本文關(guān)鍵詞：機(jī)構(gòu)投資者對(duì)中國股票市場流動(dòng)性影響實(shí)證分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：本文主要探究的是機(jī)構(gòu)投資者對(duì)中國股票市場流動(dòng)性的影響。機(jī)構(gòu)投資者被引入資本市場擔(dān)負(fù)著兩個(gè)重要的使命：一是穩(wěn)定資本市場；二是強(qiáng)化公司治理,而今它已成為市場的主導(dǎo)力量,對(duì)促進(jìn)我國資本市場健康穩(wěn)定發(fā)展、完善我國金融體系和實(shí)現(xiàn)國民經(jīng)濟(jì)長遠(yuǎn)發(fā)展具有十分深遠(yuǎn)的意義。本文首先對(duì)滬深兩市流動(dòng)性特征進(jìn)行了基本描述,對(duì)機(jī)構(gòu)投資者市場參與情況進(jìn)行了系統(tǒng)回顧,并利用上海A股市場2006年-2011年數(shù)據(jù)對(duì)機(jī)構(gòu)投資者與股票市場流動(dòng)性的關(guān)系進(jìn)行實(shí)證研究。我們發(fā)現(xiàn)：第一,機(jī)構(gòu)投資者比例的增加會(huì)減小不同市值股票的特異性,并降低市場系統(tǒng)流動(dòng)性,有利于穩(wěn)定整個(gè)股票市場。第二,機(jī)構(gòu)投資者持股比例的上升會(huì)降低股票交易的活躍程度,股票市場深度還有待加強(qiáng)。第三,股票的流動(dòng)性會(huì)同時(shí)受到機(jī)構(gòu)投資者持股造成的逆向選擇與信息效率兩種影響,導(dǎo)致兩者呈現(xiàn)非線性關(guān)系。我們證實(shí)了上海A股市場的流動(dòng)性是受交易行為帶來的真實(shí)摩擦和機(jī)構(gòu)控股帶來的信息摩擦這兩個(gè)因素共同影響,并進(jìn)而提出了改善中國股市流動(dòng)性以及規(guī)范機(jī)構(gòu)投資者行為的政策建議。
[Abstract]:This paper mainly explores the influence of institutional investors on the liquidity of China's stock market. Institutional investors are introduced into the capital market with two important missions: first, to stabilize the capital market; Second, strengthen corporate governance, now it has become the dominant force of the market, to promote the healthy and stable development of our capital market. It is of great significance to perfect our financial system and realize the long-term development of national economy. Firstly, this paper describes the liquidity characteristics of Shanghai and Shenzhen stock markets. The market participation of institutional investors is reviewed systematically. Using the data of Shanghai A-share market from 2006 to 2011, the paper makes an empirical study on the relationship between institutional investors and the liquidity of the stock market. The increase in the proportion of institutional investors will reduce the specificity of different market value stocks, and reduce the liquidity of the market system, which is conducive to the stability of the entire stock market. Second. The increase in the proportion of institutional investors will reduce the activity of stock trading, the depth of the stock market needs to be strengthened. Third. The liquidity of stocks will be affected by the adverse selection and information efficiency caused by institutional investors' shareholding at the same time. We confirm that the liquidity of Shanghai A-share market is affected by the real friction caused by transaction behavior and the information friction caused by institutional holding. And then put forward some policy suggestions to improve the liquidity of Chinese stock market and regulate the behavior of institutional investors.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F224

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本文編號(hào)：1401878