证券投资基金对股票市场稳定性影响及其作用渠道研究
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摘要
资本市场是一国金融市场的重要组成部分,是直接融资的重要渠道,是连接资金供给方与资金需求方的桥梁。在资本市场中,资金供给者可以找到合适的投资渠道以获取投资收益,资金需求者可以获得即时可用的资金,用以发展生产、创新技术,资本市场的持续平稳发展对维护一国金融市场的稳定,保持国家经济平稳快速发展具有重要作用。在资本市场中存在两类投资者——个人投资者与机构投资者,个人投资者持有资产规模较小,获取信息渠道有限,投资方向不明确,影响能力有限,无法对资本市场指数的走势形成持续的推动力；机构投资者持有资产规模庞大,获取信息渠道通畅,投资理念更为专业,其同时同向动用大规模资金的能力可以对资本市场的稳定性产生重大影响。
机构投资者是资本市场的重要组成者之一,其在资本市场中的作用也历来被国内外专家学者作为资本市场研究的重要课题。机构投资者是一个宽泛的概念,是相对于个人投资者而言的,其本身又包括证券投资基金、证券公司自营资金、社保基金、保险资金、QFII等类型。其中,证券投资基金作为我国最主要的机构投资者起源于1987年“中国置业基金”。1997年《证券投资基金管理暂行办法》出台后,迎来了一个规范发展的时期。2000年10月,“基金黑幕”事件引起社会对证券投资基金的广泛关注和激烈讨论。2001年管理层提出“超常规发展机构投资者”的方针,证券投资基金自此走上了快速发展的轨道,2002年底基金净值规模较2001年增长了近45%,其后也以较快的速度扩张。截止2012年11月底,基金净值规模达到25625.85亿元,其所持A股市值也由1998年的接近2.59%,一度上升至2007年的近30%,基金在我国资本市场中的地位逐渐凸显。伴随着基金持股比例的提高,我国股票市场经历了两年的强劲上涨,上证综指从2005年6月的1000点上升至2007年10月的6124点。但随之而来的又是一年出乎预期下跌,至2008年10月,上证综指为1665点,较最高点位跌去了近四分之三。从现象上看,我国机构持股的增多并没有带来股票市场的平稳,反而使之出现了大起大落的现象,这与管理层提出的“超常规发展机构投资者”以稳定股价的初衷是背道而驰的。
那么从研究角度来看,我国资本市场中证券投资基金是加剧了市场波动还是有助于市场稳定呢?本论文在前人研究的基础上,构建理论模型并通过宏观数据与微观数据对证券投资基金规模(或持股比例)与股票市场稳定性之间的相关关系进行研究,找到其具体联系；更近一步,我们从投资基金行为角度探索证券投资基金对股票市场产生此种作用的原因,即渠道。论文的整体思路：一为阐明是什么,造成什么影响；二为分析为什么,通过何种渠道造成这种影响。在研究方法上,宏观层面本文采用了结构向量自回归模型(SVAR),对证券投资基金月度净值规模序列与上证综指波动率序列进行分析,微观层而则采用了分阶段动态面板模型并结合分量回归模型进行分析,动量行为渠道方面采用了“收益序列相关”GARCH-M模型进行分析,羊群行为渠道方而采用了羊群效应测度指标对比市场波动的方法进行分析。
论文实证分析结果表明：从整体来看,我国证券投资基金倾向于加剧股票市场的波动。证券投资基金表现出的的动量行为造成了不同阶段指数收益序列特征的小一致性以及由此产生的反馈交易测算差别,动量行为是投资基金造成股票市场波动的重要传递渠道；证券投资基金羊群行为在一定范围之内(即羊群效应测度指标低于0.8132时)也起到了波动的传递作用,随着羊群行为程度的增加,股票市场波动性增大。进一步,本文通过分量回归模型分析发现：在股票特质性波动的高分位数处(即波动较为严重时),当市场收益为正时,证券投资基金起到了稳定股票市场的作用,该结论进一步补充了全文整体结论。论文模型分析的结果也说明证券投资基金投资标的的趋同性,公募基金资源转向私募基金的趋势以及私募基金投资范围的非受限性使得投资基金有增大股票市场波动的倾向。
全文分为七个部分：论文第一章为导论部分；第二章为文献梳理部分；第三章为理论模型分析部分,第四章为实证分析部分,三、四两章分别从理论模型和实证分材角度研究证券投资基金对股票市场稳定性的影响；第五、六章为渠道分析部分,从动量行为与羊群行为两方面对证券投资基金影响股票市场的渠道进行了分析；第七章为结论与政策建议部分,总结全文提出建议。
Capital market is the most important part of the financial market. It is the direct path of collecting money which connects the money supplyer and money demander. In capital market, money suppliers could find the suitable way to earn profits and money demanders could get money directly to develop construction and technology. The smooth development of capital market is most important to the financial market and economic prosperity of our country. There are two types of investors in capital market——individual investors and institutional investors. Individual investors have limited capital and information. They have no capacity to influence the capital market fluctuations persistently. However, the institutional investors have huge capital, infinite information and professional investment philosoph. They are capable to influence the capital market fluctuation.
