社保基金在A股市场的持股偏好实证研究

发布时间：2018-07-26 15:12

【摘要】：本文旨在用数量统计方法,研究社保基金持有股票的特点。数据来源为Wind金融数据库,选取样本区间为2008年中报至2011年中报7个报告期,样本范围包括所有2008年前上市交易的所有A股,并按一定原则进行了筛选,选择指标涵盖了公司基本面,运营绩效,盈利能力,治理结构,股票市场表现等方面；采用的研究方法包括描述性统计分析,独立样本T检验,多元统计分析等。通过这些数据分析过程,找出何种指标对社保基金的持股有显著性的影响,将其与社保基金的投资理念和运营目标作对比,检验是否具有较高的契合度。同时,研究社保基金的持股偏好,也可以为广大市场参与者提供参考,使其投资活动更加理性,有助于证券市场健康平稳发展。最后的研究结果表明,社保基金偏好那些具有良好盈利能力,且“大而强”的行业龙头企业；对第一大股东过于强势和股权过于分散的上市公司有规避心理；当然作为机构投资者,社保基金在投资过程中也表现出其盈利追逐性,同时其持仓的股票一般换手率较低。总之,社保基金的投资风格和对个股的偏好与选择基本符合其运营目标和投资理念。
[Abstract]:The purpose of this paper is to study the characteristics of social security fund holding stock by means of quantitative statistics. The data source is Wind financial database, and the sample interval is 7 reporting periods from 2008 to 2011. The sample scope includes all A shares listed before 2008, and is screened according to certain principles. The selected indicators cover the company's fundamentals, operating performance, profitability, governance structure, stock market performance, etc. The research methods used include descriptive statistical analysis, independent sample T-test, multivariate statistical analysis and so on. Through these data analysis process, find out which index has significant influence on the social security fund holding, compare it with the investment idea and operation goal of social security fund, and test whether it has high agreement degree. At the same time, studying the preference of the social security fund can also provide reference for the market participants, make their investment activities more rational, and contribute to the healthy and stable development of the securities market. Finally, the research results show that the social security fund prefers those leading enterprises with good profitability and "big and strong" industry, and has the avoidance psychology to the listed companies with the largest shareholder being too strong and the equity too dispersed. Of course, as an institutional investor, the social security fund also shows its profitability in the process of investment, and its position of the stock turnover rate is generally low. In a word, the investment style of social security fund and the preference and choice of individual stock basically accord with its operation goal and investment idea.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F842.6;F832.51;F224

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