基金行为对股市流动性影响研究

发布时间：2018-01-12 01:29

本文关键词：基金行为对股市流动性影响研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：经过20多年的发展,我国的资本市场取得了非凡的发展,已经成为全球第二大资本市场,资本市场的国际影响力也不可小觑,这些都得益于经济的高速发展和资本市场的市场话改革。伴随着资本市场发展,证券投资基金也日趋壮大,截止到2011年6月,我国的证券投资基金数量已经由2001年的51只发展到809只,净资产由821亿发展到23600亿,基金管理公司也由34家发展到65家。一方面基金的蓬勃发展变投资者直接投资为间接投资,资金的集聚效应很好的对冲了资本市场的波动,同时基金作为一种理财方式也吸引了更多的资金进入股市,这有利于股市的流动性的提高；另一方面基金管理公司相对于个人投资者有更科学的投资理念和研究能力,对股票内在价值也有更好的判断,还可以使信息更快地在股价上得到体现,所以说基金的发展对资本市场整体质量的提升起到了举足轻重的作用。但是基金自身的交易行为却有其劣根性,表现在羊群行为、惯性行为、内幕操作等不理性的投资行为。正因为基金对股市有如此重大作用,但是又存在不理性行为,不少学者就此展开研究,主要是考察羊群行为和惯性行为以及由此带来的影响,但是更多的是考察非理性行为对股价和波动性的影响,很少有学者研究其对流动性的影响,所以本文就基金行为和股市流行性展开研究。本文变量选取也在参考主流方法的基础上进行合理的改进,以基金指数交易额占沪深300交易额的比重衡量基金的持仓量,以基金指数交易量日间净变化衡量基金的买卖行为,以沪深300指数的流动性衡量股市总体流动性。全文按照先理论后实证的思路展开,理论上先就国内外关于基金行为和股市流动性的文献进行分类,系统归纳了各位学者的观点,并进行简单的评价。研究基金行为的文献主要侧重于对基金投资行为中的“羊群行为”和“惯性效应”展开研究并实证检验；研究股市流动性的文献主要是测算流动性风险并基于CAPM模型和FAMA三因素模型研究其溢价。因为基金的不同行为有不同的模型衡量,衡量流动性的指标更是为数众多,所以在理论分析之前需要对相关概念进行梳理。基金的羊群行为按照以前学者的思路可以划分为基于信息流的羊群行为和基于委托—代理模型的羊群行为；基金的惯性行为又分为正向惯性和反向惯性,可以通过考察基金本期的持仓变化和上期收益之间的关系来确定。关于流动性指标,本文按照价格法、交易量法、价量结合法、时间法对流动性衡量指标进行归类,‘并就指标的利弊进行简单的评价。测量流动性的目的是要观察是否存在流动性不足以及带来的风险,流动性成本的度量和流动性风险分析一样重要,关系到资产价格的确定。在上文的铺垫下,接着对我国基金的投资行为和股市流动性现状进行了描述。通过分析得出我国的基金投资存在明显的羊群行为和惯性行为,体现在基金投资标的具有同质性而且受到上一期收益率的影响,上期收益率越高本期投资额度越高。关于流动性,统计数据显示,我国股市流动性已经完全满足机构投资者和中小投资者交易的需求,表现在流动性系列指标都保持在理想的水平,并随着时间的推移越来越好,这样机构投资者和中小投资者在投资时面临的风险就小,流动性风险小也可以使资产的定价接近其真实的价值,这也是市场成熟的表现之一。第四章从实证的角度来检验基金行为对股市流动性的影响,基金的投资行为归根结底可以归结为买入卖出和持仓量,本文引入基金持仓量净变化和交易额占比两个指标,基金持仓量净变化的计算采取t期交易量和t-1期交易量的差值描述基金的买卖行为,净变化为正表示基金买入,为负表示卖出,交易额占比以基金指数交易额和沪深300指数交易额的商表示基金投资的参与度,商值高说明基金持仓多,参与深,相反说明持仓少,参与度不高。基金行为和股市流动性的相关性从宏观上就是考察上述两个指标考察对股市流动性的影响,通过计量的工具加以验证。然后从基金买入卖出个股,看基金的增持和减持对个股的流动性是否产生影响。实证通过建立多元回归方程确定线性关系,从相应的系数统计值看基金的交易额占比对股市流动性的影响显著,而持仓净变化对流动性的影响程度就相对不显著。接着建立VAR模型,分析各变量的滞后期对其他变量的动态解释程度,并在VAR模型的基础上进行格兰杰因果检验,证明之间存在计量上的因果关系,计量结果显示在全样本和熊市阶段下,交易额占比和持仓净变化都为流动性的格兰杰原因,但是在牛市持仓净变化对流动性的解释不显著,只有交易额占比为流动性的格兰杰原因,之所以出现这种情况是因为在牛市噪声交易本来就很充足,而且整个市场的流动性是出于下降趋势的。接着用脉冲响应测试两个自变量对流动性的冲击影响,实证结果进一步证实了交易额占比对流动性的解释力度胜过持仓净变化,理由为交易额占比对流动性的冲击显著且持续为正,而持仓净变化对流动性的冲击则时正时负,表现出不稳定。方差分解的测试说明,全样本中,持股净变化的方差贡献度更大,牛市样本中交易额占比的方差贡献度大,而在熊市,两者贡献度相当。实证的最终是在肯定基金发展为股市的贡献的同时,其非理性投资行为扰乱了市场次序。本文创新之处有：(1)目前单独研究基金行为和流动性的文献很多,但是研究两者相互关系的却很少。所以本文最主要的创新就是把两者结合起来研究,考察基金的持仓水平和交易净变化对总体市场流动性的影响,并深入分解时间跨度,分别从牛市和熊市两个阶段考察,研究不同行情背景下的两者关系(2)对影响展开深入的分析,不仅仅局限于整体股市,更深入到个股上,广度和深度上都得到拓展。本文从宏观角度分析基金持股净变化和交易额占比和股市总体流动性的相关关系,同时再进一步从时间跨度中截取小样本研究牛市和熊市中的异同。最后深入到个股,观察基金增仓和减仓对个股流动性的影响。不足之处主要是限于知识结构和数据的可得性,研究深度还有待进一步深入。基金行为对行业流动性的影响应该不能忽略,但是行业众多,数据难以收集,同时各行业的基本情况和影响因素也各不相同,所以研究难度也比较高。同时本文最后针对个股的研究还显得粗糙,如果能得到高频的交易数据,那么研究的准确度也就会得到提升。
[Abstract]:After more than 20 years of development , China ' s capital market has made remarkable progress , has become the second largest capital market in the world , the international influence of capital market is not to be underestimated , these all benefit from the high - speed development of the economy and the market reform of the capital market . With the development of the capital market , the stock investment fund is growing . As of June 2011 , the number of China ' s securities investment fund has been expanded from 51 to 809 billion in 2001 , and the fund management company has developed from 34 to 65 . On the one hand , the fund ' s booming variable - investor direct investment as indirect investment , the accumulation effect of funds is very good to hedge the fluctuation of the capital market , meanwhile , as a kind of financial management , the fund attracts more funds to enter the stock market , which is beneficial to the stock market liquidity . On the other hand , the fund management company has more scientific investment ideas and research ability than the individual investors , so that the fund ' s development plays a pivotal role in the whole quality of the capital market . However , the fund ' s