本文選題：社保基金 + 商業(yè)保險資金�。� 參考：《廣西大學(xué)》2017年碩士論文

【摘要】：社�；鸷蜕虡I(yè)保險資金分別于2003年和2005年正式開始進行A股投資。近年來,隨著社�；鸷蜕虡I(yè)保險資金在A股市場的資金量不斷增長,兩者對于其他機構(gòu)投資者和個人投資者的影響力也在不斷加強,一舉一動都備受市場矚目。社�；鸷蜕虡I(yè)保險資金在本質(zhì)上同為險資,投資理念又多有相似之處,因此常常成為被同時提及的兩類機構(gòu)投資者。然而社�；鸷蜕虡I(yè)保險資金在A股市場的具體資產(chǎn)配置又有何相似之處和不同呢?本文正是基于該問題對社保基金和商業(yè)保險資金的A股投資組合進行研究。本文選取社保基金和商業(yè)保險資金2005年中報至2016年三季報共46個報告期的季末持股數(shù)據(jù)分別對兩者的配置特征和穩(wěn)定性進行比較研究。其中配置特征包括行業(yè)、β系數(shù)和市盈率,穩(wěn)定性分為持有期穩(wěn)定性和重倉股穩(wěn)定性。本文的比較研究是從社保基金和商業(yè)保險資金A股投資組合的整體情況展開的,旨在對兩者的異同進行系統(tǒng)分析并據(jù)此獲得關(guān)于兩者應(yīng)如何改進自身投資組合以使其符合各自投資理念的啟發(fā)。本文主要由五章構(gòu)成:第一章節(jié)為緒論,主要對本文的研究背景及意義、相關(guān)文獻和研究成果、采取的研究方案及創(chuàng)新與不足進行了闡述;第二章節(jié)詳細介紹了社保基金與商業(yè)保險資金在A股市場的投資概況,為后兩章比較研究兩者A股投資組合的配置特征及穩(wěn)定性打下良好的基礎(chǔ);第三章節(jié)選取了行業(yè)、β系數(shù)和市盈率三個重要指標(biāo),意在從行業(yè)分布、風(fēng)險態(tài)度和價值投資角度對兩者的A股投資組合配置特征進行比較研究;第四章節(jié)則從持有期和重倉股方面,對社�；鸷蜕虡I(yè)保險資金A股投資組合的穩(wěn)定性進行分析;第五章節(jié)通過對第三、四章節(jié)的統(tǒng)計結(jié)果進行系統(tǒng)總結(jié),得出社�；鹋c商業(yè)保險資金A股投資組合配置特征及穩(wěn)定性的相似性和差異性的最終結(jié)論,分析結(jié)論產(chǎn)生的原因,并基于社保基金和商業(yè)保險資金的以上各項表現(xiàn),提出有助于優(yōu)化兩者A股投資組合的相關(guān)建議。本文得出的主要結(jié)論如下:(1)行業(yè)配置特征方面,社保基金和商業(yè)保險資金的市值分配依據(jù)不同;社�；饡鶕�(jù)市場行情改變面臨的行業(yè)風(fēng)險,而商業(yè)保險資金缺乏與市場行情相關(guān)的行業(yè)風(fēng)險意識;兩者資金在行業(yè)間的配置都極為不均,但商業(yè)保險資金更甚;兩者行業(yè)配置的市值金額比重均和其穩(wěn)定性成反比,但社保基金各名次行業(yè)的市值比重穩(wěn)定性均更強;兩者存在共同偏好行業(yè),但社�；鸬呐渲梅秶鼜V;社保基金A股投資組合分布的行業(yè)個數(shù)在各期間波動更小;兩者A股投資均呈行業(yè)分散化的趨勢,但社�；鸶硐�;兩者均不存在由盛轉(zhuǎn)衰或后來居上的行業(yè)。(2)β系數(shù)配置特征方面,社�；鸷蜕虡I(yè)保險資金對風(fēng)險和收益的態(tài)度都比較保守,但商業(yè)保險資金更為保守;兩者的組合β系數(shù)在各期內(nèi)的波動程度都較小,但社保基金更穩(wěn)定;兩者期間持續(xù)穩(wěn)定性均較差,但商業(yè)保險資金更差;社�；鸬慕M合β系數(shù)比商業(yè)保險資金更接近市場組合;兩者的組合β系數(shù)都沒有明顯的隨市性。(3)市盈率配置特征方面,社�；鸷蜕虡I(yè)保險資金都傾向于多配置市盈率低于行業(yè)平均水平的股票,但社保基金做得更好;兩者基本均遵循市值重要性越低,越傾向于多配置高市盈率個股的規(guī)律。(4)持有期穩(wěn)定性方面,社保基金和商業(yè)保險資金的持有期穩(wěn)定性都一般,但社�；鹣鄬Ω�;兩者均基本遵循市值重要性越低,持有期穩(wěn)定性越差的規(guī)律。(5)重倉股穩(wěn)定性方面,社�；鸷蜕虡I(yè)保險資金重倉股的非持續(xù)和持續(xù)穩(wěn)定性均不強,但社保基金在非重點配置行業(yè)重倉股的非持續(xù)和持續(xù)穩(wěn)定性更好,商業(yè)保險資金在重點配置行業(yè)重倉股的非持續(xù)和持續(xù)穩(wěn)定性更好;商業(yè)保險資金在重點配置行業(yè)和非重點配置行業(yè)重倉股的非持續(xù)和持續(xù)穩(wěn)定性都較社�；鸷�。
[Abstract]:The social security fund and the commercial insurance fund began to invest in A shares in 2003 and 2005 respectively. In recent years, with the increasing amount of funds in the A share market, the influence of the social security fund and the commercial insurance funds on the other institutional investors and individual investors is increasing, and the social security has attracted the attention of the market. Funds and commercial insurance funds are essentially the same as risks, and there are many similarities in the concept of investment, so they often become the two types of institutional investors mentioned at the same time. However, what are the similarities and differences between the social security fund and the commercial insurance funds in the A share market? In this paper, the A shares of the insurance funds are studied. In this paper, the distribution characteristics and stability of the 46 reporting periods of the social security fund and the commercial insurance fund in 2005 to the three quarterly report of 2016 are compared. The configuration features include industry, beta coefficient and P / E ratio, and the stability is divided into holding period. The comparative study of this paper is based on the overall situation of the social security fund and the A stock portfolio of commercial insurance funds. The purpose of this paper is to systematically analyze the similarities and differences between the two and to obtain the Enlightenment on how both of them should improve their own portfolio in order to conform to the concept of self investment. This paper is mainly made up of five chapters. The first chapter is the introduction, mainly on the background and significance of the research, the related literature and research results, the research scheme and the innovation and shortage. The second chapter introduces the investment situation of the social security fund and the commercial insurance fund in the A stock market in detail, and compares the configuration of the A share portfolio for the latter two chapters. The third chapter selects three important indexes of industry, beta coefficient and P / E ratio in the third chapter, which is to compare