流动性约束对机构投资者投资行为的影响研究

发布时间：2018-05-29 02:07

本文选题：机构投资者 + 流动性约束　；参考：《郑州大学》2012年硕士论文

【摘要】：目前,我国机构投资者的投资行为大多是基于委托—代理关系的集合投资行为,这就决定了机构投资者的资金流动不确定性强,也必然使其自身的投资行为受制于资金层面的流动性约束。为了能更好地应对随时可能出现的资金支出需求,机构投资者会更加追求短期的投资收益,并主动或被动地改变自己原有的投资计划和策略。本文研究的重点是流动性约束如何影响机构投资者的投资行为以及在不同的市场状况下基于流动性约束的机构投资者投资行为的特征。本文首先总结归纳了不同层面的流动性的概念,在此基础上给出了机构投资者流动性约束的定义,进而分析了机构投资者流动性约束的形成机理。随后,从行为金融学的角度出发,探讨了流动性约束对机构投资者投资行为在三个方面的影响,并分别在牛市和熊市两种不同的市况下,分析了基于流动性约束的机构投资者投资行为的特征,得出了以下结论：在牛市中,基于流动性约束的机构投资者会实施反转行为打压股价,使其有能力进行下一轮的动量行为拉升股价而获利,反复进行波段操作,并在波段操作的过程中实现调仓换股,并最终形成处置效应。在熊市中,基于流动性约束的机构投资者仍然会通过不断反复的反转行为和动量行为进行波段操作、调仓换股,机构投资者之间会相互协作、抱团取暖,但也会基于同行竞争和业绩排名的压力进行捕食性交易。此外,文章通过构建数学模型具体描述了基于流动性约束的机构投资者之间的“捕食”交易行为,并采用实证分析的方法进一步证实了理论部分的结论。最后,文章提出了一些政策建议,旨在加强对机构投资者的监管力度,提高机构投资者的流动性风险管理水平,培育全面、理性的机构投资者,促进我国资本市场的健康发展。
[Abstract]:At present, most of the investment behavior of institutional investors in our country is based on the aggregate investment behavior based on the principal-agent relationship, which determines that the institutional investors have a strong liquidity uncertainty, and the investment behavior of the institutional investors is bound to be constrained by the liquidity constraints at the capital level. The focus of this paper is how liquidity constraints affect the investment behavior of institutional investors and the characteristics of institutional investors' investment behavior based on liquidity constraints in different market conditions.
This paper first summarizes the concept of liquidity in different levels, and then gives the definition of liquidity constraints for institutional investors, and then analyzes the formation mechanism of liquidity constraints of institutional investors. Then, from the perspective of behavioral finance, this paper discusses the three aspects of liquidity constraints on institutional investors' investment behavior. Under the two different market conditions of the bull market and the bear market, the characteristics of institutional investors' investment behavior based on liquidity constraints are analyzed. The following conclusions are drawn: in the bull market, institutional investors based on liquidity constraints will carry out reverse behavior to press the stock price, so that they have the ability to carry on the next round of momentum behavior to lift the stock price. In a bear market, institutional investors, based on liquidity constraints, will continue to operate through repeated reversals and momentum behavior in a bear market, transfer stocks and swap stocks, and the institutional investors will cooperate with each other to warm up in a bear market. In addition, the article describes the "predatory" trading behavior between institutional investors based on liquidity constraints by building a mathematical model, and further confirms the conclusion of the theoretical part by the method of empirical analysis. Finally, the article puts forward some of the conclusions. The policy suggestion is to strengthen the supervision of institutional investors, improve the level of liquidity risk management of institutional investors, cultivate comprehensive and rational institutional investors, and promote the healthy development of the capital market in China.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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