Institutional investors are one of the most important parts of capital market and the effets of institutional investors are important issues to research. Institutional investors are broad concepts including Mutual Fund, securities companies' own funds, Social Security Fund, insurance funds and QFII. Mutual Fund originated in1987"China Real Estate Fund". After the introduction of the "interim Measures for the Administration of Mutual Fund" in1997, Mutual Fund ushered in a period of specification development. In October2000,"Fund shady event" aroused wide attention and heated discussion. In2001, government put forward the policy of "Extraordinary development of institutional investors" and Mutual Fund had embarked on a fast track of development. In2002. fund net size increased45%compared with that of2001. At the end of November2012, fund net size has reached2.562585trillion yuan and its A stock market value increased30%compared with2007. Fund increasingly highlights its status in China's capital market. Along with the improvement of the fund's top holdings, China's stock market has experienced two years of strong gains from around1000points in October2007to6124pionts in October2008. However, it falls back to1665points in the following year. The increase in institutional stock ownership of Mutual Fund brought not the stock market's stability but the ups and downs, which is contradicted with the intention of "Extraordinary development of institutional investors in order to stabilize the share prices".
Does Mutual Fund of China's capital market intensify the capital market fluctuations or promote the stabilities from academic perspective? In this thesis, we construct theoretical models and use both macro-data and micro-data to analyze the relation between the size of Mutual Fund and the stability of capital markets. Moreover, we analyze its reasons (channel) from the perspective of Securities Investment Fund behaviors. The whole idea of the paper:One is what it is and what impact it is; Two is why it is and which channel it is. Methodologically, we use Structural Vector Auto Regression Model to analyze the time series of Mutual Fund size and the Shanghai Composite volatility sequence in macro aspects. In micro aspects, we use apply Phased Dynamic Panel Model and Component Regression Model, GARCH-M model to momentum behavior and herding indicators to Herdings.
Results of the empirical analysis show that China's Mutual Funds tend to exacerbate market volatility. Mutual Funds exhibit momentum trading behavior which results in inconsistent return series features in different periods, together with the feedback trading estimate differences. Momentum trading behaviors are important channel of the fluctuation. Meanwhile, herd behaviors of Mutual Funds within a certain extent (ie. herding measure indicators are below0.8132) also play an important role in transmission. Further-more, quantiic regression model analysis show that Mutual Funds tend to reduce market volatility when the stock trait fluctuations are severe (ie. fluctuations are more serious) and the market income is positive. It supplements the overall conclusions of the lull text. The model analysis results also illustrate that the convergence of securities investment fund investment targets, the shift of public fund resources to private equity funds, and its unrestricted capability to invest lend to increase the volatility of the market.
