我国养老金投资资本市场研究

发布时间：2018-07-18 10:54

【摘要】：随着人口老龄化的加速推进和养老保险基金的不断积累，养老保险基金的保值增值问题日益引起国民的重视。养老金投资于资本市场是保值增值的一个重要渠道，但也充满着风险。在金融危机和欧债危机的双重影响下，我国的养老金在资本市场的投资面临着前所未有的挑战。如何既实现养老金的保值增值，又保持养老金的基本安全，降低投资风险，是我们必须正视并亟待解决的问题。本文研究的主要问题也在于此，即我国养老金投资资本市场研究。文章首先阐述了养老金投资资产配置决策理论和养老金投资绩效理论，接着对我国养老金在资本市场上的投资现状进行了深刻的分析，同时深刻剖析了我国养老金投资资本市场所面临的主要问题。从总体上来说，我国的养老金投资对资本市场，特别是股票市场的参与程度和影响深度都还比较有限，这主要表现在三个方面：第一，养老金的投资规模小，总体收益率低；第二，养老金的持股期限短，交易较为频繁；第三，养老金投资监管制度缺位。通过与OECD和非OECD主要国家养老金的投资规模、投资结构和投资收益率的对比，发现我国养老金在投资方面面临诸多问题。论文对智利和韩国的养老金投资管理模式进行了特别分析，发现韩国在养老金委托经营和“走出去”战略上做得很到位，而智利在五种基金计划模式推行和投资监管体系的优化方面效果显著。这样对比性的分析旨在对我国养老金投资现状与资本市场的关系有个全面的认识。同时，本文借助SPSS分析工具对养老金投资股票进行了实证分析，旨在找到适合我国的股票投资比例。实证发现我国股票投资比例不宜超过40%，30%-40%为合理缓释比例区段。此外，借助马科维茨投资组合理论对我国养老金投资股票的可行性进行了分析，并对我国养老金投资提出政策建议：第一，，做实个人账户，充实投资资金，这是养老金个人账户资本化的前提，否则“空账”运行和“养老金隐形债务”的现象将难以避免；第二，建立多种基金投资计划，将市场机制引入到基本养老保险基金投资管理之中；第三，积极推动基本养老金基金入市，拓宽养老金投资渠道；第四，结合中国国情，借鉴智利Marcel委员会关于多种基金计划模式的养老金投资监管政策；第五，进一步优化企业年金投资管理费设计；第六，优化养老金监管机构和监管职能的设计与协调；第七，细化和优化养老金数据库；第八，积极探索、创新和丰富养老金投资工具，优化养老金投资管理结构。同时，政府应该积极优化和适时调整制度参数，强化制度里的激励机制，调节制度里的再分配因素，建立养老金债务危机“防火墙”。这些将是我国养老金投资制度设计者们必须重视的方面。在结论部分，论文指出我国现阶段应该适当放开“数量限制”模式的养老金投资管理方式，拓宽养老金的投资渠道，并逐步和渐进地放松对投资于固定收益之外的金融工具的限制，可以在经济低迷时，探索使用集合投资计划（CIS）的养老金投资模式。我国养老金对股票投资比例的设置标准可以借鉴和参考智利或者我国社保基金和企业年金成功的投资管理模式，并积极推动我国基本养老金入驻资本市场，特别是股票市场。此外，我国可以借鉴韩国的养老金投资模式，积极研究和涉足养老金对衍生工具的投资尝试，委托专业的投资管理公司积极探索养老金“走出去”的投资战略，分享海外资本市场发展带来的好处，待条件成熟后，逐步过渡到“谨慎人”的监管模式。
[Abstract]:With the acceleration of the aging of the population and the continuous accumulation of endowment insurance funds, the problem of increasing and increasing the value of the endowment insurance fund has increasingly aroused the attention of the people. The pension investment in the capital market is an important channel to preserve and increase the value, but it is also full of risks. Under the dual influence of the financial crisis and the European debt crisis, the pension in China is in the country. The investment in the capital market is facing unprecedented challenges. How to maintain and increase the value of the pension, and maintain the basic security of the pension and reduce the risk of investment is a problem that we must face and need to solve. The main problem of this paper is the research on the capital market of pension investment in China.
The paper first expounds the theory of investment asset allocation decision and the theory of pension investment performance, then makes a profound analysis of the current investment status of China's pension in the capital market, and deeply analyzes the main problems facing the investment capital market of China's pension. The capital market, especially the stock market participation degree and the influence depth are still relatively limited, this is mainly manifested in three aspects: first, the pension investment scale is small, the overall return rate is low; second, the pension is short, the transaction is more frequent; third, the pension investment supervision system is absent. Through the OECD and non OECD main. The investment scale of the state pension, the investment structure and the comparison of the rate of return on investment have found many problems in the investment of China's pension. This paper makes a special analysis on the pension investment management model of Chile and South Korea, and finds that South Korea has done very well in the strategy of entrusting the pension and "going out", while Chile has five kinds. The effect of the implementation of the fund plan model and the optimization of the investment supervision system is remarkable. This contrastive analysis aims at a comprehensive understanding of the relationship between the state pension investment status and the capital market. At the same time, this paper makes an empirical analysis of the pension investment stock with the help of the SPSS analysis tool to find the stock investment suitable for our country. It is found that the proportion of stock investment in China should not exceed 40%, 30%-40% is a reasonable slow-release proportion section. In addition, the feasibility of pension investment stock in China is analyzed with the help of Markowitz investment portfolio theory, and the policy suggestions are put forward for China's Pension Investment: first, make a real personal account and enrich the investment funds, which is the support of the pension investment. The premise of capitalization of old gold personal account, otherwise the phenomenon of "empty account" operation and "pension invisible debt" will be difficult to avoid. Second, establish a variety of fund investment plans, introduce market mechanism into the investment management of basic endowment insurance fund; third, actively promote the basic pension fund into the market and broaden the investment channel of pension. Fourth, combined with the national conditions of China, draw on the pension investment supervision policy of the Chilean Marcel Committee on the multi fund plan model; fifth, optimize the design of the investment management fee for the enterprise annuity; sixth, optimize the design and coordination of the pension regulatory and regulatory functions; seventh, refine and optimize the pension database; Eighth, We should actively explore, innovate and enrich the pension investment tools and optimize the management structure of pension investment. At the same time, the government should actively optimize and adjust the system parameters, strengthen the incentive mechanism in the system, adjust the redistribution factors in the system and establish the "anti firewall" of the pension debt crisis. These will be the designer of the pension investment system in China. What we must pay attention to.
In the conclusion part, the paper points out that the pension investment management mode of "quantity restriction" should be loosened properly at the present stage, widening the investment channels of pension, gradually and gradually relaxing the restrictions on financial instruments that invest in the fixed income, and explore the use of CIS for the elderly. We can learn from and refer to the successful investment management model of Chilean or China's social security fund and enterprise annuity, and actively promote the capital market of China's basic pension into the capital market, especially the stock market. In addition, China can draw on the model of Korean pension investment. We have studied and dabbled in the investment attempt of pension to derivatives, and commissioned a professional investment management company to actively explore the investment strategy of "going out" and share the benefits of the development of the overseas capital market. After the conditions are ripe, it is gradually transferred to the "prudent" supervision model.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.67;F224

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