投资者结构对我国股市波动性影响研究

发布时间：2018-05-09 04:22

本文选题：投资者结构 + 股市波动性　；参考：《安徽财经大学》2014年硕士论文

【摘要】：股票市场是资本市场的重要组成部分,一国股票市场的发展对其经济发展具有重要的作用。然而,股票市场剧烈波动会给证券市场甚至社会经济和生活造成冲击。因此,将股价风险控制在合理的范围内,维护市场稳定,一直是对股票市场的重要监管目标。20世纪70年代以来,伴随着发达国家对金融管制的放松和金融市场的发展,机构投资者迅速发展,逐渐取代个人投资者成为国际股票市场上最主要的投资主体。我国自1993年允许证券公司参与股票市场以来,通过二十年的发展,投资者的结构发生了深刻的变化,投资者多元化的格局初步形成。研究投资者结构的变化对我国股市波动性的影响,对于优化我国股票市场的投资者结构,促进市场的健康和稳定发展,意义重大。本文首先介绍了我国股票市场的投资者结构的基本状况和股市的波动特征,然后从信息不对称、资金不对称和交易水平不同三个方面探讨投资者结构对股市波动性影响的作用机理,再次运用计量经济学的方法对投资者结构对股市波动性的影响进行实证分析。本文的实证研究是基于宏观层面,从市场交易者和市场规模两个角度研究投资者结构的变化对我国股市波动性的影响。首先,从市场交易者角度,本文分别测度了一般法人、专业机构投资者和个人投资者持股比例、持股比例变动率和开户比例、开户比例变动率对股市波动性的影响,得到如下结论：(1)一般法人投资者持股比例和专业机构投资者开户比例与股市波动性之间是负向关系,(2)一般法人投资者和专业机构投资者的持股比例变动率与股市波动性之间是正相关的关系；其次,从市场规模来角度,本文研究了专业机构投资者的发展对股市波动性的影响,得到专业机构投资者的发展加剧了我国股市的波动性的结论。最后对实证分析的结果进行了必要的分析与解释,并提出了优化投资者结构的几点政策建议,为引导投资者长期投资、规范投资行为、全面发展机构投资者和优化我国股市投资者结构提供制度和政策上的保障。
[Abstract]:Stock market is an important part of capital market. The development of a country's stock market plays an important role in its economic development. However, the sharp fluctuation of stock market will impact the stock market and even social economy and life. Therefore, keeping stock price risk within a reasonable range and maintaining market stability has been an important regulatory goal for stock market since the 1970s, with the relaxation of financial controls and the development of financial markets in developed countries. The rapid development of institutional investors has gradually replaced individual investors as the main investors in the international stock market. Since China allowed securities companies to participate in the stock market in 1993, through the development of 20 years, the structure of investors has undergone profound changes, and the pattern of diversification of investors has been initially formed. It is of great significance to study the influence of the change of investor structure on the volatility of Chinese stock market to optimize the investor structure of our stock market and to promote the healthy and stable development of the market. This paper first introduces the basic situation of the investor structure and the fluctuating characteristics of the stock market in our country, and then from the information asymmetry, This paper probes into the mechanism of the influence of investor structure on stock market volatility from three aspects of fund asymmetry and different trading level, and makes an empirical analysis of the influence of investor structure on stock market volatility by econometric method. The empirical study of this paper is based on the macro level, from the perspective of market traders and market size to study the impact of changes in investor structure on the volatility of China's stock market. First of all, from the perspective of market traders, this paper measures the impact of the general legal person, professional institutional investors and individual investors on the stock market volatility. The conclusion is as follows: 1) there is a negative relationship between the proportion of shares held by general legal person investors and the proportion of professional institutional investors opening accounts and the volatility of stock market. 2) the change rate of shareholding ratio of general legal person investors and professional institutional investors and the stock market. There is a positive correlation between volatility; Secondly, from the perspective of market scale, this paper studies the impact of the development of professional institutional investors on the volatility of the stock market, and draws the conclusion that the development of professional institutional investors intensifies the volatility of China's stock market. Finally, the paper analyzes and explains the results of empirical analysis, and puts forward some policy suggestions to optimize the structure of investors, in order to guide investors to invest in the long term and standardize their investment behavior. Developing institutional investors in an all-round way and optimizing the structure of investors in China's stock market provide institutional and policy guarantees.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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