基于我国资本市场周期波动的寿险投资策略研究

发布时间：2018-03-19 06:40

本文选题：资本市场周期性　切入点：寿险业　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：保险公司作为机构投资者之一是资本市场最重要的参与者,同时与资本市场构成金融体系的重要组成部分。寿险公司是兼具经济保障功能和金融服务功能的重要金融机构。伴随着金融全球一体化发展趋势,寿险业在产品、服务与组织结构等方面不断创新。寿险产品的创新发展以及寿险服务多样性的扩展,使其作为金融服务机构的功能不断增强,保险公司成为资本市场中最大且最有影响力的机构投资者之一,这对寿险投资提出了更高的要求,寿险投资已经成为寿险业中与承保业务并重的一项重要活动,以至于在保险业发达的国家和地区,寿险投资逐渐成为弥补承保业务亏损和创造利润的支柱。目前中国上市公司整体效益和给股东的投资回报持续下降、给投资者带来很大的风险以至于损失。这种不正常的现象长期存在的原因之一就在于中国资本市场的投资者结构过于分散、机构投资者过少,散户占绝对优势,带来市场过度波动。因此,为了促进资本市场的发展和成熟,必须大力培育机构投资者,寿险业就是其中重要的一员,资本市场的尽快完善也需要寿险业的参与和支持。本文在对资本市场波动周期理论与寿险投资策略研究成果进行了梳理的基础上；描述了我国寿险资金运用与投资结构现状,比较英美日发达国家寿险投资结构与收益状况,探析我国寿险资金运用与投资策略；利用HP滤波分析方法分别选取市盈率和全A股市值月度数据探测中国资本市场波动周期的有无并量化其大小；对1999年到2012年中国寿险资金(保费、赔付、营运管理费)与同期中国全A股资本市场市值波动序列进行向量自回归(VAR)分析,实证检验了中国资本市场周期性波动与寿险资金之间的动态因果关系,根据实证分析结果,讨论中国资本市场周期波动规律对寿险资金的影响,最后总结研究结论提出可行性的政策建议。本文可能的创新之处在于,在分析方法上,使用了先进的计量经济学方法,选取市盈率和全A股市值两个不同指标,通过HP滤波分析方法分别探测中国资本市场波动周期的有无,并量化其大小。建立了向量自回归(VAR)模型,从定量的角度实证研究资本市场周期波动对寿险投资的影响,并通过脉冲响应分析考察各变量对冲击响应的方向与时滞效应。在指标选择与数据来源方面,样本跨度期间长,数据的时效性较强。但是由于受寿险投资相关数据的限制,加之我国寿险行业起步较晚等客观原因,导致本文在数据的运用上不够完善,对分析结果造成一定影响。
[Abstract]:As one of the institutional investors, insurance companies are the most important participants in the capital market. At the same time, the capital market constitutes an important part of the financial system. Life insurance companies are important financial institutions with both the function of economic security and the function of financial services. The innovation of life insurance products and the expansion of the diversity of life insurance services make its function as a financial service institution continuously enhanced. Insurance companies have become one of the largest and most influential institutional investors in the capital market, which puts forward higher requirements for life insurance investment, which has become an important activity in the life insurance industry as well as the underwriting business. Even in the developed countries and regions of insurance, life insurance investment has gradually become the mainstay of making up the loss of underwriting business and creating profits. At present, the overall efficiency of Chinese listed companies and the return on investment to shareholders continue to decline. One of the reasons for this anomaly is that the investor structure in China's capital markets is too fragmented, that there are too few institutional investors, and that retail investors have an absolute advantage. Therefore, in order to promote the development and maturity of the capital market, institutional investors must be cultivated and the life insurance industry is one of the important members, and the perfection of the capital market also needs the participation and support of the life insurance industry. On the basis of combing the theory of fluctuation cycle of capital market and the research results of life insurance investment strategy, this paper describes the present situation of life insurance fund utilization and investment structure in China, and compares the investment structure and income situation of life insurance in Anglo-American and Japanese developed countries. This paper probes into the utilization and investment strategy of life insurance funds in China, selects the monthly data of price / earnings ratio and market value of all A shares by HP filter analysis method to detect whether there is a merger or not in the fluctuation cycle of China's capital market. From 1999 to 2012, Chinese life insurance fund (insurance premium, indemnity, operating management fee) and market value volatility series of Chinese A-share capital market in the same period were analyzed by vector autoregressive regression (VAR). This paper examines the dynamic causality between the cyclical fluctuations of Chinese capital market and life insurance funds. According to the empirical analysis results, this paper discusses the influence of the law of periodic fluctuation of Chinese capital market on life insurance funds. Finally, the conclusion of the study put forward feasible policy recommendations. The possible innovation of this paper lies in the use of advanced econometric methods to select two different indexes, namely, price-earnings ratio and market value, in the analysis method. HP filter analysis method is used to detect and quantify the volatility cycle of Chinese capital market. A vector autoregressive (VAR) model is established to empirically study the impact of capital market cycle fluctuation on life insurance investment from a quantitative point of view. Through impulse response analysis, the direction and time delay effect of each variable to impact response are investigated. In the aspect of index selection and data source, the sample span is long and the time effect of data is strong. However, due to the limitation of life insurance investment related data, In addition, due to the late start of life insurance industry in our country, the application of the data in this paper is not perfect enough, which has a certain impact on the results of the analysis.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.62;F832.51

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