the characteristics of the portfolio allocation from the industry distribution, the risk attitude and the value investment, and the fourth chapter, from the holding period and the heavy stock share, to the social security fund and the commercial insurance fund. The stability of the gold A stock portfolio is analyzed. The fifth chapter, through a systematic summary of the statistical results of the third, fourth chapters, draws the final conclusions of the similarity and difference between the allocation characteristics of the social security fund and the A shares of commercial insurance funds and the stability of the portfolio, and analyzes the reasons for the conclusion, and is based on the social security fund and the commercial insurance. The above performance of the funds proposed to help optimize the A share portfolio. The main conclusions of this paper are as follows: (1) the distribution characteristics of the industry allocation, the market value distribution of the social security fund and the commercial insurance fund are different; the social security foundation will change the industry risk according to the market market, and the commercial insurance funds are lacking. The industry risk awareness related to the market market; the allocation of funds between the two industries is extremely uneven, but the commercial insurance funds are even more; the proportion of the value of the market value of the two industries is inversely proportional to its stability, but the market value of each industry in the social security fund is more stable; both have a common preference industry, but the social security fund The distribution of the A shares of the social security fund is less fluctuating in each period, and the A share of the two shares has a trend of industry decentralization, but the social security fund is more ideal; both do not exist in the industry. (2) the characteristics of the beta factor allocation, the social security fund and the commercial insurance funds are the risk and the risk. The attitude of the income is more conservative, but the commercial insurance funds are more conservative; the combination beta coefficient of the two is less fluctuating in each period, but the social security fund is more stable; the continuous stability of the two is worse, but the commercial insurance funds are worse; the combination of the social security fund is more close to the market combination than the commercial insurance funds; the two groups are more close to the market combination. (3) the distribution characteristics of the P / E ratio, the social security fund and the commercial insurance funds are inclined to the share of the multi allocation price earnings ratio lower than the industry average, but the social security fund is better. The lower the value of the market value, the lower the value of the market value, the more inclined to the law of the multi allocation of the high price earnings ratio. (4) the holding period. Stability, the stability of social security funds and commercial insurance funds is general, but the social security fund is relatively better; both basically follow the lower value of the market value, the worse the stability of the holding period. (5) the stability of the heavy stock shares, the non sustainable and sustained stability of the social security fund and the commercial insurance funds are not strong, but the stability of the stock is not strong, but the stability of the social security fund and the commercial insurance funds are not strong, but the stability of the stock is not strong, but the stability of the shares of the social security fund and the commercial insurance funds is not strong, but the stability of the stock is not strong, but the stability of the social security fund and the commercial insurance fund is not strong, but the stability of the stock is not strong. The non sustainable and sustained stability of the social security fund in the non key allocation industry is better. The non sustainable and sustained stability of the commercial insurance funds in the key allocation industry is better. The non sustainable and sustained stability of the commercial insurance funds in the key allocation and non key allocation sectors are better than the social security fund.

