本文選題：機(jī)構(gòu)投資者 + 市場(chǎng)穩(wěn)定性��； 參考：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：在全球主要的幾大證券市場(chǎng)上,證券投資的發(fā)展趨勢(shì)基本相同,都是趨于投資機(jī)構(gòu)化,機(jī)構(gòu)投資者的發(fā)展勢(shì)頭極為迅速,已逐漸成為證券市場(chǎng)的主要力量,在證券市場(chǎng)中占據(jù)主要地位。近年來在我國(guó)的證券市場(chǎng)上,機(jī)構(gòu)投資者對(duì)證券市場(chǎng)的影響力日益增大,引發(fā)越來越多的學(xué)者對(duì)機(jī)構(gòu)投資者行為進(jìn)行理論分析和實(shí)證研究。由于我國(guó)相比西方發(fā)達(dá)國(guó)家,證券市場(chǎng)的起步較晚,機(jī)構(gòu)投資者的投資理念不是很成熟,他們常常采用短期投資策略,并伴隨有嚴(yán)重的羊群效應(yīng),這些投資行為往往會(huì)加劇市場(chǎng)的波動(dòng),從而對(duì)市場(chǎng)的穩(wěn)定性產(chǎn)生影響。不利于證券市場(chǎng)的穩(wěn)步前進(jìn)和持續(xù)發(fā)展,同時(shí)也與我國(guó)政府發(fā)展機(jī)構(gòu)投資者的初衷背道而馳。所以,本文從我國(guó)實(shí)際出發(fā),提出了幾條建議,以期緩解機(jī)構(gòu)投資者行為對(duì)證券市場(chǎng)穩(wěn)定性帶來的影響。 對(duì)機(jī)構(gòu)投資者行為影響我國(guó)證券市場(chǎng)穩(wěn)定性的研究,本文主要從理論分析和實(shí)證檢驗(yàn)兩個(gè)方面入手。在理論層面,簡(jiǎn)要介紹了機(jī)構(gòu)投資者的特征和發(fā)展歷程,并從羊群效應(yīng)、正反饋策略和委托代理角度研究機(jī)構(gòu)投資者影響市場(chǎng)穩(wěn)定性的作用機(jī)理。 本文的實(shí)證研究是將基金持股比例、基金指數(shù)和股價(jià)指數(shù)納入一個(gè)框架中,以基金指數(shù)為紐帶,采用單位根檢驗(yàn)、協(xié)整檢驗(yàn)和格蘭杰因果關(guān)系檢驗(yàn)法研究基金平均持股比例與股價(jià)指數(shù)之間的關(guān)系。研究發(fā)現(xiàn),機(jī)構(gòu)投資者行為加劇了市場(chǎng)的波動(dòng)性,不利于市場(chǎng)的穩(wěn)定。鑒于此,本文最后提出了一些針對(duì)性的建議,以期緩解機(jī)構(gòu)投資者的持股行為對(duì)證券市場(chǎng)帶來波動(dòng)性,并以此促進(jìn)市場(chǎng)的穩(wěn)定性。
[Abstract]:In the major securities markets in the world, the development trend of securities investment is basically the same and tends to institutionalize investment. The development momentum of institutional investors is extremely rapid and has gradually become the main force in the securities market. To occupy a dominant position in the securities market. In recent years, the influence of institutional investors on the securities market is increasing, which leads more and more scholars to carry out theoretical analysis and empirical research on the behavior of institutional investors. Compared with the western developed countries, the stock market of our country starts relatively late, the investment idea of the institutional investors is not very mature, they often adopt short-term investment strategy, accompanied by serious herd effect. These investments tend to exacerbate market volatility and thus have an impact on market stability. It is not conducive to the steady progress and sustainable development of the securities market, and also runs counter to the original intention of our government to develop institutional investors. Therefore, this paper puts forward several suggestions based on the reality of our country, in order to alleviate the influence of institutional investors' behavior on the stability of securities market. The research on the influence of institutional investors' behavior on the stability of China's securities market mainly starts from two aspects: theoretical analysis and empirical test. At the theoretical level, this paper briefly introduces the characteristics and development history of institutional investors, and studies the mechanism of institutional investors' influence on market stability from the perspective of herding effect, positive feedback strategy and principal-agent. The empirical study of this paper is to put the fund shareholding ratio, fund index and stock price index into a framework, taking the fund index as a link, using the unit root test. The cointegration test and Granger causality test are used to study the relationship between average shareholding ratio and stock price index. The research found that institutional investor behavior increased the volatility of the market, which is not conducive to the stability of the market. In view of this, this paper finally puts forward some specific suggestions in order to alleviate the volatility of institutional investors' shareholding behavior and promote the stability of the market.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2014491