全球主权财富基金投资收益影响因素分析及对我国的启示

发布时间：2018-07-07 20:45

本文选题：主权财富基金 + 投资收益　；参考：《昆明理工大学》2013年硕士论文

【摘要】：作为重要的投资载体,主权财富基金在国际金融市场已成为最有影响力的投资者之一,其增长十分迅速,规模越来越大,因此被国内外广大学者所广泛关注。截至2013年3月,中国外汇储备余额已经达到3.44万亿美元。近年我国外汇储备迅速增长引发了诸多问题,包括人民币升值,外汇储备贬值,以及国内货币超发等。同时在外围国际市场的波动加剧、不确定性增强的背景下,使得成立时间较短、经验较少的我国主权财富基金——中投公司,面临着较大的挑战。为此,研究全球主权财富基金投资收益的影响因素,有助于我们识别投资价值,为我国主权财富基金投资提供借鉴和参考,进而提高我国主权财富基金的投资收益和使用效率。本论文首先基于文献梳理和全球财富基金的发展现状分析,从主权财富基金自身因素、投资策略、全球经济环境三个角度,提出影响主权财富基金投资收益的因素。接着在以上分析的基础上进行两个方面的实证研究,一方面是以全球20家主要主权财富基金的年度数据为研究对象,进行面板数据的回归分析；另一方面是把智利社会经济稳定基金作为典型案例,以其12个月月度数据进行分位数回归分析,得出以下结论。第一,投资发达市场的比例越大,SWFs基金收益率表现越不好,说明发达市场的发展和投资潜力有限,市场是十分完全的,反而不如在新兴市场里的收益空间更大。第二,SWFs投资规模越大,SWFs基金收益率表现越好,说明SWFs具有规模报酬递增的效应,这可能是由于专业化、精细化促进作用的。第三,信息披露越多的基金,收益表现越不好,说明信息披露越多,给市场投机者利用和挖掘的空间越大,好的投资策略可能在国际市场套利面前,也将获利甚微。第四,在控制了宏观经济变量后,全球综合债券指数和MSCI的全球股票价格指数对SWFs基金收益率有着显著的正向作用,说明市场环境是影响投资收益的主要因素,并且债券市场和股市市场的表现对SWFs基金收益率息息相关,这是由于SWFs的资产投资去向相当大的部分是投资于股票与债券市场的。第五,随着基金收益率逐渐提高的发展过程,以基金市场价值增长率为代表基金规模对基金收益增长率的促进作用先变大后变小。基于以上提出的影响主权财富基金投资收益因素的研究,本文最后提出了我国主权财富基金对外投资的对策与启示。我国主权财富基金要在合适的范围内选择合理的透明度,以和他国建立相互信任的合作联盟为手段,加快多元化的投资进程,并且应当积极参与新兴市场的投资,从而最终实现主权财富基金的投资效益增长,藉此以更好地融入国际游戏规则中为我国主权财富基金对外投资战略服务。
[Abstract]:As an important investment carrier, sovereign wealth fund has become one of the most influential investors in the international financial market. As of March 2013, the balance of China's foreign exchange reserves had reached $3.44 trillion. In recent years, the rapid growth of China's foreign exchange reserves has caused many problems, including the appreciation of the RMB, the depreciation of foreign exchange reserves, and the over-issuance of domestic currencies. At the same time, under the background of increasing volatility and uncertainty in the peripheral international market, China Investment Corporation (CIC), which has a short time and less experience, is facing a great challenge. Therefore, it is helpful for us to identify the investment value of the global sovereign wealth fund, to provide reference and reference for our country's sovereign wealth fund investment, and to improve the investment income and utilization efficiency of our country's sovereign wealth fund. Based on the literature review and the analysis of the current situation of global wealth funds, this paper puts forward the factors that affect the investment returns of sovereign wealth funds from the perspectives of sovereign wealth funds' own factors, investment strategies and the global economic environment. On the basis of the above analysis, two aspects of empirical research are carried out. On the one hand, the annual data of 20 major sovereign wealth funds in the world are taken as the research object, and the panel data regression analysis is carried out. On the other hand, taking the Chilean Social and Economic Stability Fund as a typical case, the following conclusions can be drawn by using the monthly data of 12 months for quantile regression analysis. First, the greater the proportion of SWFs in developed markets, the worse the return rate of SWFs funds is, which indicates that the developed markets have limited development and investment potential, and the market is very complete, but it is not as good as the return space in emerging markets. Secondly, the larger the investment scale of SWFs is, the better the return rate of SWFs is, which indicates that SWFs have the effect of increasing returns of scale, which may be due to specialization and refinement. Third, the more information disclosure funds, the worse the income performance, indicating that the more information disclosure, the greater the space for market speculators to use and explore, good investment strategy may be in front of the international market arbitrage, and will make little profit. Fourth, after controlling for macroeconomic variables, the global composite bond index and MSCI's global stock price index have a significant positive effect on SWFs fund returns, indicating that the market environment is the main factor affecting investment returns. And the performance of the bond market and the stock market is closely related to the return of SWFs funds, which is due to the fact that a large part of SWFs' assets are invested in the stock and bond markets. Fifthly, along with the development process of increasing the fund return rate, the fund market value growth rate is taken as the representative of the fund scale to promote the fund income growth rate. Based on the above research on the factors affecting the investment returns of SWFs, this paper finally puts forward the countermeasures and revelations of SWFs' investment abroad in China. Our sovereign wealth fund should choose reasonable transparency within the appropriate scope, speed up the process of diversified investment by establishing a cooperative alliance of mutual trust with other countries, and should actively participate in investment in emerging markets. Finally, the investment benefit of the sovereign wealth fund will be increased, so as to better integrate into the international rules of the game and serve the foreign investment strategy of our country's sovereign wealth fund.
【学位授予单位】：昆明理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F832.51

【参考文献】