机构投资者交易行为与市场波动相关性的实证研究

发布时间：2018-05-26 13:02

本文选题：机构投资者 + 交易行为　；参考：《浙江大学》2017年硕士论文

【摘要】：与美国等发达国家成熟的股票市场相比我国股票市场波动率明显较高,普遍认为这是由于我国证券市场个人投资者占比较高所致。基于我国证券市场波动较大且频繁的现实背景下,管理层提出鼓励金融机构参与股票市场投资,期望通过改善投资者结构来平缓市场的波动。经过此后十多年的发展,参与证券市场投资的金融机构数量不断增加,规模持续扩大。目前已基本形成以基金和保险机构为主和其他多样化投资者为辅的结构。在2015年仍然出现了 "暴涨暴跌"的大波动现象,因此本文的研究立足于当前的市场环境,考察参与市场交易的各类金融机构是否表现出理性的交易行为,以及对股市波动率的影响,以检验他们是否如管理层期望那样降低了股市的波动。本文首先回顾了参与资本市场投资的金融机构的发展历程,以及当前的规模和结构,并重点列出了其中最重要的五类金融机构,并对他们的资金来源、投资和交易风格的差异进行概括。其次对机构投资者影响股票价格的方式进行分析,为之后的实证检验进行理论铺垫。最后的实证检验通过两步展开,首先对本文重点研究的五类金融机构的交易行为模式进行研究,接下来对各类机构持股水平和交易量与波动率之间的关系进行研究。检验结果显示当前市场环境下机构投资者整体遵循正反馈交易,而机构的正反馈行为引起市场波动加剧。在接下来对机构持股比例和交易量的研究中发现,整体上机构持股水平的提高会显著增加股票的波动率,尤其是基金的持股和交易。值得注意的是券商、QFII、保险等其他金融机构存在稳定市场波动的作用,但由于对市场的影响力较小,因此机构投资者整体还是加剧了市场的波动。实证研究的结果一方面表明了我国机构投资者整体投资理念不够成熟,仍存在正反馈交易这样非理性的交易策略;另一方面则机构投资者内部结构仍需优化。
[Abstract]:Compared with the mature stock market of the United States and other developed countries, the volatility of our stock market is obviously higher, which is generally believed to be due to the high proportion of individual investors in our securities market. Based on the fact that the securities market in China is volatile and frequent, the management proposes to encourage financial institutions to participate in the stock market investment, hoping to smooth the volatility of the stock market by improving the investor structure. After more than a decade of development, the number of financial institutions participating in securities market investment is increasing and the scale continues to expand. At present has basically formed funds and insurance institutions and other diversified investors supplemented by the structure. In 2015, there is still a big fluctuation phenomenon of "skyrocketing and plummeting", so the research of this paper is based on the current market environment to investigate whether the various financial institutions involved in the market transactions show rational trading behavior. And the impact on stock market volatility to see if they reduced volatility as management expected. This paper first reviews the development of financial institutions involved in capital market investment, as well as the current size and structure, and highlights the five most important types of financial institutions and their sources of funding. The differences in investment and trading styles are summarized. Secondly, the paper analyzes the ways that institutional investors affect stock prices, which pave the way for the later empirical test. Finally, the empirical test is carried out in two steps. Firstly, the transaction behavior patterns of five types of financial institutions are studied, and then the relationship between the ownership level, trading volume and volatility is studied. The results show that the institutional investors follow the positive feedback trading in the current market environment, and the positive feedback behavior of the institutions leads to the aggravation of market volatility. In the next research on institutional shareholding ratio and trading volume, it is found that the overall increase of institutional shareholding level will significantly increase the volatility of stocks, especially fund holdings and trading. It is worth noting that other financial institutions, such as securities firms QFIIand insurance, have the role of stabilizing market volatility, but because of their small influence on the market, institutional investors as a whole have exacerbated the volatility of the market. On the one hand, the empirical results show that the overall investment concept of institutional investors in China is not mature enough, and there are still irrational trading strategies such as positive feedback trading; on the other hand, the internal structure of institutional investors still needs to be optimized.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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