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  本文關(guān)鍵詞：機(jī)構(gòu)投資者的參與對(duì)股指波動(dòng)性的影響　出處：《安徽財(cái)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(gè)人投資者 股指波動(dòng)性 市場(chǎng)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(duì)股票市場(chǎng)有著相當(dāng)大的影響。這導(dǎo)致了指數(shù)效應(yīng)以及對(duì)資產(chǎn)交易的影響。這些很難用一般的資產(chǎn)定價(jià)模型來(lái)解釋。本文簡(jiǎn)單的認(rèn)為,整個(gè)經(jīng)濟(jì)中有機(jī)構(gòu)投資者和個(gè)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(duì)于一個(gè)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(huì)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(duì)股票的額外需求。這會(huì)產(chǎn)生價(jià)格壓力,從而推動(dòng)了股指,而非指數(shù)股票是不會(huì)受影響。由于機(jī)構(gòu)投資者有著自己特有的優(yōu)勢(shì),所有金融機(jī)構(gòu)比個(gè)人投資者想要更多的風(fēng)險(xiǎn)股票,以至于增加了股指波動(dòng)性和股票市場(chǎng)整體波動(dòng)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(duì)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(duì)沖,捐贈(zèng)基金,養(yǎng)老基金,在銀行或者保險(xiǎn)公司的資產(chǎn)管理團(tuán)隊(duì)等等的投資組合。在本文中,主要針對(duì)這些專業(yè)管理者的動(dòng)機(jī)中最重要的特征：相比一些基準(zhǔn)指數(shù)來(lái)說(shuō)會(huì)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(gè)人投資者。相對(duì)的成果對(duì)機(jī)構(gòu)投資者很重要,因?yàn)闄C(jī)構(gòu)投資組合新資金的流動(dòng)性和在年底給資產(chǎn)管理公司的支付取決于它,或者是因?yàn)楣芾碚哧P(guān)心他們?cè)诼殬I(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(gè)過(guò)程中是如何加劇經(jīng)濟(jì)杠桿以及股票市場(chǎng)的波動(dòng)。
[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(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1416147