机构投资者与股票市场效率的理论与实证研究

发布时间：2018-04-18 14:58

本文选题：机构投资者 + 股票市场效率　；参考：《长沙理工大学》2012年硕士论文

【摘要】：本文首先回顾了机构投资者在我国的发展历程和股票市场效率及其测度方法的相关理论。从威斯特和惕尼克关于股票市场效率的研究理论角度出发，将股票市场效率分为外部效率和内部效率，，即运营效率和信息效率，全面系统地对机构投资者对我国股票市场效率的关系做了理论分析，发现机构投资者的参与有利于促进我国股票市场运营效率的提高。同时，本文用上市公司市值，股票的季度收益率，股票的日收益率标准差和所持股票的市值占上市公司流通总市值的比重建立了两个面板数据模型，运用Matlab7.3和Eviews6.0对2001年-2010年基金持股前100位的100只股票的季度数据实证分析了基金持股比重情况和基金持股比重的变动对上市公司股价定价效率的影响，并发现其市值的系数均为负数。这说明市值越大的公司，其股票的定价效率越低。在控制了上市公司规模、流动性状况和个股波动率的影响后，国内基金仍然扮演着降低市场定价效率的负面角色。机构投资者自身的专业化程度，规模信息优势，本应该对股票市场效率的促进发挥积极作用，但实证结果却与我们的预期背道而驰。究其原因我们发现机构投资者一个重大的问题在于其代理投资制度。作为一种代理投资制度，投资者和基金经理之间的激励不相容和信息不对称容易引发后者的道德风险行为。作为代理人的基金经理在投资决策中往往更多地是追求自身的效用最大化，而偏离委托人的财富最大化目标。文章最后基于机构投资者与股票市场的关系，提出了提升股票市场效率的相关政策建议。
[Abstract]:This paper first reviews the development history of institutional investors in China and the relevant theories of stock market efficiency and its measurement methods.From the point of view of Wester and Timnick's research on stock market efficiency, the stock market efficiency is divided into external efficiency and internal efficiency, that is, operational efficiency and information efficiency.This paper makes a comprehensive and systematic analysis of the relationship between institutional investors and the efficiency of China's stock market, and finds that the participation of institutional investors is conducive to the improvement of the operational efficiency of China's stock market.At the same time, this paper sets up two panel data models using market value, the quarterly return rate of stock, the standard deviation of daily yield of stock and the proportion of the stock in the circulation of listed company.Based on the quarterly data of the top 100 stocks held by the fund from 2001 to 2010, Matlab7.3 and Eviews6.0 are used to analyze the effect of the fund holding ratio and the change of the fund holding proportion on the pricing efficiency of the listed companies.It is also found that the coefficients of market value are all negative.This shows market value the bigger the company, its stock pricing efficiency is lower.After controlling the size of listed companies, liquidity and volatility of individual stocks, domestic funds still play a negative role in reducing market pricing efficiency.The degree of specialization and the advantage of scale information of institutional investors should play an active role in promoting the efficiency of the stock market, but the empirical results run counter to our expectations.The reason why we find institutional investors a major problem is its agency investment system.As a kind of agency investment system, the incentive incompatibility and information asymmetry between investors and fund managers can easily lead to the moral hazard behavior of the latter.Fund managers as agents tend to pursue their own utility maximization and deviate from the clients' wealth maximization goals in investment decisions.Finally, based on the relationship between institutional investors and stock market, the paper puts forward some policy suggestions to improve the efficiency of stock market.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】