own trading behavior has its inferior nature , which is manifested in irrational investment behavior such as herding behavior , inertia behavior , insider operation , etc . This paper studies the influence of irrational behavior on stock price and volatility , but it is more important to study the influence of irrational behavior on stock price and volatility . The paper classifies the literatures about fund behavior and stock market liquidity at home and abroad according to the first theory , then summarizes the views of scholars and makes a simple evaluation . The literature on the behavior of the fund mainly focuses on the research on " herding behavior " and " inertia effect " in the fund investment behavior and the empirical test ; the literature on the liquidity of the stock market is mainly to measure liquidity risk and study its premium based on CAPM model and FAMA three - factor model . Because the fund ' s different behaviors have different models and measure the liquidity index , it needs to comb relevant concepts before the theoretical analysis . The fund ' s herd behavior can be divided into the herd behavior based on the information flow and the trust - agent model based herd behavior before the theoretical analysis . The fund ' s inertia behavior is classified into the positive inertia and the reverse inertia . The purpose of the liquidity is to observe whether there is insufficient liquidity and the risk of liquidity risk , as well as the measurement of liquidity cost and liquidity risk analysis . This paper describes the present situation of investment behavior and stock market liquidity in our country . Through analysis , the stock market liquidity of our country is quite satisfying . The higher the yield is , the higher the investment is . As the time goes on , the risk of the institutional investors and small and medium investors is small , the liquidity risk is small , and the pricing of the assets is close to their true value , which is also one of the mature performance of the market . The fourth chapter examines the effect of fund behavior on stock market liquidity from the empirical point of view . The net change of fund ' s investment behavior can be summed up as buying and selling and holding quantity . The net change of fund ' s net change and transaction amount represents the fund ' s buying and selling . The net change is that the fund is bought and sold . The correlation of fund ' s behavior and stock market liquidity is to examine the effect of the above two indexes on the liquidity of the stock market , and then buy and sell individual shares from the fund , and see whether the fund ' s increasing and reducing influence on the liquidity of the stock market . Based on VAR model , there is no significant effect on the liquidity of stock market , but the effect of net change on liquidity is relatively insignificant . This paper is innovative in that : ( 1 ) There are a lot of literature on the behavior and liquidity of the fund at present , but the research on the relationship between them is very rare . Therefore , the most important innovation in this paper is to combine them together to study the influence of the fund ' s position and net change on the overall market liquidity . The deficiency is mainly limited to the availability of knowledge structure and data , and the research depth is still to be further deepened . The impact of fund behavior on industry liquidity should not be neglected , but the research difficulty is too high . At the same time , the research on individual shares is still rough , and if the transaction data of high frequency can be obtained , the accuracy of the research will be improved .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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