發(fā)布時間：2018-05-09 04:22

  本文選題：投資者結(jié)構(gòu) + 股市波動性　； 參考：《安徽財經(jīng)大學(xué)》2014年碩士論文

【摘要】：股票市場是資本市場的重要組成部分,一國股票市場的發(fā)展對其經(jīng)濟發(fā)展具有重要的作用。然而,股票市場劇烈波動會給證券市場甚至社會經(jīng)濟和生活造成沖擊。因此,將股價風(fēng)險控制在合理的范圍內(nèi),維護市場穩(wěn)定,一直是對股票市場的重要監(jiān)管目標(biāo)。20世紀(jì)70年代以來,伴隨著發(fā)達國家對金融管制的放松和金融市場的發(fā)展,機構(gòu)投資者迅速發(fā)展,逐漸取代個人投資者成為國際股票市場上最主要的投資主體。我國自1993年允許證券公司參與股票市場以來,通過二十年的發(fā)展,投資者的結(jié)構(gòu)發(fā)生了深刻的變化,投資者多元化的格局初步形成。研究投資者結(jié)構(gòu)的變化對我國股市波動性的影響,對于優(yōu)化我國股票市場的投資者結(jié)構(gòu),促進市場的健康和穩(wěn)定發(fā)展,意義重大。 本文首先介紹了我國股票市場的投資者結(jié)構(gòu)的基本狀況和股市的波動特征,然后從信息不對稱、資金不對稱和交易水平不同三個方面探討投資者結(jié)構(gòu)對股市波動性影響的作用機理,再次運用計量經(jīng)濟學(xué)的方法對投資者結(jié)構(gòu)對股市波動性的影響進行實證分析。本文的實證研究是基于宏觀層面,從市場交易者和市場規(guī)模兩個角度研究投資者結(jié)構(gòu)的變化對我國股市波動性的影響。首先,從市場交易者角度,本文分別測度了一般法人、專業(yè)機構(gòu)投資者和個人投資者持股比例、持股比例變動率和開戶比例、開戶比例變動率對股市波動性的影響,得到如下結(jié)論：(1)一般法人投資者持股比例和專業(yè)機構(gòu)投資者開戶比例與股市波動性之間是負(fù)向關(guān)系,(2)一般法人投資者和專業(yè)機構(gòu)投資者的持股比例變動率與股市波動性之間是正相關(guān)的關(guān)系；其次,從市場規(guī)模來角度,本文研究了專業(yè)機構(gòu)投資者的發(fā)展對股市波動性的影響,得到專業(yè)機構(gòu)投資者的發(fā)展加劇了我國股市的波動性的結(jié)論。最后對實證分析的結(jié)果進行了必要的分析與解釋,并提出了優(yōu)化投資者結(jié)構(gòu)的幾點政策建議,為引導(dǎo)投資者長期投資、規(guī)范投資行為、全面發(fā)展機構(gòu)投資者和優(yōu)化我國股市投資者結(jié)構(gòu)提供制度和政策上的保障。
[Abstract]:Stock market is an important part of capital market. The development of a country's stock market plays an important role in its economic development. However, the sharp fluctuation of stock market will impact the stock market and even social economy and life. Therefore, keeping stock price risk within a reasonable range and maintaining market stability has been an important regulatory goal for stock market since the 1970s, with the relaxation of financial controls and the development of financial markets in developed countries. The rapid development of institutional investors has gradually replaced individual investors as the main investors in the international stock market. Since China allowed securities companies to participate in the stock market in 1993, through the development of 20 years, the structure of investors has undergone profound changes, and the pattern of diversification of investors has been initially formed. It is of great significance to study the influence of the change of investor structure on the volatility of Chinese stock market to optimize the investor structure of our stock market and to promote the healthy and stable development of the market. This paper first introduces the basic situation of the investor structure and the fluctuating characteristics of the stock market in our country, and then from the information asymmetry, This paper probes into the mechanism of the influence of investor structure on stock market volatility from three aspects of fund asymmetry and different trading level, and makes an empirical analysis of the influence of investor structure on stock market volatility by econometric method. The empirical study of this paper is based on the macro level, from the perspective of market traders and market size to study the impact of changes in investor structure on the volatility of China's stock market. First of all, from the perspective of market traders, this paper measures the impact of the general legal person, professional institutional investors and individual investors on the stock market volatility. The conclusion is as follows: 1) there is a negative relationship between the proportion of shares held by general legal person investors and the proportion of professional institutional investors opening accounts and the volatility of stock market. 2) the change rate of shareholding ratio of general legal person investors and professional institutional investors and the stock market. There is a positive correlation between volatility; Secondly, from the perspective of market scale, this paper studies the impact of the development of professional institutional investors on the volatility of the stock market, and draws the conclusion that the development of professional institutional investors intensifies the volatility of China's stock market. Finally, the paper analyzes and explains the results of empirical analysis, and puts forward some policy suggestions to optimize the structure of investors, in order to guide investors to invest in the long term and standardize their investment behavior. Developing institutional investors in an all-round way and optimizing the structure of investors in China's stock market provide institutional and policy guarantees.
【學(xué)位授予單位】：安徽財經(jīng)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：1864564