机构投资者行为对证券市场稳定性的影响研究

发布时间：2018-06-13 15:29

本文选题：机构投资者 + 市场稳定性　；参考：《天津财经大学》2013年硕士论文

【摘要】：在全球主要的几大证券市场上,证券投资的发展趋势基本相同,都是趋于投资机构化,机构投资者的发展势头极为迅速,已逐渐成为证券市场的主要力量,在证券市场中占据主要地位。近年来在我国的证券市场上,机构投资者对证券市场的影响力日益增大,引发越来越多的学者对机构投资者行为进行理论分析和实证研究。由于我国相比西方发达国家,证券市场的起步较晚,机构投资者的投资理念不是很成熟,他们常常采用短期投资策略,并伴随有严重的羊群效应,这些投资行为往往会加剧市场的波动,从而对市场的稳定性产生影响。不利于证券市场的稳步前进和持续发展,同时也与我国政府发展机构投资者的初衷背道而驰。所以,本文从我国实际出发,提出了几条建议,以期缓解机构投资者行为对证券市场稳定性带来的影响。对机构投资者行为影响我国证券市场稳定性的研究,本文主要从理论分析和实证检验两个方面入手。在理论层面,简要介绍了机构投资者的特征和发展历程,并从羊群效应、正反馈策略和委托代理角度研究机构投资者影响市场稳定性的作用机理。本文的实证研究是将基金持股比例、基金指数和股价指数纳入一个框架中,以基金指数为纽带,采用单位根检验、协整检验和格兰杰因果关系检验法研究基金平均持股比例与股价指数之间的关系。研究发现,机构投资者行为加剧了市场的波动性,不利于市场的稳定。鉴于此,本文最后提出了一些针对性的建议,以期缓解机构投资者的持股行为对证券市场带来波动性,并以此促进市场的稳定性。
[Abstract]:In the major securities markets in the world, the development trend of securities investment is basically the same and tends to institutionalize investment. The development momentum of institutional investors is extremely rapid and has gradually become the main force in the securities market. To occupy a dominant position in the securities market. In recent years, the influence of institutional investors on the securities market is increasing, which leads more and more scholars to carry out theoretical analysis and empirical research on the behavior of institutional investors. Compared with the western developed countries, the stock market of our country starts relatively late, the investment idea of the institutional investors is not very mature, they often adopt short-term investment strategy, accompanied by serious herd effect. These investments tend to exacerbate market volatility and thus have an impact on market stability. It is not conducive to the steady progress and sustainable development of the securities market, and also runs counter to the original intention of our government to develop institutional investors. Therefore, this paper puts forward several suggestions based on the reality of our country, in order to alleviate the influence of institutional investors' behavior on the stability of securities market. The research on the influence of institutional investors' behavior on the stability of China's securities market mainly starts from two aspects: theoretical analysis and empirical test. At the theoretical level, this paper briefly introduces the characteristics and development history of institutional investors, and studies the mechanism of institutional investors' influence on market stability from the perspective of herding effect, positive feedback strategy and principal-agent. The empirical study of this paper is to put the fund shareholding ratio, fund index and stock price index into a framework, taking the fund index as a link, using the unit root test. The cointegration test and Granger causality test are used to study the relationship between average shareholding ratio and stock price index. The research found that institutional investor behavior increased the volatility of the market, which is not conducive to the stability of the market. In view of this, this paper finally puts forward some specific suggestions in order to alleviate the volatility of institutional investors' shareholding behavior and promote the stability of the market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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