This thesis is divided into seven parts:The first chapter is the introduction part. The second chapter is literature review. The third chapter is theoretical model analysis section. The fourth chapter is empirical analysis. I he three and four chapters analyze the effects of Mutual Funds on the capital market stability theoretically and expirically. Chapters five and six are channel analysis section which analyze the channels of the Mutual Funds'effets from the herd behavior and momentum behavior perspectives. Chapter seven is conclusions and policy recommendations which conclude the whole thesis.
机构投资者是资本市场的重要组成者之一,其在资本市场中的作用也历来被国内外专家学者作为资本市场研究的重要课题。机构投资者是一个宽泛的概念,是相对于个人投资者而言的,其本身又包括证券投资基金、证券公司自营资金、社保基金、保险资金、QFII等类型。其中,证券投资基金作为我国最主要的机构投资者起源于1987年“中国置业基金”。1997年《证券投资基金管理暂行办法》出台后,迎来了一个规范发展的时期。2000年10月,“基金黑幕”事件引起社会对证券投资基金的广泛关注和激烈讨论。2001年管理层提出“超常规发展机构投资者”的方针,证券投资基金自此走上了快速发展的轨道,2002年底基金净值规模较2001年增长了近45%,其后也以较快的速度扩张。截止2012年11月底,基金净值规模达到25625.85亿元,其所持A股市值也由1998年的接近2.59%,一度上升至2007年的近30%,基金在我国资本市场中的地位逐渐凸显。伴随着基金持股比例的提高,我国股票市场经历了两年的强劲上涨,上证综指从2005年6月的1000点上升至2007年10月的6124点。但随之而来的又是一年出乎预期下跌,至2008年10月,上证综指为1665点,较最高点位跌去了近四分之三。从现象上看,我国机构持股的增多并没有带来股票市场的平稳,反而使之出现了大起大落的现象,这与管理层提出的“超常规发展机构投资者”以稳定股价的初衷是背道而驰的。
那么从研究角度来看,我国资本市场中证券投资基金是加剧了市场波动还是有助于市场稳定呢?本论文在前人研究的基础上,构建理论模型并通过宏观数据与微观数据对证券投资基金规模(或持股比例)与股票市场稳定性之间的相关关系进行研究,找到其具体联系；更近一步,我们从投资基金行为角度探索证券投资基金对股票市场产生此种作用的原因,即渠道。论文的整体思路：一为阐明是什么,造成什么影响；二为分析为什么,通过何种渠道造成这种影响。在研究方法上,宏观层面本文采用了结构向量自回归模型(SVAR),对证券投资基金月度净值规模序列与上证综指波动率序列进行分析,微观层而则采用了分阶段动态面板模型并结合分量回归模型进行分析,动量行为渠道方面采用了“收益序列相关”GARCH-M模型进行分析,羊群行为渠道方而采用了羊群效应测度指标对比市场波动的方法进行分析。
论文实证分析结果表明：从整体来看,我国证券投资基金倾向于加剧股票市场的波动。证券投资基金表现出的的动量行为造成了不同阶段指数收益序列特征的小一致性以及由此产生的反馈交易测算差别,动量行为是投资基金造成股票市场波动的重要传递渠道；证券投资基金羊群行为在一定范围之内(即羊群效应测度指标低于0.8132时)也起到了波动的传递作用,随着羊群行为程度的增加,股票市场波动性增大。进一步,本文通过分量回归模型分析发现：在股票特质性波动的高分位数处(即波动较为严重时),当市场收益为正时,证券投资基金起到了稳定股票市场的作用,该结论进一步补充了全文整体结论。论文模型分析的结果也说明证券投资基金投资标的的趋同性,公募基金资源转向私募基金的趋势以及私募基金投资范围的非受限性使得投资基金有增大股票市场波动的倾向。
全文分为七个部分：论文第一章为导论部分；第二章为文献梳理部分；第三章为理论模型分析部分,第四章为实证分析部分,三、四两章分别从理论模型和实证分材角度研究证券投资基金对股票市场稳定性的影响；第五、六章为渠道分析部分,从动量行为与羊群行为两方面对证券投资基金影响股票市场的渠道进行了分析；第七章为结论与政策建议部分,总结全文提出建议。
Capital market is the most important part of the financial market. It is the direct path of collecting money which connects the money supplyer and money demander. In capital market, money suppliers could find the suitable way to earn profits and money demanders could get money directly to develop construction and technology. The smooth development of capital market is most important to the financial market and economic prosperity of our country. There are two types of investors in capital market——individual investors and institutional investors. Individual investors have limited capital and information. They have no capacity to influence the capital market fluctuations persistently. However, the institutional investors have huge capital, infinite information and professional investment philosoph. They are capable to influence the capital market fluctuation.
