本文選題：機(jī)構(gòu)投資者 + 股票收益率　； 參考：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：在我國股票市場發(fā)展之初,個(gè)人投資者在所有投資主體中占據(jù)主導(dǎo)地位。由于個(gè)人投資者的搜集信息能力和分析處理信息能力有限,不大可能有效地做出理性的投資決策,相反他們的投資決策往往帶有濃重的投機(jī)目的,為了獲取短期收益頻繁地在短期內(nèi)買進(jìn)賣出股票,此時(shí)個(gè)人投資者的情緒與股票市場的氣氛相互影響,進(jìn)而造成我國股票價(jià)格的無序波動(dòng),也進(jìn)而造成股票收益率波動(dòng)性的加劇。我國股票市場這種劇烈波動(dòng)的投資環(huán)境是不利于股票投資者進(jìn)行長期投資的。 為此,我國在借鑒國外成熟的如何穩(wěn)定股票市場的經(jīng)驗(yàn)之后,也開始大力引入機(jī)構(gòu)投資者,并且將其作為一項(xiàng)穩(wěn)定股票市場的戰(zhàn)略。原因是大多數(shù)人普遍認(rèn)為機(jī)構(gòu)投資者是理性的專業(yè)投資者,它們一般擁有專業(yè)化的管理團(tuán)隊(duì)和雄厚的資金,能夠充分發(fā)揮它們在資金上、技術(shù)上和信息上的優(yōu)勢,從而可以做出理性的投資決策。這種投資決策還可以轉(zhuǎn)化為一種股票市場信息,并引導(dǎo)其他投資者進(jìn)行理性的投資。政策制定者寄希望機(jī)構(gòu)投資者的進(jìn)入能夠?qū)ξ覈善笔袌銎鸬椒�(wěn)定作用,股票價(jià)格不至于在短時(shí)間內(nèi)暴漲暴跌,股票收益率波動(dòng)性也不至于維持在較高的水平上,為投資者們創(chuàng)造良好的投資環(huán)境。 事與愿違,在機(jī)構(gòu)投資者的發(fā)展還處于不成熟的時(shí)期,有關(guān)于機(jī)構(gòu)投資者操縱市場行為和內(nèi)幕交易行為的事件不絕于耳。即使現(xiàn)今有相關(guān)法律法規(guī)的約束,但是也避免不了機(jī)構(gòu)投資者為了驅(qū)逐利益而鋌而走險(xiǎn),2013年8月16日光大證券“烏龍指”事件又一次讓人們對(duì)機(jī)構(gòu)投資者穩(wěn)定股票市場的作用產(chǎn)生了疑問。 本文關(guān)于機(jī)構(gòu)投資者對(duì)我國股票收益率波動(dòng)性的影響是按照以下思路進(jìn)行的。首先,本文概括總結(jié)了機(jī)構(gòu)投資者的定義,介紹了我國主要的幾種機(jī)構(gòu)投資者和機(jī)構(gòu)投資者在我國的發(fā)展歷程。然后,本文回顧了一些國內(nèi)外的參考文獻(xiàn),對(duì)國內(nèi)外有關(guān)機(jī)構(gòu)投資者對(duì)股票收益率波動(dòng)性影響的理論進(jìn)行分析,總結(jié)提煉出幾種機(jī)構(gòu)投資者加劇股票收益率波動(dòng)的因素和幾種減緩股票收益率波動(dòng)的因素,兩種正負(fù)面影響可能存在相互博弈,有待實(shí)證分析進(jìn)一步得出結(jié)論。再次,在實(shí)證研究部分,本文是通過宏觀和微觀兩個(gè)角度進(jìn)行研究的。在宏觀分析部分,以上證A股指數(shù)日收益率為研究對(duì)象,根據(jù)證券投資基金總資產(chǎn)凈值占AB股流通股市值的比值,將樣本區(qū)間分為三個(gè)階段,通過對(duì)三個(gè)階段上證A股指數(shù)日收益率進(jìn)行描述性統(tǒng)計(jì)分析,對(duì)比發(fā)現(xiàn)在證券投資基金總資產(chǎn)凈值占AB股流通股市值比值最大的階段,上證A股指數(shù)日收益率波動(dòng)率最大。然后又對(duì)上證A股指數(shù)日收益率建立GARCH(1,1)模型,提取模型GARCH項(xiàng)殘差的條件方差即波動(dòng)率進(jìn)行比較,也得出相同的結(jié)論。在微觀分析部分,以機(jī)構(gòu)投資者各個(gè)季度重倉樣本股股票為研究對(duì)象,通過兩個(gè)面板數(shù)據(jù)回歸模型分別研究了機(jī)構(gòu)投資者持股比例及機(jī)構(gòu)投資者持股比例變化值對(duì)重倉樣本股股票收益率波動(dòng)性的影響,從而得出機(jī)構(gòu)投資者持股比例與重倉樣本股股票收益率的標(biāo)準(zhǔn)差成正相關(guān)關(guān)系,然而,機(jī)構(gòu)投資者持股比例變化值與重倉樣本股股票收益率的標(biāo)準(zhǔn)差的相關(guān)關(guān)系不具有顯著性。通過檢驗(yàn)表明,隨著機(jī)構(gòu)投資者持股比例的增加,重倉樣本股股票收益率的波動(dòng)率也呈現(xiàn)出增大的趨勢,這也表明機(jī)構(gòu)投資者加劇了我國股票收益率的波動(dòng)性,機(jī)構(gòu)投資者并沒有起到穩(wěn)定股票市場的作用。最后,本文針對(duì)多個(gè)方面存在的問題,對(duì)政策制定者和機(jī)構(gòu)投資者提出了相關(guān)的政策建議。
[Abstract]:At the beginning of the development of China's stock market, individual investors occupy a dominant position among all the investors. Due to the limited information ability of the individual investors and the limited ability to analyze and deal with information, they are unlikely to make rational investment decisions. On the contrary, their investment decisions are bound to have a strong speculative purpose in order to obtain short-term income. In the short term, we buy and sell stocks in a short period of time. At this time, the emotion of individual investors and the atmosphere of the stock market affect each other, which leads to the unordered fluctuation of the stock price in our country, which also causes the volatility of stock returns. Capital.
Therefore, after learning from the mature experience of how to stabilize the stock market, China has also begun to introduce institutional investors as a strategy to stabilize the stock market. The reason is that most people generally think that institutional investors are rational and professional investors, and they generally have professional management team and strong capital. Gold, which can give full play to their financial, technical and information advantages, can make rational investment decisions. This investment decision can also be transformed into a stock market information and guide other investors to make rational investment. To the stability, the stock price will not rise and fall in a short time, and the volatility of stock returns will not be maintained at a high level, creating a good investment environment for investors.
