我国社保基金投资股市实证研究

发布时间：2018-01-05 15:25

本文关键词：我国社保基金投资股市实证研究　出处：《吉林财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国社会保障制度的不断改革和完善，社会保障基金的投资运营状况也越来越受到人们的关注。近年来，我国社保体系在改革过程中遗留的问题和不断加剧的人口老龄化问题对我国社会保障基金的投资运营造成了巨大的挑战。社保基金给付不到位、使用不规范都给我国社会保障体系的发展带来巨大的压力。而世界性金融危机周期变短、通货膨胀日益严重等问题也不容忽视，这些问题都会冲击我国的社会保障制度，带来破坏性的影响。如2007年美国次贷危机爆发，刚开始并没有引起国际社会过大的关注。但是随着影响的不断扩大，到2008年9月时，已经引起国际范围内的经济动荡。这次金融危机给我国社保基金的投资带来了巨大的负面影响，全国社保基金自成立运营以来第一次出现亏损。可见面对日益变化的金融环境，如何实现社保基金的保值增值已经成为我国乃至全球各国亟需解决的问题。全国社保基金是我国的重要战略储备，它的建立主要是为了弥补人口老龄化严重时产生的养老金缺口。因而全国社保基金的保值增值问题关乎到我国经济能否健康发展和社会能否安定有序。所以，，全国社保基金投资股市是否能够实现保值增值为本文讨论的重点。本文首先列举出一些国际通用的基金绩效评价模型，为后文对全国社保基金投资组合的绩效测评提供理论基础。继而讨论我国目前社会保障基金的各个组成部分的详细情况，对未能进入资本市场的社保基金进行描述分析。在分析社会保障基金各组成部分时，着重指出全国社保基金为本文研究的重点。之后就全国社保基金投资股市的情况展开具体论述。本文后两章用风险与收益评价模型对全国社保基金各投资组合的收益率进行评价，并且得出全国社保基金投资股市存在的一些问题，继而给出相应的意见。本文的研究有利于全国社会保障基金投资绩效评价理论的完善和发展。本文主要应用了反映基金业绩与风险的指数模型对全国社保基金投资股市的风险和收益特征进行推导。用实际数据反映全国社保基金主要组合持股集中度、持股行业分布等情况，可以从侧面反映全国社保基金管理人的风险控制能力。本次研究既是对投资组合绩效评价理论的丰富与发展，也是对全国社会保障基金股票投资组合业绩的理论检验。
[Abstract]:With the continuous reform and improvement of our social security system, the investment and operation of social security fund has been paid more and more attention in recent years. The problems left over in the reform of social security system in China and the increasing problem of population aging have posed a great challenge to the investment and operation of the social security fund in China, and the payment of the social security fund is not in place. The use of non-standard has brought great pressure to the development of social security system in China. However, the period of the world financial crisis has become shorter and the inflation has become more and more serious and other problems can not be ignored. These problems will impact our social security system and bring destructive effects, such as the outbreak of the subprime mortgage crisis in 2007 in the United States. At first it didn't get too much attention from the international community. But as the impact continued to grow, by September 2008. This financial crisis has brought huge negative impact to the investment of social security fund in our country. The National Social Security Fund has lost money for the first time since its establishment and operation. It can be seen that in the face of the ever-changing financial environment, how to maintain and increase the value of social security funds has become a problem that needs to be solved in our country and even in all countries all over the world. The National Social Security Fund is an important strategic reserve in China. Its establishment is mainly to make up for the pension gap caused by the serious aging of the population. Therefore, the maintenance and appreciation of the National Social Security Fund is related to the healthy development of our economy and the stability and order of the society. Whether the national social security fund investment stock market can maintain and increase value is the focus of this paper. Firstly, this paper enumerates some international fund performance evaluation models. It provides a theoretical basis for the performance evaluation of the investment portfolio of the National Social Security Fund, and then discusses the details of the various components of the current social security fund in China. The social security fund that cannot enter the capital market is described and analyzed. It is pointed out emphatically that the National Social Security Fund is the focal point of this paper. Then the paper discusses the investment situation of the National Social Security Fund in the stock market in detail. The last two chapters use the risk and income evaluation model to analyze the investment of the National Social Security Fund in different portfolios of the National Social Security Fund. The rate of return is evaluated. Some problems existing in the investment of the National Social Security Fund in the stock market are obtained and the corresponding opinions are given. The research in this paper is conducive to the improvement and development of the theory of performance evaluation of the investment of the National Social Security Fund. This paper mainly uses the index model which reflects the performance and risk of the fund to deduce the risk and income characteristics of the national social security fund investment stock market and use the actual data to reflect the concentration degree of the main portfolio holding of the national social security fund. The distribution of shareholding industries can reflect the risk control ability of the national social security fund managers. This study is not only the enrichment and development of portfolio performance evaluation theory. It is also the theoretical test of the performance of the stock portfolio of the National Social Security Fund.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.48;F224

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