎng)老金投資監(jiān)管制度缺位。通過與OECD和非OECD主要國家養(yǎng)老金的投資規(guī)模、投資結構和投資收益率的對比，發(fā)現(xiàn)我國養(yǎng)老金在投資方面面臨諸多問題。論文對智利和韓國的養(yǎng)老金投資管理模式進行了特別分析，發(fā)現(xiàn)韓國在養(yǎng)老金委托經(jīng)營和“走出去”戰(zhàn)略上做得很到位，而智利在五種基金計劃模式推行和投資監(jiān)管體系的優(yōu)化方面效果顯著。這樣對比性的分析旨在對我國養(yǎng)老金投資現(xiàn)狀與資本市場的關系有個全面的認識。同時，本文借助SPSS分析工具對養(yǎng)老金投資股票進行了實證分析，旨在找到適合我國的股票投資比例。實證發(fā)現(xiàn)我國股票投資比例不宜超過40%，30%-40%為合理緩釋比例區(qū)段。此外，借助馬科維茨投資組合理論對我國養(yǎng)老金投資股票的可行性進行了分析，并對我國養(yǎng)老金投資提出政策建議：第一，，做實個人賬戶，充實投資資金，這是養(yǎng)老金個人賬戶資本化的前提，否則“空賬”運行和“養(yǎng)老金隱形債務”的現(xiàn)象將難以避免；第二，建立多種基金投資計劃，將市場機制引入到基本養(yǎng)老保險基金投資管理之中；第三，積極推動基本養(yǎng)老金基金入市，拓寬養(yǎng)老金投資渠道；第四，結合中國國情，借鑒智利Marcel委員會關于多種基金計劃模式的養(yǎng)老金投資監(jiān)管政策；第五，進一步優(yōu)化企業(yè)年金投資管理費設計；第六，優(yōu)化養(yǎng)老金監(jiān)管機構和監(jiān)管職能的設計與協(xié)調(diào)；第七，細化和優(yōu)化養(yǎng)老金數(shù)據(jù)庫；第八，積極探索、創(chuàng)新和豐富養(yǎng)老金投資工具，優(yōu)化養(yǎng)老金投資管理結構。同時，政府應該積極優(yōu)化和適時調(diào)整制度參數(shù)，強化制度里的激勵機制，調(diào)節(jié)制度里的再分配因素，建立養(yǎng)老金債務危機“防火墻”。這些將是我國養(yǎng)老金投資制度設計者們必須重視的方面。 在結論部分，論文指出我國現(xiàn)階段應該適當放開“數(shù)量限制”模式的養(yǎng)老金投資管理方式，拓寬養(yǎng)老金的投資渠道，并逐步和漸進地放松對投資于固定收益之外的金融工具的限制，可以在經(jīng)濟低迷時，探索使用集合投資計劃（CIS）的養(yǎng)老金投資模式。我國養(yǎng)老金對股票投資比例的設置標準可以借鑒和參考智利或者我國社�；鸷推髽I(yè)年金成功的投資管理模式，并積極推動我國基本養(yǎng)老金入駐資本市場，特別是股票市場。此外，我國可以借鑒韓國的養(yǎng)老金投資模式，積極研究和涉足養(yǎng)老金對衍生工具的投資嘗試，委托專業(yè)的投資管理公司積極探索養(yǎng)老金“走出去”的投資戰(zhàn)略，分享海外資本市場發(fā)展帶來的好處，待條件成熟后，逐步過渡到“謹慎人”的監(jiān)管模式。
[Abstract]:With the acceleration of the aging of the population and the continuous accumulation of endowment insurance funds, the problem of increasing and increasing the value of the endowment insurance fund has increasingly aroused the attention of the people. The pension investment in the capital market is an important channel to preserve and increase the value, but it is also full of risks. Under the dual influence of the financial crisis and the European debt crisis, the pension in China is in the country. The investment in the capital market is facing unprecedented challenges. How to maintain and increase the value of the pension, and maintain the basic security of the pension and reduce the risk of investment is a problem that we must face and need to solve. The main problem of this paper is the research on the capital market of pension investment in China.
The paper first expounds the theory of investment asset allocation decision and the theory of pension investment performance, then makes a profound analysis of the current investment status of China's pension in the capital market, and deeply analyzes the main problems facing the investment capital market of China's pension. The capital market, especially the stock market participation degree and the influence depth are still relatively limited, this is mainly manifested in three aspects: first, the pension investment scale is small, the overall return rate is low; second, the pension is short, the transaction is more frequent; third, the pension investment supervision system is absent. Through the OECD and non OECD main. The investment scale of the state pension, the investment structure and the comparison of the rate of return on investment have found many problems in the investment of China's pension. This paper makes a special analysis on the pension investment management model of Chile and South Korea, and finds that South Korea has done very well in the strategy of entrusting the pension and "going out", while Chile has five kinds. The effect of the implementation of the fund plan model and the optimization of the investment supervision system is remarkable. This contrastive analysis aims at a comprehensive understanding of the relationship between the state pension investment status and the capital market. At the same time, this paper makes an empirical analysis of the pension investment stock with the help of the SPSS analysis tool to find the stock investment suitable for our country. It is found that the proportion of stock investment in China should not exceed 40%, 30%-40% is a reasonable slow-release proportion section. In addition, the feasibility of pension investment stock in China is analyzed with the help of Markowitz investment portfolio theory, and the policy suggestions are put forward for China's Pension Investment: first, make a real personal account and enrich the investment funds, which is the support of the pension investment. The premise of capitalization of old gold personal account, otherwise the phenomenon of "empty account" operation and "pension invisible debt" will be difficult to avoid. Second, establish a variety of fund investment plans, introduce market mechanism into the investment management of basic endowment insurance fund; third, actively promote the basic pension fund into the market and broaden the investment channel of pension. Fourth, combined with the national conditions of China, draw on the pension investment supervision policy of the Chilean Marcel Committee on the multi fund plan model; fifth, optimize the design of the investment management fee for the enterprise annuity; sixth, optimize the design and coordination of the pension regulatory and regulatory functions; seventh, refine and optimize the pension database; Eighth, We should actively explore, innovate and enrich the pension investment tools and optimize the management structure of pension investment. At the same time, the government should actively optimize and adjust the system parameters, strengthen the incentive mechanism in the system, adjust the redistribution factors in the system and establish the "anti firewall" of the pension debt crisis. These will be the designer of the pension investment system in China. What we must pay attention to.
In the conclusion part, the paper points out that the pension investment management mode of "quantity restriction" should be loosened properly at the present stage, widening the investment channels of pension, gradually and gradually relaxing the restrictions on financial instruments that invest in the fixed income, and explore the use of CIS for the elderly. We can learn from and refer to the successful investment management model of Chilean or China's social security fund and enterprise annuity, and actively promote the capital market of China's basic pension into the capital market, especially the stock market. In addition, China can draw on the model of Korean pension investment. We have studied and dabbled in the investment attempt of pension to derivatives, and commissioned a professional investment management company to actively explore the investment strategy of "going out" and share the benefits of the development of the overseas capital market. After the conditions are ripe, it is gradually transferred to the "prudent" supervision model.
【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F842.67;F224

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