不同类型机构投资者持股偏好及其对股价波动影响的比较

发布时间：2018-03-14 13:43

本文选题：机构投资者　切入点：持股偏好　出处：《山东财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：1998年3月，经过证监会批准，新成立了两只封闭式基金，监管层对机构投资者的作用开始加以重视。加入WTO以后，随着我国经济的增长和金融市场的逐渐开放，证券市场在我国国民经济中的重要作用日益显现。在此背景下，监管层开始从政策层面超常规支持机构投资者的发展，从而使我国的证券市场形成了包括证券投资基金、保险公司、社保基金和QFII在内的诸多机构投资者体系，机构投资者的总规模也得到了前所未有的壮大。然而，相对于国外成熟市场而言，我国机构投资者因发展时间较短，存在诸多缺陷。又因不同类型机构投资者进入证券市场的时间不同，投资理念和投资策略存在差异，进而导致不同类型机构投资者投资偏好以及对股价波动性影响的差异。本文的研究目的是通过实证研究分析不同类型机构投资者投资偏好以及对股价的波动性影响是否存在差异，并分析产生差异的原因，提出相关的政策建议。本文基于动态面板数据实证研究了证券投资基金、保险公司、社保基金和QFII等四种类型的机构投资者持股偏好的差异。结果表明，不同类型机构投资者在选股时参照的指标不尽相同，对同一指标参照的标准也不尽相同，不同类型机构投资者的持股偏好存在差异。接下来，本文又分别基于面板数据和横截面数据实证检验了证券投资基金、保险公司、社保基金和QFII等四种类型的机构投资者持股对股价波动性的影响。结果表明，，不同类型机构投资者持股对股价波动性影响的程度不同。除社保基金外，其它三类机构投资者持股的增加均增大了股价的波动性，并且社保基金对股价波动性的负向影响是微乎其微的。整体而言，机构投资者持股并没有降低股价的波动性。
[Abstract]:In March 1998, with the approval of the CSRC, two new closed-end funds were set up. Regulators began to attach importance to the role of institutional investors. After China's entry into WTO, with the growth of our economy and the gradual opening of the financial market, The important role of the securities market in our national economy is becoming increasingly apparent. In this context, the regulatory level begins to support the development of institutional investors from the policy level, thus making the securities market in our country form including securities investment funds. Many institutional investor systems, such as insurance companies, social security funds and QFII, have also seen unprecedented growth in the total size of institutional investors. However, compared with mature foreign markets, the development of institutional investors in China is relatively short. There are many defects, and because different types of institutional investors enter the securities market at different times, investment ideas and investment strategies are different. The purpose of this study is to analyze the investment preferences of different types of institutional investors and their impact on stock price volatility through empirical research. Is there a difference in response, And analyze the reasons for the differences, and put forward relevant policy recommendations. Based on the dynamic panel data, this paper empirically studies the differences of shareholding preferences among four types of institutional investors, such as securities investment funds, insurance companies, social security funds and QFII. Different types of institutional investors refer to different indexes when selecting stocks, and the criteria of reference to the same index are also different. The preference of different types of institutional investors for holding shares is different. Based on panel data and cross-section data, this paper examines the impact of four types of institutional investors, namely, securities investment funds, insurance companies, social security funds and QFII, on stock price volatility. With the exception of the Social Security Fund, the increase in the shareholdings of the other three types of institutional investors has increased the volatility of the stock price. And the negative impact of social security funds on stock price volatility is minimal. Overall, institutional equity holdings do not reduce volatility.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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