本文關(guān)鍵詞： 機(jī)構(gòu)投資者 羊群行為 股價聯(lián)動性 會計信息 新會計準(zhǔn)則　出處：《電子科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股價聯(lián)動是指證券市場中個股之間、個股與市場之間價格的同向變動,即人們常說的股票價格“同漲同跌”。股價聯(lián)動性輕則導(dǎo)致投資者無法使用傳統(tǒng)的資本資產(chǎn)定價方法和投資組合策略進(jìn)行投資,提高決策難度;重則加大金融市場的風(fēng)險傳染程度,破壞一個國家乃至世界經(jīng)濟(jì)的健康發(fā)展。然而,目前的相關(guān)研究均顯示出我國的證券市場存在較為嚴(yán)重的股價聯(lián)動現(xiàn)象。截至當(dāng)下,以證券投資基金為主的機(jī)構(gòu)投資者的持股規(guī)模已達(dá)到滬深兩市總體市值的一半以上,機(jī)構(gòu)投資者已經(jīng)成為了我國資本市場上的主要力量。但是,機(jī)構(gòu)投資者發(fā)展時間短的內(nèi)因與新興市場制度不完善的外因,導(dǎo)致他們還未形成成熟的投資理念,在一定程度上存在著投機(jī)等非理性行為,這無疑加劇了股票價格的波動,影響了證券市場的穩(wěn)定性。種種跡象表明,我國證券市場股價聯(lián)動程度的增加與機(jī)構(gòu)投資者的非理性行為—尤其是“羊群行為”密切相關(guān)。因此,本文在對近年來相關(guān)理論及文獻(xiàn)進(jìn)行回顧與總結(jié)的基礎(chǔ)上,著眼于我國機(jī)構(gòu)投資者的羊群行為,對其產(chǎn)生原理以及與股價聯(lián)動性的相關(guān)關(guān)系進(jìn)行深入的探討和實證檢驗。首先,我們對封閉式基金羊群行為的誘因進(jìn)行了探究。國內(nèi)外的相關(guān)研究認(rèn)為,會計信息作為分析上市公司投資價值最為重要的參考依據(jù),會對機(jī)構(gòu)投資者的投資行為產(chǎn)生重大影響。而會計準(zhǔn)則作為生成會計信息的制度規(guī)范,有效的保障了會計信息的質(zhì)量與可理解性,對抑制非理性羊群行為的形成具有重大意義。因此,我們以2004—2011年深證A股上市公司為樣本,對在滬、深兩市交易的共146家封閉式基金在新舊會計準(zhǔn)則體系下的羊群行為進(jìn)行實證檢驗,探究會計信息是否構(gòu)成了機(jī)構(gòu)投資者羊群行為的誘因。研究結(jié)果表明,會計信息質(zhì)量對封閉式基金的羊群行為影響顯著。同時我們還發(fā)現(xiàn),《新會計準(zhǔn)則》執(zhí)行前,上市公司較高的會計信息透明度會增加機(jī)構(gòu)投資者的羊群效應(yīng),《新會計準(zhǔn)則》執(zhí)行后情況相反;隨著市場信息披露制度的逐漸完善,機(jī)構(gòu)投資者對會計信息透明度低的上市公司的羊群行為逐年增加,對會計信息透明度高的上司公司的羊群行為逐年減弱;機(jī)構(gòu)投資者的買方羊群行為會隨著市場環(huán)境的好轉(zhuǎn)而下降,即牛市下降,熊市上升,而賣方羊群行為會隨著市場環(huán)境的好轉(zhuǎn)而上升,即牛市上升,熊市下降。在前述相關(guān)實證結(jié)果的基礎(chǔ)上,我們又構(gòu)建了計量模型,進(jìn)一步檢驗在不同的市場環(huán)境下,我國封閉式基金羊群行為與股價聯(lián)動性的相關(guān)關(guān)系。研究結(jié)果表明,從長期來看,我國的機(jī)構(gòu)投資者將更多的進(jìn)行價值投資,證券市場的股價聯(lián)動程度會隨著機(jī)構(gòu)投資者羊群行為的加劇而下降。另外,我國證券市場的股價聯(lián)動程度會隨著機(jī)構(gòu)投資者買方羊群行為的增加而下降,隨著賣方羊群行為的增加而加劇;當(dāng)證券市場處于熊市時,股價聯(lián)動程度會隨著機(jī)構(gòu)投資者買方羊群行為的增加而下降,當(dāng)證券市場處于牛市時,股價聯(lián)動程度會隨著機(jī)構(gòu)投資者賣方羊群行為的增加而加劇。綜上我們發(fā)現(xiàn),盡管我國的機(jī)構(gòu)投資者在管理資金時同時存在價值投資和短期投機(jī)兩種投資行為,但在總體上仍然遵循長期的價值投資理念。雖然有時受到市場環(huán)境以及投機(jī)氛圍的影響,機(jī)構(gòu)投資者也會產(chǎn)生一些跟風(fēng)模仿、快進(jìn)快出的短期博弈行為,但對其整體的價值投資理念不構(gòu)成威脅。因此,監(jiān)管層可以在一定程度上正確引導(dǎo)機(jī)構(gòu)投資者的投資行為,以減輕由于短期投機(jī)而產(chǎn)生的非理性羊群行為。同時,相關(guān)部門也要不斷健全市場機(jī)制,完善會計制度,從客觀上弱化羊群行為的形成條件,進(jìn)而減輕股價聯(lián)動性,促進(jìn)證券市場的健康發(fā)展。
[Abstract]:Price linkage refers to stocks in the stock market, stock market and between the change in prices, people often say that the stock price "up or down". The price linkage of light to cause investors can not use the traditional capital asset pricing method and portfolio investment, increase the difficulty of decision-making; weight to increase the financial market risk contagion, destroy a healthy development of the country and the world economy. However, current researches show that stock price linkage is a serious phenomenon existing in China's securities market. At present, the size of holdings in the securities investment fund based institutional investors has reached more than half of the Shanghai and Shenzhen two overall the market, institutional investors have become the main force in the capital market of China. However, because of the short development time of the internal institutional investors and emerging market system is not perfect, guide They have not formed a mature investment ideas, to a certain extent, there is speculation and irrational behavior, which undoubtedly exacerbated the volatility of stock prices, affecting the stability of the securities market. There are indications that the irrational behavior and price linkage mechanism, increase the degree of China's securities market investors especially "closely related to herd behavior. Therefore, based on the review and summary of the related theories and literatures in recent years, focusing on the herding behavior of institutional investors in China, and the relationship between principle and stock price linkage to the discussion and thorough empirical test. First, we on the herd