机构投资者与A股市场股价波动性相关实证研究

发布时间：2018-04-22 22:33

本文选题：机构投资者 + 股票市场波动性　；参考：《复旦大学》2012年硕士论文

【摘要】：自九十年代中国证券市场成立以来,我国证券市场股价波动幅度较大,大量散户的投机行为以及非理性操作一直被认为是我国股市剧烈波动的主要原因。近年来我国政府大力扶持证券投资基金等机构投资者的发展,其出发点就是希望机构投资者能够成为股票市场的稳定器。因此自1998年以来,我国的机构投资者得到了迅猛的发展,其对于股票市场的影响力日益显现。但是,在机构投资者的实际发展过程中,到底能否对股市起到稳定作用一直是舆论争论的焦点。如何正确认识机构投资者与股票市场波动性的关系,对促进机构投资者和证券市场的完善发展是非常必要的,具有重要的理论研究和实际应用价值。本文以金融学、计量经济学以及统计学等学科理论为指导,采用最新的统计数据,主要研究机构投资者与股票市场波动性的相互关系,以判断其是否起到了稳定股票市场证券价格波动的作用,寻找造成目前局面的内在原因并提出相关的政策建议。本文首先回顾了近年来国内外关于机构投资者与股票市场波动性相互关系的研究成果,在此基础上进行实证研究,实证对象为机构投资者与整个A股市场全部股票收益率波动的相互关系,运用自回归模型和截面数据进行回归分析。研究发现,机构投资者偏好持有波动率小的股票,但并没有起到稳定股票市场的作用,反而在一定程度上加剧了股票价格波动。可见,我国的机构投资者虽然经过多年的发展,逐渐向规范性、有效性及市场性发展,但没有起到足够的稳定市场的作用。最后,结合前面的实证研究以及原因分析提出相关的政策建议。
[Abstract]:Since the establishment of China's securities market in 1990's, the stock price of China's stock market has fluctuated greatly, and the speculative behavior and irrational operation of a large number of retail investors have been regarded as the main reasons for the sharp fluctuation of China's stock market. In recent years, our government has vigorously supported the development of institutional investors such as securities investment funds, the starting point of which is the hope that institutional investors can become a stabilizer of the stock market. Since 1998, institutional investors in China have developed rapidly, and their influence on the stock market has become increasingly apparent. However, in the actual development of institutional investors, whether the stock market can play a stabilizing role has always been the focus of public opinion. How to correctly understand the relationship between institutional investors and the volatility of stock market is very necessary to promote the perfect development of institutional investors and securities market. It has important theoretical research and practical application value. Guided by the theories of finance, econometrics and statistics, this paper mainly studies the relationship between institutional investors and stock market volatility, using the latest statistical data. In order to determine whether it has played the role of stabilizing the stock market stock price fluctuations, to find out the internal causes of the current situation and to put forward relevant policy recommendations. This paper first reviews the research results of the relationship between institutional investors and stock market volatility at home and abroad in recent years, and then carries out empirical research on this basis. The empirical object is the interrelation between institutional investors and the whole A-share market stock return volatility. The autoregressive model and cross-section data are used for regression analysis. The study found that institutional investors prefer to hold stocks with low volatility, but they do not play a stabilizing role in the stock market, on the contrary, they aggravate the volatility of stock prices to a certain extent. It can be seen that the institutional investors in our country, after years of development, gradually to the normative, effective and market-oriented development, but did not play a sufficient role in stabilizing the market. Finally, combined with the previous empirical research and cause analysis, the relevant policy recommendations are put forward.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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