基于内生性视角的机构持股对股价波动影响的实证研究

发布时间：2018-04-02 17:04

本文选题：机构投资者　切入点：持股比例　出处：《中国海洋大学》2013年硕士论文

【摘要】：1990年12月19日上海证券交易所的成立和1991年7月10日深圳证券交易所的成立,标志着我国规范股票市场的正式形成。股票市场发展初期,市场的参与者以个人投资者为主。由于个人投资者在经验、专业知识等方面的不足,他们的投资行为具有明显的投机特征,致使市场上充斥着投机氛围,为了追求高收益赌博式的交易屡见不鲜。个人投资者的这些行为导致了股票市场的无序波动,使股票市场发展的初期表现为投机风气盛行,市场波动剧烈。这种环境下,股票市场并没有起到应有的提供融资渠道、优化资源配置的作用。相比个人投资者而言,机构投资者一般被认为具有更高效的信息渠道以及更专业的分析能力,因而在投资行为上更为理性,一定程度上可以起到稳定股票市场的作用。基于这种理念,中国证监会学习并借鉴了发达国家资本市场的一些经验的基础上,在2000年提出了“超常规发展机构投资者”的战略,主要为了改善我国资本市场的投资者结构,稳定和规范我国资本市场。发展的重要举措。但在大力发展机构投资者的初期,由于我国相关的法律法规不完善,监管体制不健全,使得机构投资者的违规操作行为盛行,基金黑幕事件、主力机构坐庄操作行为普遍存在。这种情形下,机构投资者非但没有稳定股票市场,反之加大了我国股票市场的波动性。在经过了多年探索性的发展与规范后,如今机构投资者已经成为了我国资本市场上重要的参与者之一,并对我国股票市场起到了举足轻重的作用。在这种背景下,正确认识机构投资者对于市场的作用对我国规范和稳定股票市场,促进资本市场发展具有重大意义。虽然国内外关于机构投资者是否能够稳定股票市场的研究层出不穷,但不论是理论分析还是实证检验,都没有得出一致的结论。近年来,关于机构投资者对于股票市场波动性的影响的研究也一直是学术界关注的焦点之一。由于机构投资者对于股价的影响主要通过其投资行为体现,而其投资行为最终的落脚点为其持股行为的变化,所以本文通过参阅大量国内外相关文献,学习相关理论及方法,并运用这些理论与方法对我国股市的波动性与机构投资者行为之间的关系进行了分析,以期确定机构投资者行为对于我国股票市场股价波动的影响。在理论分析的基础上,本文广泛搜集我国资本市场的相关数据,从上证50指数成分股里选取研究标的股票,并选取2006年至2012年的标的股票的机构持股比例、市场波动率、每股收益、流通A股市值这几项指标对机构投资者持股比例以及股价波动性之间的关系进行实证分析。在实证分析的过程中,本文考虑到机构持股比例与股价波动之间可能存在内生关系,对其进行了检验,并利用二阶段最小二乘法解决内生性的问题,以求的到更客观准确的结论。此外,为了研究机构投资者在不同的行情下其持股行为对股价波动的影响是否相同,本文在实证的最后还分阶段分别对牛市和熊市下二者的关系进行了实证检验。最后,根据实证分析结果,本文进一步分析了我国机构投资者存在的问题,并对其未来发展提出相应的对策建议。
[Abstract]:In December 19, 1990 the establishment of the Shanghai stock exchange and Shenzhen stock exchange in July 10, 1991 was established, marking the official formation of China's stock market norms. The early development of the stock market, the market participants are dominated by individual investors. Because individual investors in the experience, lack of professional knowledge and other aspects of their investment behavior has the obvious characteristics of the resulting market speculation. Full of speculative atmosphere, in the pursuit of high profit gambling transactions. It is often seen. individual investors of these behaviors lead to disorderly fluctuations in the stock market, the stock market development for the initial presentation of speculation is rampant and the market volatility. This kind of environment, the stock market is not due to provide financing channels, optimize resources the configuration of the role.
Compared with individual investors, institutional investors are generally believed to have more efficient channels of information and analysis of more professional ability, thus in the investment behavior is more rational, to a certain extent, can play a role in stabilizing the stock market. Based on this concept, China SFC based learning and some experience in capital market in developed countries. In 2000, proposed the "extraordinary development of institutional investors" strategy, mainly in order to improve the structure of China's capital market investors, stabilize and regulate the capital market in China. An important measure of development. But in the early development of institutional investors, due to China's relevant laws and regulations are not perfect, the regulatory system is not perfect. The illegal behavior of institutional investors in funds, shady events, widespread Zuozhuang operation behavior main body. In this case, institutional investors not only Without the stability of the stock market, and increase the volatility of the stock market of our country. After years of exploration and development of normative, institutional investors now has become one of the important participants in the capital market, and the stock market in China has played an important role. In this context, the correct understanding of institutional investors for the role of the market in our country regulate and stabilize the stock market, is of great significance to promote the development of capital market. Although the domestic and foreign research on whether institutional investors can stabilize the stock market, but whether the theoretical analysis emerge in an endless stream, or the empirical test, did not reach a unanimous conclusion. In recent years, the research on institutional investors for the stock market the volatility of the influence has also been the focus of the academic community.
Due to institutional investors for shares mainly by the influence of the investment behavior and investment behavior reflects the foothold for the ultimate holding behavior changes, so this paper through a large number of domestic and foreign literature, learning theory and methods, and the relationship between these theories and methods of China's stock market volatility and the behavior of institutional investors are analyzed, in order to determine the effect of institutional investors behavior in Chinese stock market price fluctuation. On the basis of theoretical analysis, the extensive collection of relevant data of China's capital market, selection of underlying stocks from the Shanghai 50 index from 2006 to 2012, and the underlying stock proportion of institutional ownership, market volatility, earnings per share, the indicators of A shares in circulation market value of empirical study on the relationship between the proportion of institutional investors and stock price volatility Analysis. In the process of empirical analysis, this paper according to the proportion of institutional ownership and stock price volatility may be endogenous, tested, and solve the endogeneity problem using two stage least squares method, in order to more objective and accurate conclusions. In addition, in order to investigate the influence of institutional investors in different market the holding behavior on the volatility of stock price is the same, in the last stages of the empirical relationship of bull and bear two empirically. Finally, according to the results of empirical analysis, this paper further analyzes the existing problems of China's institutional investors, and the future development put forward the corresponding countermeasures.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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