Institutional investors are one of the most important parts of capital market and the effets of institutional investors are important issues to research. Institutional investors are broad concepts including Mutual Fund, securities companies' own funds, Social Security Fund, insurance funds and QFII. Mutual Fund originated in1987"China Real Estate Fund". After the introduction of the "interim Measures for the Administration of Mutual Fund" in1997, Mutual Fund ushered in a period of specification development. In October2000,"Fund shady event" aroused wide attention and heated discussion. In2001, government put forward the policy of "Extraordinary development of institutional investors" and Mutual Fund had embarked on a fast track of development. In2002. fund net size increased45%compared with that of2001. At the end of November2012, fund net size has reached2.562585trillion yuan and its A stock market value increased30%compared with2007. Fund increasingly highlights its status in China's capital market. Along with the improvement of the fund's top holdings, China's stock market has experienced two years of strong gains from around1000points in October2007to6124pionts in October2008. However, it falls back to1665points in the following year. The increase in institutional stock ownership of Mutual Fund brought not the stock market's stability but the ups and downs, which is contradicted with the intention of "Extraordinary development of institutional investors in order to stabilize the share prices".
Does Mutual Fund of China's capital market intensify the capital market fluctuations or promote the stabilities from academic perspective? In this thesis, we construct theoretical models and use both macro-data and micro-data to analyze the relation between the size of Mutual Fund and the stability of capital markets. Moreover, we analyze its reasons (channel) from the perspective of Securities Investment Fund behaviors. The whole idea of the paper:One is what it is and what impact it is; Two is why it is and which channel it is. Methodologically, we use Structural Vector Auto Regression Model to analyze the time series of Mutual Fund size and the Shanghai Composite volatility sequence in macro aspects. In micro aspects, we use apply Phased Dynamic Panel Model and Component Regression Model, GARCH-M model to momentum behavior and herding indicators to Herdings.
Results of the empirical analysis show that China's Mutual Funds tend to exacerbate market volatility. Mutual Funds exhibit momentum trading behavior which results in inconsistent return series features in different periods, together with the feedback trading estimate differences. Momentum trading behaviors are important channel of the fluctuation. Meanwhile, herd behaviors of Mutual Funds within a certain extent (ie. herding measure indicators are below0.8132) also play an important role in transmission. Further-more, quantiic regression model analysis show that Mutual Funds tend to reduce market volatility when the stock trait fluctuations are severe (ie. fluctuations are more serious) and the market income is positive. It supplements the overall conclusions of the lull text. The model analysis results also illustrate that the convergence of securities investment fund investment targets, the shift of public fund resources to private equity funds, and its unrestricted capability to invest lend to increase the volatility of the market.
This thesis is divided into seven parts:The first chapter is the introduction part. The second chapter is literature review. The third chapter is theoretical model analysis section. The fourth chapter is empirical analysis. I he three and four chapters analyze the effects of Mutual Funds on the capital market stability theoretically and expirically. Chapters five and six are channel analysis section which analyze the channels of the Mutual Funds'effets from the herd behavior and momentum behavior perspectives. Chapter seven is conclusions and policy recommendations which conclude the whole thesis.
引文
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