机构投资者的参与对股指波动性的影响

发布时间：2018-01-12 22:04

本文关键词：机构投资者的参与对股指波动性的影响　出处：《安徽财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：研究的证据表明机构投资者的参与对股票市场有着相当大的影响。这导致了指数效应以及对资产交易的影响。这些很难用一般的资产定价模型来解释。本文简单的认为,整个经济中有机构投资者和个人投资者共同构成,而金融机构更关注的是他们相对于一个确定指数的成果。本文的结构容易,用标准的式子表示并得出下面的相关分析结果。在本文中观察到,金融机构会选择他们包括他们的基准指数在内的股票的最佳投资组合,产生对股票的额外需求。这会产生价格压力,从而推动了股指,而非指数股票是不会受影响。由于机构投资者有着自己特有的优势,所有金融机构比个人投资者想要更多的风险股票,以至于增加了股指波动性和股票市场整体波动性,并引起反周期现象的夏普比率。机构投资者的交易增加了属于他们基准指数的很多股票之间的相互关系,从而对股票指数产生影响。本文把机构投资者看作是资产管理公司等等机构。这些管理者授权管理共同基金,对冲,捐赠基金,养老基金,在银行或者保险公司的资产管理团队等等的投资组合。在本文中,主要针对这些专业管理者的动机中最重要的特征：相比一些基准指数来说会更关注自己的成果,他们有着更加专业的水平,并能更快的获取有效的消息。这种特性导致了机构投资者不同于个人投资者。相对的成果对机构投资者很重要,因为机构投资组合新资金的流动性和在年底给资产管理公司的支付取决于它,或者是因为管理者关心他们在职业中的地位。本文的目的是探讨,机构投资者选择最优的投资组合如何影响股指,在这个过程中是如何加剧经济杠杆以及股票市场的波动。
[Abstract]:Research evidence suggests that institutional investors have a significant impact on the stock market. This leads to the index effect and impact on asset transactions. These are hard to explain by the general asset pricing model. This paper simply believes that the whole economy institutional investors and individual investors constitute, and financial institutions they are concerned with respect to a determined index results. This structure is easy, the results of correlation analysis with the standard formula representation and draw below.
Observed in this paper, the optimal portfolio of financial institutions will choose their benchmark index, including their stock, generate additional demand for stocks. This will produce price pressure, so as to promote the stock index, stock index and non is not affected. Because institutional investors have their own unique advantages, all financial individual investors want more institutions than the risk of the stock, so as to increase the overall volatility of the stock index fluctuation and the stock market, and caused a counter cyclical phenomenon. SHARP ratio of institutional investors to increase the relationship between many stocks belong to their base index, which have an impact on the stock index.
In this paper, the institutional investors as a Asset Management Co and institutions. These managers authorized management of mutual funds, hedge funds, donations, pension funds, banks and insurance companies in the asset management team and investment portfolio. In this paper, the most important feature mainly for these professional managers motivation: compared to some benchmark index will pay more attention to their achievements, they have a more professional level, and can quickly get a valid message. This feature leads to institutional investors is different from individual investors. The relative results are very important for institutional investors, because institutional portfolio of new liquidity and at the end of the year to the Asset Management Co to pay depends on it, or because management is concerned about their position in the occupation. The purpose of this paper is to discuss the investment group, institutional investors choose the optimal contract How the stock index affects the economic leverage and the volatility of the stock market in this process.

【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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