【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F842.61;F832.51;F840.4

【參考文獻】

相關(guān)期刊論文 前4條

1 劉濤;毛道維;王海英;;股權(quán)集中度、制衡度與機構(gòu)投資者的擇股偏好——機構(gòu)投資者異質(zhì)性的研究視角[J];山西財經(jīng)大學(xué)學(xué)報;2013年05期

2 楊凌;唐賤英;;社保基金股票投資組合的行業(yè)偏好初探[J];經(jīng)濟研究導(dǎo)刊;2009年35期

3 徐高林;;保險資金股票直接投資回顧與思考——同一個理念下的差異化投資[J];金融理論與實踐;2008年02期

4 徐高林;;保險資金股票大額直接投資特點分析[J];財貿(mào)經(jīng)濟;2006年09期

相關(guān)博士學(xué)位論文 前2條

1 余佳子;全國社會保障基金股票投資風(fēng)險管理與績效測度研究[D];東北財經(jīng)大學(xué);2012年

2 李向軍;我國社�；鹜顿Y管理問題研究[D];財政部財政科學(xué)研究所;2010年

相關(guān)碩士學(xué)位論文 前10條

1 羅靖;我國社會保障基金的投資行為研究[D];浙江財經(jīng)大學(xué);2016年

2 賈文婷;不同類型機構(gòu)投資者持股偏好及其對股價波動影響的比較[D];山東財經(jīng)大學(xué);2014年

3 何玉霞;機構(gòu)股東積極治理偏好因素及經(jīng)濟后果研究[D];西南財經(jīng)大學(xué);2014年

4 曾程;養(yǎng)老基金與公司治理[D];湖南師范大學(xué);2013年

5 郭兆睿;中國社保基金、保險資金、券商自營的信息優(yōu)勢與投資偏好的實證研究[D];復(fù)旦大學(xué);2012年

6 孔子君;社�；鹪贏股市場的持股偏好實證研究[D];南京大學(xué);2012年

7 晏宗飛;當(dāng)前保險資金投資股票市場研究[D];東北財經(jīng)大學(xué);2011年

8 張磊;社保基金在A股市場投資行為研究[D];西南財經(jīng)大學(xué);2011年

9 張佳欣;中國社會保障基金投資行為研究[D];首都經(jīng)濟貿(mào)易大學(xué);2011年

10 陸煒;全國社�；鸾M合重倉股的資產(chǎn)配置特征分析[D];上海交通大學(xué);2009年

，

本文編號：1855915