机构投资者对我国股票收益率波动性影响的实证分析

发布时间：2018-05-17 18:39

本文选题：机构投资者 + 股票收益率　；参考：《江西财经大学》2014年硕士论文

【摘要】：在我国股票市场发展之初,个人投资者在所有投资主体中占据主导地位。由于个人投资者的搜集信息能力和分析处理信息能力有限,不大可能有效地做出理性的投资决策,相反他们的投资决策往往带有浓重的投机目的,为了获取短期收益频繁地在短期内买进卖出股票,此时个人投资者的情绪与股票市场的气氛相互影响,进而造成我国股票价格的无序波动,也进而造成股票收益率波动性的加剧。我国股票市场这种剧烈波动的投资环境是不利于股票投资者进行长期投资的。为此,我国在借鉴国外成熟的如何稳定股票市场的经验之后,也开始大力引入机构投资者,并且将其作为一项稳定股票市场的战略。原因是大多数人普遍认为机构投资者是理性的专业投资者,它们一般拥有专业化的管理团队和雄厚的资金,能够充分发挥它们在资金上、技术上和信息上的优势,从而可以做出理性的投资决策。这种投资决策还可以转化为一种股票市场信息,并引导其他投资者进行理性的投资。政策制定者寄希望机构投资者的进入能够对我国股票市场起到稳定作用,股票价格不至于在短时间内暴涨暴跌,股票收益率波动性也不至于维持在较高的水平上,为投资者们创造良好的投资环境。事与愿违,在机构投资者的发展还处于不成熟的时期,有关于机构投资者操纵市场行为和内幕交易行为的事件不绝于耳。即使现今有相关法律法规的约束,但是也避免不了机构投资者为了驱逐利益而铤而走险,2013年8月16日光大证券“乌龙指”事件又一次让人们对机构投资者稳定股票市场的作用产生了疑问。本文关于机构投资者对我国股票收益率波动性的影响是按照以下思路进行的。首先,本文概括总结了机构投资者的定义,介绍了我国主要的几种机构投资者和机构投资者在我国的发展历程。然后,本文回顾了一些国内外的参考文献,对国内外有关机构投资者对股票收益率波动性影响的理论进行分析,总结提炼出几种机构投资者加剧股票收益率波动的因素和几种减缓股票收益率波动的因素,两种正负面影响可能存在相互博弈,有待实证分析进一步得出结论。再次,在实证研究部分,本文是通过宏观和微观两个角度进行研究的。在宏观分析部分,以上证A股指数日收益率为研究对象,根据证券投资基金总资产净值占AB股流通股市值的比值,将样本区间分为三个阶段,通过对三个阶段上证A股指数日收益率进行描述性统计分析,对比发现在证券投资基金总资产净值占AB股流通股市值比值最大的阶段,上证A股指数日收益率波动率最大。然后又对上证A股指数日收益率建立GARCH(1,1)模型,提取模型GARCH项残差的条件方差即波动率进行比较,也得出相同的结论。在微观分析部分,以机构投资者各个季度重仓样本股股票为研究对象,通过两个面板数据回归模型分别研究了机构投资者持股比例及机构投资者持股比例变化值对重仓样本股股票收益率波动性的影响,从而得出机构投资者持股比例与重仓样本股股票收益率的标准差成正相关关系,然而,机构投资者持股比例变化值与重仓样本股股票收益率的标准差的相关关系不具有显著性。通过检验表明,随着机构投资者持股比例的增加,重仓样本股股票收益率的波动率也呈现出增大的趋势,这也表明机构投资者加剧了我国股票收益率的波动性,机构投资者并没有起到稳定股票市场的作用。最后,本文针对多个方面存在的问题,对政策制定者和机构投资者提出了相关的政策建议。
[Abstract]:At the beginning of the development of China's stock market, individual investors occupy a dominant position among all the investors. Due to the limited information ability of the individual investors and the limited ability to analyze and deal with information, they are unlikely to make rational investment decisions. On the contrary, their investment decisions are bound to have a strong speculative purpose in order to obtain short-term income. In the short term, we buy and sell stocks in a short period of time. At this time, the emotion of individual investors and the atmosphere of the stock market affect each other, which leads to the unordered fluctuation of the stock price in our country, which also causes the volatility of stock returns. Capital.
Therefore, after learning from the mature experience of how to stabilize the stock market, China has also begun to introduce institutional investors as a strategy to stabilize the stock market. The reason is that most people generally think that institutional investors are rational and professional investors, and they generally have professional management team and strong capital. Gold, which can give full play to their financial, technical and information advantages, can make rational investment decisions. This investment decision can also be transformed into a stock market information and guide other investors to make rational investment. To the stability, the stock price will not rise and fall in a short time, and the volatility of stock returns will not be maintained at a high level, creating a good investment environment for investors.
The development of institutional investors is still in an immature period, and there are events about institutional investors manipulating market behavior and insider trading. Even today, there are relevant laws and regulations, but it is impossible for institutional investors to take the risk in order to expel profits. In August 16, 2013, "Everbright Securities". The "Oolong" incident once again raised questions about the role of institutional investors in stabilizing the stock market.
In this paper, the influence of institutional investors on the volatility of stock returns in China is carried out according to the following ideas. First, this paper summarizes the definition of institutional investors and introduces the development process of several major institutional investors and institutional investors in our country. Then, this paper reviews some domestic and foreign references. At home and abroad, the theories of institutional investors on the volatility of stock returns are analyzed, and the factors of several institutional investors to aggravate the volatility of stock returns and several factors to slow the volatility of stock returns are summarized. The two positive and negative effects may be mutually gambling. In the part of the empirical study, this paper is studied through two angles of macro and micro. In the macro analysis part, the A share index is divided into three stages according to the ratio of the net value of the total assets of the securities investment fund to the value of the stock market in the AB share, and the daily returns of the A share index in the three stages are obtained. A descriptive statistical analysis is carried out, and it is found that the volatility of the A share index of Shanghai stock market is the largest in the period of the largest total net value of the securities investment fund in AB shares, and then the GARCH (1,1) model of the A share index of Shanghai stock market is established, and the conditional variance of the residual error of the model GARCH term is compared. We also draw the same conclusion. In the micro analysis part, we take the stock of the stock as the research object in each quarter of the institutional investors. Through two panel data regression models, we study the influence of institutional investors' shareholding ratio and the change value of institutional investors' shareholding ratio on the volatility of the stock return rate of the heavy warehouse. There is a positive correlation between the proportion of the investor's shareholding and the standard deviation of the return on the stock. However, there is no significant correlation between the change of the shareholding ratio of institutional investors and the standard deviation of the stock return rate of the heavy stock. The rate of volatility also shows an increasing trend, which also indicates that institutional investors have intensified the volatility of stock returns in China, and institutional investors do not play a role in stabilizing the stock market. Finally, this paper puts forward relevant policy suggestions to policy makers and institutional investors for the problems existing in many aspects.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【共引文献】