踏空对机构投资者投资行为的影响研究

发布时间：2019-04-15 21:15

【摘要】：本来,机构投资者是股票市场上的主导力量,但机构投资者踏空成为一种普遍现象。不仅踏空的机构投资者有很多,而且很多机构投资者多次踏空。随着我国金融市场和证券市场结构的逐渐完善,机构投资者承担着引导理性投资、调整金融结构、推动经济体制改革与创新,以及推动经济可持续发展的历史使命。机构投资者的投资行为、投资理念、投资风格和管理水平,对证券市场的走势,乃至整个市场的结构化和制度化的完善都起到举足轻重的作用。本文的目的就是要分析和检验当机构投资者踏空后,他们是否会采取正反馈、反转交易以及羊群行为等,这些非理性投资行为加大了市场的波动,容易产生股市泡沫,严重的可能导致金融危机。所以,基于股票市场和机构投资者互动发展的内在要求,就踏空对机构投资者投资行为的影响进行研究具有重要的理论价值和实践意义。本文首先对影响机构投资者踏空的因素进行探讨,从政策变动、噪声交易、上市公司信息披露以及机构投资者认知心理偏差等方面揭示了机构投资者踏空的原因。然后,对基于踏空的机构投资者正反馈交易行为、反转行为和羊群行为的形成机理进行理论分析,阐释踏空对机构投资者投资行为的影响。在此基础上,选取牛市、熊市的样本股票,运用数据模型和动态区间对比的方法,对基于踏空的机构投资者投资行为进行实证分析。根据踏空对机构投资者投资行为影响的理论和实证分析,本文得到踏空后的机构投资者存在明显的正反馈交易行为和羊群行为,牛市中的正反馈交易行为、羊群行为强于熊市,反转行为仅在牛市存在的研究结论。最后,根据文章的结论,为了降低机构投资者踏空的出现以及踏空造成的股市影响,作者从监管方、上市公司以及机构投资者自身角度考虑,提出有针对性的政策与建议,如弱化政策市效应、大力发展多元化的机构投资者、上市公司做好信息披露的义务以及机构投资者建立更加合理的绩效评价和委托激励制度等等,以此促进机构投资者和中国股市更加健康地发展。
[Abstract]:Originally, institutional investors are the dominant forces in the stock market, but institutional investors have become a common phenomenon. There are not only a lot of institutional investors, but also many institutional investors. With the gradual improvement of the structure of China's financial market and securities market, institutional investors undertake the historical mission of guiding rational investment, adjusting the financial structure, promoting the reform and innovation of the economic system, and promoting the sustainable development of the economy. The investment behavior, investment idea, investment style and management level of institutional investors play an important role in the trend of securities market, and even the structure and institutionalization of the whole market. The purpose of this paper is to analyze and test whether institutional investors will take positive feedback, reverse trading and herd behavior when they go short. These irrational investment behaviors increase the volatility of the market and lead to stock market bubbles. There is a serious risk of a financial crisis. Therefore, based on the inherent requirements of the stock market and institutional investors' interactive development, it is of great theoretical value and practical significance to study the impact of the emptiness on the investment behavior of institutional investors. This paper first discusses the factors that affect institutional investors' short-selling, and reveals the reasons of institutional investors' short-selling from the aspects of policy changes, noise trading, information disclosure of listed companies and cognitive psychological deviation of institutional investors. Then, the formation mechanism of institutional investors' positive feedback trading behavior, reversal behavior and herding behavior is analyzed theoretically, and the influence of blanking on institutional investors' investment behavior is explained. On this basis, select the bull market, bear market sample stock, using the data model and dynamic interval comparison method, to carry on the empirical analysis to the institutional investor investment behavior based on the short-term. According to the theoretical and empirical analysis of the influence on institutional investors' investment behavior, this paper obtains that the institutional investors have obvious positive feedback trading behavior and herding behavior, the positive feedback trading behavior in bull market, herding behavior is stronger than bear market, and the positive feedback trading behavior in bull market is stronger than that in bear market. The reverse behavior exists only in the bull market. Finally, according to the conclusion of the article, in order to reduce the occurrence of institutional investors' short flight and the impact of the stock market, the author puts forward some targeted policies and suggestions from the perspective of regulators, listed companies and institutional investors themselves. Such as weakening the effect of policy market, vigorously developing diversified institutional investors, the obligation of listed companies to do well in information disclosure, and establishing a more reasonable performance evaluation and entrustment incentive system for institutional investors, and so on. In order to promote institutional investors and China's stock market more healthy development.
【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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