本文關(guān)鍵詞：機(jī)構(gòu)投資者的參與對股指波動性的影響　出處：《安徽財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 機(jī)構(gòu)投資者 個人投資者 股指波動性 市場穩(wěn)定性

【摘要】：研究的證據(jù)表明機(jī)構(gòu)投資者的參與對股票市場有著相當(dāng)大的影響。這導(dǎo)致了指數(shù)效應(yīng)以及對資產(chǎn)交易的影響。這些很難用一般的資產(chǎn)定價模型來解釋。本文簡單的認(rèn)為,整個經(jīng)濟(jì)中有機(jī)構(gòu)投資者和個人投資者共同構(gòu)成,而金融機(jī)構(gòu)更關(guān)注的是他們相對于一個確定指數(shù)的成果。本文的結(jié)構(gòu)容易,用標(biāo)準(zhǔn)的式子表示并得出下面的相關(guān)分析結(jié)果。 在本文中觀察到,金融機(jī)構(gòu)會選擇他們包括他們的基準(zhǔn)指數(shù)在內(nèi)的股票的最佳投資組合,產(chǎn)生對股票的額外需求。這會產(chǎn)生價格壓力,從而推動了股指,而非指數(shù)股票是不會受影響。由于機(jī)構(gòu)投資者有著自己特有的優(yōu)勢,所有金融機(jī)構(gòu)比個人投資者想要更多的風(fēng)險股票,以至于增加了股指波動性和股票市場整體波動性,并引起反周期現(xiàn)象的夏普比率。機(jī)構(gòu)投資者的交易增加了屬于他們基準(zhǔn)指數(shù)的很多股票之間的相互關(guān)系,從而對股票指數(shù)產(chǎn)生影響。 本文把機(jī)構(gòu)投資者看作是資產(chǎn)管理公司等等機(jī)構(gòu)。這些管理者授權(quán)管理共同基金,對沖,捐贈基金,養(yǎng)老基金,在銀行或者保險公司的資產(chǎn)管理團(tuán)隊等等的投資組合。在本文中,主要針對這些專業(yè)管理者的動機(jī)中最重要的特征：相比一些基準(zhǔn)指數(shù)來說會更關(guān)注自己的成果,他們有著更加專業(yè)的水平,并能更快的獲取有效的消息。這種特性導(dǎo)致了機(jī)構(gòu)投資者不同于個人投資者。相對的成果對機(jī)構(gòu)投資者很重要,因為機(jī)構(gòu)投資組合新資金的流動性和在年底給資產(chǎn)管理公司的支付取決于它,或者是因為管理者關(guān)心他們在職業(yè)中的地位。本文的目的是探討,機(jī)構(gòu)投資者選擇最優(yōu)的投資組合如何影響股指,在這個過程中是如何加劇經(jīng)濟(jì)杠桿以及股票市場的波動。
[Abstract]:Research evidence suggests that institutional investors have a significant impact on the stock market. This leads to the index effect and impact on asset transactions. These are hard to explain by the general asset pricing model. This paper simply believes that the whole economy institutional investors and individual investors constitute, and financial institutions they are concerned with respect to a determined index results. This structure is easy, the results of correlation analysis with the standard formula representation and draw below.
Observed in this paper, the optimal portfolio of financial institutions will choose their benchmark index, including their stock, generate additional demand for stocks. This will produce price pressure, so as to promote the stock index, stock index and non is not affected. Because institutional investors have their own unique advantages, all financial individual investors want more institutions than the risk of the stock, so as to increase the overall volatility of the stock index fluctuation and the stock market, and caused a counter cyclical phenomenon. SHARP ratio of institutional investors to increase the relationship between many stocks belong to their base index, which have an impact on the stock index.
In this paper, the institutional investors as a Asset Management Co and institutions. These managers authorized management of mutual funds, hedge funds, donations, pension funds, banks and insurance companies in the asset management team and investment portfolio. In this paper, the most important feature mainly for these professional managers motivation: compared to some benchmark index will pay more attention to their achievements, they have a more professional level, and can quickly get a valid message. This feature leads to institutional investors is different from individual investors. The relative results are very important for institutional investors, because institutional portfolio of new liquidity and at the end of the year to the Asset Management Co to pay depends on it, or because management is concerned about their position in the occupation. The purpose of this paper is to discuss the investment group, institutional investors choose the optimal contract How the stock index affects the economic leverage and the volatility of the stock market in this process.

【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：1416147