证券投资基金对股市波动性影响的实证研究

发布时间：2018-04-22 20:43

本文选题：证券投资基金 + 股市波动性　；参考：《西南大学》2016年硕士论文

【摘要】：在我国经济快速发展的推动下,我国股票市场也随之得到了十分快速的发展。但与此同时,我国股票市场指数的波动幅度也逐渐增大。过去的十年里,我国股票市场出现了让众多投资者惊心动魄的“过山车”式的动荡行情:自2006年10月16日至2007年10月16日,上证综合指数自1747.77点上升到历史最高点6124.04点,然后在2008年10月28日下降到1664.93点;历史惊人的相似,上证综指自2014年3月12日至2015年6月15日从1900多点上涨至5178.19高点,又用了仅仅两月时间下跌到2850.71点。我国股票市场以个人投资者为主的市场投资者结构被认为是致使我国股票市场出现暴涨暴跌这般“过山车式”行情的主要原因。为了优化我国股票市场的投资者结构、抑制股票市场所存在的过度投机行为、减小股票市场波动性,我国监管当局提出了大力推动机构投资者发展的战略,希望通过借助机构投资者理性、科学及专业的投资运作管理,通过机构投资者的负反馈交易行为来抵消股票市场上的非理性行为,从而达到稳定市场这一目的。在这一发展战略的推动下,我国证券投资基金仅用了短短十几年时间就实现了跨越式的发展,而走过这一历程的发达国家用了近百年的时间。如今我国证券投资基金已然形成了相当的资产规模,证券投资基金已然成为我国证券市场上最主要的机构投资者之一,证券投资基金作为一种投资工具也受到个人投资者的青睐,其投资行为对我国证券市场所产生的影响也越来越大。然而,目前学术界对于证券投资基金是否能够降低市场波动性这一命题仍未有定论,基金是否已经成为了“大散户”这一说法众说纷纭。因此,能否正确认识证券投资基金的投资行为及其对股票市场所造成的影响是能否实现证券投资基金健康发展、促进证券市场发展完善的重要条件。本文关注的问题是,在暂不考虑其他影响因素的前提下,在这动荡的股市行情中,曾被寄以希望来稳定股市的证券投资基金,其投资行为对中国股市行情起了什么样的作用?这也是当前我国证券市场发展所必须要得到解决的、具有重大现实意义的问题。本文首先对国内外学者及专家的理论进行了梳理,并对证券投资基金的相关概念以及股票市场波动性的界定及衡量进行了简单描述。同时,在结合国内外理论研究成果的基础上,就证券投资基金对股票市场所产生的两方面的影响进行了分析,并通过使用描述性统计的方法对我国证券投资基金及股票市场的现状进行了分析。在对证券投资基金及股票市场波动性进行理论以及现状分析之后,本文采取实证研究方法分别从宏观和微观两个层面就我国证券投资基金对股票市场波动性的影响进行了计量分析。宏观层面通过构建TARCH(1,1)模型针对证券投资基金总资产净值对沪深大盘指数收益率的影响进行了分析。实证结果显示,证券投资基金并没能起到稳定市场的作用,反而在一定程度上对沪深大盘指数的波动性起了推波助澜的作用;微观层面通过对2010年第三季度至2015年底的基金重仓股前10家上市公司的相关指标构建面板数据进行实证分析。实证结果显示,证券投资基金的持股比例对上市公司股价波动性的影响并不显著。此外,本文针对上证综合指数及相应的基金指数进行了协整关系分析,结果表明二者之间存在长期稳定的关系。本文实证结果表明,曾被监管当局寄予厚望的证券投资基金并未能够减小市场的波动性,从而起到稳定市场的作用,反而在一定程度上加剧了市场的波动性。证券投资基金之所以未能够降低市场的波动性,起到稳定市场的作用,这可能与我国股票市场投资者结构、基金内部考核体系不合理、监管力度不够以及我国信托文化未能构建等问题相关。因此,本文针对影响基金发挥稳定作用的证券市场和基金自身内外两方面因素提出了相关的政策建议。
[Abstract]:With the rapid development of China's economy, China's stock market has also developed rapidly. At the same time, the volatility of China's stock market index has also gradually increased. In the past ten years, China's stock market has made many investors thrilling "roller coaster" type of Turbulence: since October 2006 16 From October 16, 2007 to October 16, 2007, the Shanghai Composite Index rose from 1747.77 to 6124.04 points at its highest point and then dropped to 1664.93 in October 28, 2008; the history of the Shanghai Composite Index rose from March 12, 2014 to June 15, 2015 from more than 1900 to 5178.19, and it took only two months to fall to 2850.71. The structure of the market investor based on individual investors is considered to be the main cause of the "roller coaster" market in China's stock market. In order to optimize the investor structure of the stock market, restrain the excessive speculation in the stock market and reduce the volatility of the stock market, the supervision of China's stock market The government has put forward a strategy to vigorously promote the development of institutional investors, hoping to achieve the goal of stabilizing the market by means of institutional investors' rational, scientific and professional management of investment operation through negative feedback trading behavior of institutional investors to achieve the goal of stabilizing the market. It took only a few short years for the national securities investment fund to achieve the leapfrog development, and the developed countries that have passed this course have taken nearly a hundred years. Now our securities investment fund has already formed a considerable scale of assets, and the securities investment fund has already become one of the most important institutional investors in the certificate market of China, and it has been proved to be one of the most important institutional investors. As an investment tool, voucher investment fund is also favored by individual investors, and its investment