我国机构投资者羊群行为对股价联动的影响研究

发布时间：2018-01-30 20:41

  本文关键词： 机构投资者 羊群行为 股价联动性 会计信息 新会计准则　出处：《电子科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：股价联动是指证券市场中个股之间、个股与市场之间价格的同向变动,即人们常说的股票价格“同涨同跌”。股价联动性轻则导致投资者无法使用传统的资本资产定价方法和投资组合策略进行投资,提高决策难度;重则加大金融市场的风险传染程度,破坏一个国家乃至世界经济的健康发展。然而,目前的相关研究均显示出我国的证券市场存在较为严重的股价联动现象。截至当下,以证券投资基金为主的机构投资者的持股规模已达到沪深两市总体市值的一半以上,机构投资者已经成为了我国资本市场上的主要力量。但是,机构投资者发展时间短的内因与新兴市场制度不完善的外因,导致他们还未形成成熟的投资理念,在一定程度上存在着投机等非理性行为,这无疑加剧了股票价格的波动,影响了证券市场的稳定性。种种迹象表明,我国证券市场股价联动程度的增加与机构投资者的非理性行为—尤其是“羊群行为”密切相关。因此,本文在对近年来相关理论及文献进行回顾与总结的基础上,着眼于我国机构投资者的羊群行为,对其产生原理以及与股价联动性的相关关系进行深入的探讨和实证检验。首先,我们对封闭式基金羊群行为的诱因进行了探究。国内外的相关研究认为,会计信息作为分析上市公司投资价值最为重要的参考依据,会对机构投资者的投资行为产生重大影响。而会计准则作为生成会计信息的制度规范,有效的保障了会计信息的质量与可理解性,对抑制非理性羊群行为的形成具有重大意义。因此,我们以2004—2011年深证A股上市公司为样本,对在沪、深两市交易的共146家封闭式基金在新旧会计准则体系下的羊群行为进行实证检验,探究会计信息是否构成了机构投资者羊群行为的诱因。研究结果表明,会计信息质量对封闭式基金的羊群行为影响显著。同时我们还发现,《新会计准则》执行前,上市公司较高的会计信息透明度会增加机构投资者的羊群效应,《新会计准则》执行后情况相反;随着市场信息披露制度的逐渐完善,机构投资者对会计信息透明度低的上市公司的羊群行为逐年增加,对会计信息透明度高的上司公司的羊群行为逐年减弱;机构投资者的买方羊群行为会随着市场环境的好转而下降,即牛市下降,熊市上升,而卖方羊群行为会随着市场环境的好转而上升,即牛市上升,熊市下降。在前述相关实证结果的基础上,我们又构建了计量模型,进一步检验在不同的市场环境下,我国封闭式基金羊群行为与股价联动性的相关关系。研究结果表明,从长期来看,我国的机构投资者将更多的进行价值投资,证券市场的股价联动程度会随着机构投资者羊群行为的加剧而下降。另外,我国证券市场的股价联动程度会随着机构投资者买方羊群行为的增加而下降,随着卖方羊群行为的增加而加剧;当证券市场处于熊市时,股价联动程度会随着机构投资者买方羊群行为的增加而下降,当证券市场处于牛市时,股价联动程度会随着机构投资者卖方羊群行为的增加而加剧。综上我们发现,尽管我国的机构投资者在管理资金时同时存在价值投资和短期投机两种投资行为,但在总体上仍然遵循长期的价值投资理念。虽然有时受到市场环境以及投机氛围的影响,机构投资者也会产生一些跟风模仿、快进快出的短期博弈行为,但对其整体的价值投资理念不构成威胁。因此,监管层可以在一定程度上正确引导机构投资者的投资行为,以减轻由于短期投机而产生的非理性羊群行为。同时,相关部门也要不断健全市场机制,完善会计制度,从客观上弱化羊群行为的形成条件,进而减轻股价联动性,促进证券市场的健康发展。
[Abstract]:Price linkage refers to stocks in the stock market, stock market and between the change in prices, people often say that the stock price "up or down". The price linkage of light to cause investors can not use the traditional capital asset pricing method and portfolio investment, increase the difficulty of decision-making; weight to increase the financial market risk contagion, destroy a healthy development of the country and the world economy. However, current researches show that stock price linkage is a serious phenomenon existing in China's securities market. At present, the size of holdings in the securities investment fund based institutional investors has reached more than half of the Shanghai and Shenzhen two overall the market, institutional investors have become the main force in the capital market of China. However, because of the short development time of the internal institutional investors and emerging market system is not perfect, guide They have not formed a mature investment ideas, to a certain extent, there is speculation and irrational behavior, which undoubtedly exacerbated the volatility of stock prices, affecting the stability of the securities market. There are indications that the irrational behavior and price linkage mechanism, increase the degree of China's securities market investors especially "closely related to herd behavior. Therefore, based on the review and summary of the related theories and literatures in recent years, focusing on the herding behavior of institutional investors in China, and the relationship between principle and stock price linkage to the discussion and thorough empirical test. First, we on the herd behavior of the closed fund the causes were studied. The related research at home and abroad, the most important reference for the investment value analysis of accounting information as a listed company, will the investment behavior of institutional investors. Have a significant impact. While the accounting standards as a system specification to generate accounting information, effectively guarantee the quality of accounting information and understanding, is of great significance to inhibit the formation of irrational herd behavior. Therefore, we in 2004 2011 Shenzhen A shares of listed companies as samples, the empirical test in Shanghai, herd behavior Shenzhen two city transaction a total of 146 closed-end funds in the old and new accounting standards system, to explore whether the accounting information constitutes the inducement of herding behavior of institutional investors. The results show that the quality of accounting information of closed-end fund herd behavior is significantly affected. At the same time, we also found that the new accounting standards before the execution of < >, accounting higher information transparency of listed companies will increase the herding behavior of institutional investors, the new accounting standards after the implementation of < > instead; with the market information disclosure system gradually perfect, institutional investors The herding behavior of accounting information transparency low listed companies increased year by year, the herding behavior on the high transparency of accounting information listed companies gradually weakened; the herding behavior of institutional investors will decrease as the market environment has improved, the bull market bear market decline, rising, and the herd behavior will rise with the market environment improved, the bull market the rise, decline. Based on the results of the bear market related empirical analysis, we construct the measurement model and further test in different market environment, the closed relationship between the herd behavior of funds and stock price linkage in China. The results show that, in the long term, China's institutional investors will be more investment value the degree of stock market, stock price linkage will decrease as the herding behavior of institutional investors increased. In addition, China's securities market price linkage degree with machine The increase of herd behavior of investors and buyers decline intensified with the herd behavior; when the bear market, the stock price linkage degree will decrease with increasing the herding behavior of institutional investors, when the stock market in a bull market, the stock price linkage degree will be intensified with the herding behavior of institutional investors to sum up. We found that although China's institutional investors exist at the same time the value of the investment and two short-term speculative investment behavior in the management of funds, but in general still follow the long-term value investment philosophy. Although sometimes influenced by the market environment and the atmosphere of speculation, investors will have to follow some short-term Kuaijinkuaichu, game behavior, but does not constitute a threat to the whole idea of the value investment. Therefore, regulators can correctly guide institutional investors to a certain extent The investment behavior, in order to reduce short-term speculation arising due to irrational herd behavior. At the same time, the relevant departments should also constantly improve the market mechanism, improve the accounting system, the formation conditions of weakening herd behavior objectively, and then reduce the price linkage, and promote the healthy development of the securities market.

【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
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本文编号：1477185