behavior of the closed fund the causes were studied. The related research at home and abroad, the most important reference for the investment value analysis of accounting information as a listed company, will the investment behavior of institutional investors. Have a significant impact. While the accounting standards as a system specification to generate accounting information, effectively guarantee the quality of accounting information and understanding, is of great significance to inhibit the formation of irrational herd behavior. Therefore, we in 2004 2011 Shenzhen A shares of listed companies as samples, the empirical test in Shanghai, herd behavior Shenzhen two city transaction a total of 146 closed-end funds in the old and new accounting standards system, to explore whether the accounting information constitutes the inducement of herding behavior of institutional investors. The results show that the quality of accounting information of closed-end fund herd behavior is significantly affected. At the same time, we also found that the new accounting standards before the execution of < >, accounting higher information transparency of listed companies will increase the herding behavior of institutional investors, the new accounting standards after the implementation of < > instead; with the market information disclosure system gradually perfect, institutional investors The herding behavior of accounting information transparency low listed companies increased year by year, the herding behavior on the high transparency of accounting information listed companies gradually weakened; the herding behavior of institutional investors will decrease as the market environment has improved, the bull market bear market decline, rising, and the herd behavior will rise with the market environment improved, the bull market the rise, decline. Based on the results of the bear market related empirical analysis, we construct the measurement model and further test in different market environment, the closed relationship between the herd behavior of funds and stock price linkage in China. The results show that, in the long term, China's institutional investors will be more investment value the degree of stock market, stock price linkage will decrease as the herding behavior of institutional investors increased. In addition, China's securities market price linkage degree with machine The increase of herd behavior of investors and buyers decline intensified with the herd behavior; when the bear market, the stock price linkage degree will decrease with increasing the herding behavior of institutional investors, when the stock market in a bull market, the stock price linkage degree will be intensified with the herding behavior of institutional investors to sum up. We found that although China's institutional investors exist at the same time the value of the investment and two short-term speculative investment behavior in the management of funds, but in general still follow the long-term value investment philosophy. Although sometimes influenced by the market environment and the atmosphere of speculation, investors will have to follow some short-term Kuaijinkuaichu, game behavior, but does not constitute a threat to the whole idea of the value investment. Therefore, regulators can correctly guide institutional investors to a certain extent The investment behavior, in order to reduce short-term speculation arising due to irrational herd behavior. At the same time, the relevant departments should also constantly improve the market mechanism, improve the accounting system, the formation conditions of weakening herd behavior objectively, and then reduce the price linkage, and promote the healthy development of the securities market.

【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51
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本文編號：1477185