behavior has more and more impact on China's securities market. However, there is still no conclusion on whether the securities investment fund can reduce the volatility of the market, and whether the fund has become the "large retail". There are many different opinions. Therefore, whether it is possible to correctly understand the investment behavior of the securities investment fund and its impact on the stock market is an important condition for the healthy development of the securities investment fund and the improvement of the securities market. In the market, what is the effect of the investment behavior of the securities investment fund on the stock market, which has been expected to stabilize the stock market? This is also a problem that the development of the stock market in China must be solved. This paper first combed the theories of scholars and experts at home and abroad. This paper gives a brief description of the concept of securities investment fund and the definition and measurement of the volatility of the stock market. At the same time, on the basis of the theoretical research results at home and abroad, the impact of the securities investment fund on the two aspects of the stock market is analyzed, and the method of descriptive statistics is used to invest in China's securities investment. The present situation of the capital fund and the stock market is analyzed. After the theory and analysis of the volatility of the securities investment fund and the stock market, the empirical research method is taken to analyze the impact of the securities investment fund on the volatility of the stock market from two aspects of the macro and micro levels. The effect of the total net value of the securities investment fund on the index return on the Shanghai and Shenzhen stock market is analyzed by the TARCH (1,1) model. The empirical results show that the securities investment fund does not play a role in stabilizing the market, but on the contrary, it has played a role in promoting the volatility of the Shanghai and Shenzhen stock market index to a certain extent. In the third quarter of 2010 to the end of 2015, the relevant indicators of the top 10 listed companies of the fund are constructed to carry out an empirical analysis. The empirical results show that the share ratio of the securities investment fund has no significant impact on the volatility of the listed companies. In addition, this paper has conducted a synergy on the Shanghai Composite Index and the corresponding fund index. The result of the whole relationship analysis shows that there is a long-term stable relationship between the two. The empirical results show that the securities investment funds that have been expected by the regulatory authorities have not been able to reduce the volatility of the market and thus play a role in stabilizing the market. On the contrary, the volatility of the market is aggravated to a certain extent. The reason why the securities investment fund is not It can reduce the volatility of the market and play a role in stabilizing the market, which may be related to the structure of the investors in the stock market, the unreasonable internal assessment system of the fund, the insufficient supervision and the failure of the construction of the trust culture in our country. Therefore, this paper is aimed at the securities market and the fund itself, which affects the stability of the fund, and the fund itself two. Relevant policy recommendations are put forward.

【学位授予单位】：西南大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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