套牢对机构投资者投资行为的影响研究

发布时间：2019-06-01 20:29

【摘要】：机构投资者的崛起是全球金融体系近30年来最大的变化之一。作为证券市场中主要的投资力量,相比个人投资者资金规模小、投资专业能力较低、获取信息的质量不高及获取的渠道与速度受到限制,机构投资者在诸多方面都具有优势。按理说,其套牢事件应该比较少。但是,在现实情况中,机构投资者套牢事件逐渐增多,频率也逐渐提高,且对机构投资者和证券市场发展都产生了一定的影响,所以对套牢情形下机构投资者投资行为的研究很有必要。本文基于机构投资者套牢的前提,深入分析了套牢对机构投资者投资行为的影响。文章首先阐述了机构投资者套牢的形成机理,进而介绍了机构投资者套牢的特征表现；然后理论上分析了套牢对机构投资者投资理念及投资行为的影响,创新性的论述了机构投资者通过动量行为和反转行为相结合的波段操作方式,接着论述了套牢对机构投资者羊群行为的影响,进而实现了对套牢个股的减持、持股等待和自救的行为；之后建立了实证分析模型,从市场、机构投资者自身及个股层面对影响机构投资者投资行为的因素进行了必要的实证研究,进而结合理论研究对实证结果进行了分析；最后,在总结理论分析和实证结果的前提下,得出了本文的研究结论,针对此研究结论提出了相关的政策和建议。本文的理论分析和实证研究表明,套牢个股的每股收益变动率、股价的涨跌幅度及换手率的基本面因素对机构投资者的投资行为产生了重要影响,而证券市场的大盘指数收益率及基金净值变动对机构投资者的投资行为影响有限。为减少机构投资者的套牢次数和有限理性的投资行为,政府应该完善信息的披露、建立多层面的机构投资者格局的职能,机构投资者应该通过培育价值投资理念、完善内部管理及激励制度等提高其理性投资,另外,也应该通过市场和内部管理加强对上市公司的监管,以此促进机构投资者和我国证券市场的健康发展。
[Abstract]:The rise of institutional investors is one of the biggest changes in the global financial system in nearly 30 years. As the main investment force in the securities market, compared with individual investors, the capital scale of individual investors is small, the professional ability of investment is low, the quality of access to information is not high and the access channel and speed are limited. Institutional investors have advantages in many aspects. According to reason, there should be fewer concealment incidents. However, in reality, the incidents of institutional investors are gradually increasing, and the frequency is also gradually increasing, and has had a certain impact on the development of institutional investors and the securities market. Therefore, it is necessary to study the investment behavior of institutional investors. Based on the premise of institutional investors, this paper deeply analyzes the influence of institutional investors on institutional investors' investment behavior. This paper first expounds the formation mechanism of institutional investors, and then introduces the characteristics of institutional investors. Then it theoretically analyzes the influence of ensemble on the investment concept and investment behavior of institutional investors, and innovatively discusses the band operation mode of institutional investors through the combination of momentum behavior and reversal behavior. Then it discusses the influence of locking up on the herding behavior of institutional investors, and then realizes the behavior of reducing the holding of individual stocks, holding stock waiting and saving themselves. Then the empirical analysis model is established, and the necessary empirical research on the factors that affect the investment behavior of institutional investors is carried out from the market, institutional investors themselves and individual stocks, and then the empirical results are analyzed in combination with theoretical research. Finally, on the premise of summing up the theoretical analysis and empirical results, the research conclusions of this paper are obtained, and the relevant policies and suggestions are put forward. The theoretical analysis and empirical research in this paper show that the change rate of earnings per share, the rise and fall of stock price and the basic factors of turnover rate have an important impact on the investment behavior of institutional investors. However, the rate of return of the stock market index and the change of the net value of the fund have a limited impact on the investment behavior of institutional investors. In order to reduce the number of institutional investors and limited rational investment behavior, the government should improve the disclosure of information and establish the function of multi-level institutional investor pattern. Institutional investors should cultivate the concept of value investment. Improve the internal management and incentive system to improve their rational investment, in addition, we should also strengthen the supervision of listed companies through the market and internal management, so as to promote the healthy development of institutional investors and China's securities market.
【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;F224

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