本文選題：機構(gòu)投資者 + 交易行為�。� 參考：《浙江大學(xué)》2017年碩士論文

【摘要】：與美國等發(fā)達(dá)國家成熟的股票市場相比我國股票市場波動率明顯較高,普遍認(rèn)為這是由于我國證券市場個人投資者占比較高所致�；谖覈C券市場波動較大且頻繁的現(xiàn)實背景下,管理層提出鼓勵金融機構(gòu)參與股票市場投資,期望通過改善投資者結(jié)構(gòu)來平緩市場的波動。經(jīng)過此后十多年的發(fā)展,參與證券市場投資的金融機構(gòu)數(shù)量不斷增加,規(guī)模持續(xù)擴大。目前已基本形成以基金和保險機構(gòu)為主和其他多樣化投資者為輔的結(jié)構(gòu)。在2015年仍然出現(xiàn)了 "暴漲暴跌"的大波動現(xiàn)象,因此本文的研究立足于當(dāng)前的市場環(huán)境,考察參與市場交易的各類金融機構(gòu)是否表現(xiàn)出理性的交易行為,以及對股市波動率的影響,以檢驗他們是否如管理層期望那樣降低了股市的波動。本文首先回顧了參與資本市場投資的金融機構(gòu)的發(fā)展歷程,以及當(dāng)前的規(guī)模和結(jié)構(gòu),并重點列出了其中最重要的五類金融機構(gòu),并對他們的資金來源、投資和交易風(fēng)格的差異進(jìn)行概括。其次對機構(gòu)投資者影響股票價格的方式進(jìn)行分析,為之后的實證檢驗進(jìn)行理論鋪墊。最后的實證檢驗通過兩步展開,首先對本文重點研究的五類金融機構(gòu)的交易行為模式進(jìn)行研究,接下來對各類機構(gòu)持股水平和交易量與波動率之間的關(guān)系進(jìn)行研究。檢驗結(jié)果顯示當(dāng)前市場環(huán)境下機構(gòu)投資者整體遵循正反饋交易,而機構(gòu)的正反饋行為引起市場波動加劇。在接下來對機構(gòu)持股比例和交易量的研究中發(fā)現(xiàn),整體上機構(gòu)持股水平的提高會顯著增加股票的波動率,尤其是基金的持股和交易。值得注意的是券商、QFII、保險等其他金融機構(gòu)存在穩(wěn)定市場波動的作用,但由于對市場的影響力較小,因此機構(gòu)投資者整體還是加劇了市場的波動。實證研究的結(jié)果一方面表明了我國機構(gòu)投資者整體投資理念不夠成熟,仍存在正反饋交易這樣非理性的交易策略;另一方面則機構(gòu)投資者內(nèi)部結(jié)構(gòu)仍需優(yōu)化。
[Abstract]:Compared with the mature stock market of the United States and other developed countries, the volatility of our stock market is obviously higher, which is generally believed to be due to the high proportion of individual investors in our securities market. Based on the fact that the securities market in China is volatile and frequent, the management proposes to encourage financial institutions to participate in the stock market investment, hoping to smooth the volatility of the stock market by improving the investor structure. After more than a decade of development, the number of financial institutions participating in securities market investment is increasing and the scale continues to expand. At present has basically formed funds and insurance institutions and other diversified investors supplemented by the structure. In 2015, there is still a big fluctuation phenomenon of "skyrocketing and plummeting", so the research of this paper is based on the current market environment to investigate whether the various financial institutions involved in the market transactions show rational trading behavior. And the impact on stock market volatility to see if they reduced volatility as management expected. This paper first reviews the development of financial institutions involved in capital market investment, as well as the current size and structure, and highlights the five most important types of financial institutions and their sources of funding. The differences in investment and trading styles are summarized. Secondly, the paper analyzes the ways that institutional investors affect stock prices, which pave the way for the later empirical test. Finally, the empirical test is carried out in two steps. Firstly, the transaction behavior patterns of five types of financial institutions are studied, and then the relationship between the ownership level, trading volume and volatility is studied. The results show that the institutional investors follow the positive feedback trading in the current market environment, and the positive feedback behavior of the institutions leads to the aggravation of market volatility. In the next research on institutional shareholding ratio and trading volume, it is found that the overall increase of institutional shareholding level will significantly increase the volatility of stocks, especially fund holdings and trading. It is worth noting that other financial institutions, such as securities firms QFIIand insurance, have the role of stabilizing market volatility, but because of their small influence on the market, institutional investors as a whole have exacerbated the volatility of the market. On the one hand, the empirical results show that the overall investment concept of institutional investors in China is not mature enough, and there are still irrational trading strategies such as positive feedback trading; on the other hand, the internal structure of institutional investors still needs to be optimized.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1937320