The development of institutional investors is still in an immature period, and there are events about institutional investors manipulating market behavior and insider trading. Even today, there are relevant laws and regulations, but it is impossible for institutional investors to take the risk in order to expel profits. In August 16, 2013, "Everbright Securities". The "Oolong" incident once again raised questions about the role of institutional investors in stabilizing the stock market.
In this paper, the influence of institutional investors on the volatility of stock returns in China is carried out according to the following ideas. First, this paper summarizes the definition of institutional investors and introduces the development process of several major institutional investors and institutional investors in our country. Then, this paper reviews some domestic and foreign references. At home and abroad, the theories of institutional investors on the volatility of stock returns are analyzed, and the factors of several institutional investors to aggravate the volatility of stock returns and several factors to slow the volatility of stock returns are summarized. The two positive and negative effects may be mutually gambling. In the part of the empirical study, this paper is studied through two angles of macro and micro. In the macro analysis part, the A share index is divided into three stages according to the ratio of the net value of the total assets of the securities investment fund to the value of the stock market in the AB share, and the daily returns of the A share index in the three stages are obtained. A descriptive statistical analysis is carried out, and it is found that the volatility of the A share index of Shanghai stock market is the largest in the period of the largest total net value of the securities investment fund in AB shares, and then the GARCH (1,1) model of the A share index of Shanghai stock market is established, and the conditional variance of the residual error of the model GARCH term is compared. We also draw the same conclusion. In the micro analysis part, we take the stock of the stock as the research object in each quarter of the institutional investors. Through two panel data regression models, we study the influence of institutional investors' shareholding ratio and the change value of institutional investors' shareholding ratio on the volatility of the stock return rate of the heavy warehouse. There is a positive correlation between the proportion of the investor's shareholding and the standard deviation of the return on the stock. However, there is no significant correlation between the change of the shareholding ratio of institutional investors and the standard deviation of the stock return rate of the heavy stock. The rate of volatility also shows an increasing trend, which also indicates that institutional investors have intensified the volatility of stock returns in China, and institutional investors do not play a role in stabilizing the stock market. Finally, this paper puts forward relevant policy suggestions to policy makers and institutional investors for the problems existing in many aspects.
【學(xué)位授予單位】：江西財(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)】：F224;F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前2條

1 邢治斌;仲偉周;;機(jī)構(gòu)持股、分析師跟進(jìn)與股票波動(dòng)關(guān)系研究——基于聯(lián)立方程組模型的實(shí)證分析[J];湖南師范大學(xué)社會(huì)科學(xué)學(xué)報(bào);2014年02期

2 曾語倩;;我國機(jī)構(gòu)投資者與股票市場穩(wěn)定性的相關(guān)研究[J];商;2013年23期

相關(guān)碩士學(xué)位論文 前1條

1 劉婷婷;基于序貫交易模型的股價(jià)波動(dòng)分析[D];昆明理工大學(xué);2014年

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本文編號(hào)：1902428